- a() - Method in class org.drip.dynamics.hjm.G2PlusPlus
-
Retrieve A
- a() - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
-
Retrieve A
- a() - Method in class org.drip.dynamics.sabr.ImpliedBlackVolatility
-
Retrieve A
- a() - Method in class org.drip.function.r1tor1.AlmgrenEnhancedEulerUpdate
-
Retrieve the "A" Parameter
- A() - Method in class org.drip.function.r1tor1.SABRLIBORCapVolatility
-
Return "A"
- a() - Method in class org.drip.measure.crng.LinearCongruentialGenerator
-
Retrieve A
- a() - Method in class org.drip.measure.crng.ShiftRegisterGenerator
-
Retrieve the Array of Coefficients
- a12() - Method in class org.drip.measure.crng.MultipleRecursiveGeneratorLEcuyer
-
Retrieve A12
- a13() - Method in class org.drip.measure.crng.MultipleRecursiveGeneratorLEcuyer
-
Retrieve A13
- a21() - Method in class org.drip.measure.crng.MultipleRecursiveGeneratorLEcuyer
-
Retrieve A21
- a23() - Method in class org.drip.measure.crng.MultipleRecursiveGeneratorLEcuyer
-
Retrieve A23
- aap() - Method in class org.drip.param.quoting.YieldInterpreter
-
Retrieve the Act/Act Day Count Parameters
- abs() - Method in class org.drip.quant.fourier.ComplexNumber
-
Retrieve the Absolute Value
- absoluteTolerance() - Method in class org.drip.function.rdtor1solver.ConvergenceControl
-
Retrieve the Absolute Tolerance
- absorb(PredictorResponseRelationSetup) - Method in class org.drip.state.estimator.PredictorResponseRelationSetup
-
Absorb the "Other" PRRS onto the current one
- absorb(PredictorResponseWeightConstraint) - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint
-
"Absorb" the other PRWC Instance into the Current One
- Account - Class in org.drip.portfolioconstruction.core
-
Account holds the Current Portfolio (if any) along with the Creation/Maintenance Mandate.
- Account(String, String, String, Holdings, TaxAccountingScheme) - Constructor for class org.drip.portfolioconstruction.core.Account
-
Account Constructor
- account() - Method in class org.drip.portfolioconstruction.optimizer.Rebalancer
-
Retrieve the Account Instance
- ACCRUAL_COMPOUNDING_RULE_ARITHMETIC - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
-
Accrual Compounding Rule - Arithmetic
- ACCRUAL_COMPOUNDING_RULE_GEOMETRIC - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
-
Accrual Compounding Rule - Geometric
- accrualChange() - Method in class org.drip.historical.attribution.PositionChangeComponents
-
Retrieve the Accrual Interval Change
- accrualCompoundingRule() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
-
Retrieve the Accrual Compounding Rule
- accrualCompoundingRule() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Retrieve the Accrual Compounding Rule
- accrualCompoundingRule() - Method in class org.drip.market.definition.FloaterIndex
-
Retrieve the Accrual Compounding Rule
- accrualCompoundingRule() - Method in class org.drip.market.otc.FixedStreamConvention
-
Retrieve the Accrual Compounding Rule
- accrualCompoundingRule() - Method in class org.drip.param.period.UnitCouponAccrualSetting
-
Retrieve the Accrual Compounding Rule
- accrualDC() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
-
Retrieve the Accrual Day Count
- accrualDC() - Method in class org.drip.param.period.UnitCouponAccrualSetting
-
Retrieve the Accrual Day Count
- accrualDC() - Method in class org.drip.product.credit.BondComponent
-
- accrualDC() - Method in class org.drip.product.definition.Bond
-
Return the bond's accrual day count
- accrualDC() - Method in class org.drip.product.rates.Stream
-
Retrieve the Accrual Day Count
- accrualDCF(int) - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
-
Get the Period Accrual Day Count Fraction to an Accrual End Date
- accrualDCF(int) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Compute the Coupon Accrual DCF to the specified Accrual End Date
- accrualDCF() - Method in class org.drip.analytics.cashflow.LossQuadratureMetrics
-
Get the Period Accrual Day Count Fraction
- accrualEOMAdjustment() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
-
Retrieve the Accrual EOM Adjustment Flag
- accrualEOMAdjustment() - Method in class org.drip.param.period.UnitCouponAccrualSetting
-
Retrieve the Accrual EOM Adjustment Flag
- accrualEOMAdjustment() - Method in class org.drip.product.rates.Stream
-
Retrieve the Accrual EOM Adjustment
- accrualMetrics(int, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Compute the Coupon Accrual Measures to the specified Accrual End Date
- accrualOnDefault() - Method in class org.drip.product.params.CreditSetting
-
Retrieve the Accrual On Default Flag
- accrued() - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Retrieve the Accrued
- accrued(int, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.BondComponent
-
- accrued(int, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.Bond
-
Calculate the bond's accrued for the period identified by the valuation date
- accrued01() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve the Accrued01
- AccumulateMeasures(CaseInsensitiveTreeMap<Double>, String, CaseInsensitiveTreeMap<Double>) - Static method in class org.drip.analytics.support.Helper
-
Append the Prefixed Map Entries of the specified Input Map onto the Output Map
- accumulatePartialFirstDerivative(int, int, double) - Method in class org.drip.quant.calculus.WengertJacobian
-
Accumulate {D(Wengert)}/{D(Parameter)}
- accumulation() - Method in class org.drip.xva.derivative.CashAccountEdge
-
Retrieve the Cumulative Increment
- ActActDCParams - Class in org.drip.analytics.daycount
-
This class contains parameters to represent Act/Act day count.
- ActActDCParams(int, int) - Constructor for class org.drip.analytics.daycount.ActActDCParams
-
Constructs an ActActDCParams instance from the corresponding parameters
- activate() - Method in class org.drip.portfolioconstruction.optimizer.ObjectiveTermUnit
-
Turn ON the Objective Term Unit
- activeBeta() - Method in class org.drip.portfolioconstruction.asset.PortfolioBenchmarkMetrics
-
Retrieve the Portfolio-to-Benchmark Active Beta
- activeConstraintLinearDependence(double[], boolean) - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Active Constraint Set Linear Dependence Check
- activeConstraintRank(double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Active Constraint Set Rank Computation
- activeConstraintRankComparison(double[], int) - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Compare the Active Constraint Set Rank at the specified against the specified Rank
- activeConstraints(double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Retrieve the Array of Active Constraints
- activeReturn() - Method in class org.drip.portfolioconstruction.asset.PortfolioBenchmarkMetrics
-
Retrieve the Portfolio-to-Benchmark Active Return
- activeRisk() - Method in class org.drip.portfolioconstruction.asset.PortfolioBenchmarkMetrics
-
Retrieve the Portfolio-to-Benchmark Active Risk
- adaptive(MarketState[]) - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
-
Generate the Continuous Coordinated Variation Dynamic Adaptive Trajectory
- AdaptiveOptimalCostTrajectory - Class in org.drip.sample.almgren2009
-
AdaptiveOptimalCostTrajectory traces a Sample Realization of the Adaptive Cost Strategy using the Market
State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
- AdaptiveOptimalCostTrajectory() - Constructor for class org.drip.sample.almgren2009.AdaptiveOptimalCostTrajectory
-
- AdaptiveOptimalHJBTrajectory - Class in org.drip.sample.almgren2009
-
AdaptiveOptimalHJBTrajectory simulates the Outstanding Holdings and the Trade Rate from the Sample
Realization of the HJB Based Adaptive Cost Strategy using the Market State Trajectory the follows the
Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
- AdaptiveOptimalHJBTrajectory() - Constructor for class org.drip.sample.almgren2009.AdaptiveOptimalHJBTrajectory
-
- AdaptiveOptimalRollingHorizonTrajectory - Class in org.drip.sample.almgren2009
-
AdaptiveOptimalRollingHorizonTrajectory simulates the Outstanding Holdings and the Trade Rate from the
Sample Realization of the Rolling Horizon Approximation of the HJB Based Adaptive Cost Strategy using the
Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
- AdaptiveOptimalRollingHorizonTrajectory() - Constructor for class org.drip.sample.almgren2009.AdaptiveOptimalRollingHorizonTrajectory
-
- AdaptiveOptimalStaticTrajectory - Class in org.drip.sample.almgren2009
-
AdaptiveOptimalStaticTrajectory determines the Outstanding Holdings and the Trade Rate from the "Mean
Market State" Static Trajectory using the Market State Trajectory the follows the Zero Mean
Ornstein-Uhlenbeck Evolution Dynamics.
- AdaptiveOptimalStaticTrajectory() - Constructor for class org.drip.sample.almgren2009.AdaptiveOptimalStaticTrajectory
-
- AdaptiveStaticInitialHoldings - Class in org.drip.sample.almgren2012
-
AdaptiveStaticInitialHoldings simulates the Outstanding Holdings from the Sample Realization of the
Adaptive Cost Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck
Evolution Dynamics.
- AdaptiveStaticInitialHoldings() - Constructor for class org.drip.sample.almgren2012.AdaptiveStaticInitialHoldings
-
- AdaptiveStaticInitialTradeRate - Class in org.drip.sample.almgren2012
-
AdaptiveStaticInitialTradeRate simulates the Trade Rate from the Sample Realization of the Adaptive Cost
Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution
Dynamics.
- AdaptiveStaticInitialTradeRate() - Constructor for class org.drip.sample.almgren2012.AdaptiveStaticInitialTradeRate
-
- AdaptiveZeroInitialHoldings - Class in org.drip.sample.almgren2012
-
AdaptiveZeroInitialHoldings simulates the Outstanding Holdings from the Sample Realization of the Adaptive
Cost Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution
Dynamics.
- AdaptiveZeroInitialHoldings() - Constructor for class org.drip.sample.almgren2012.AdaptiveZeroInitialHoldings
-
- AdaptiveZeroInitialTradeRate - Class in org.drip.sample.almgren2012
-
AdaptiveZeroInitialTradeRate simulates the Trade Rate from the Sample Realization of the Adaptive Cost
Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution
Dynamics.
- AdaptiveZeroInitialTradeRate() - Constructor for class org.drip.sample.almgren2012.AdaptiveZeroInitialTradeRate
-
- add(CSALabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Add the Labeled CSA
- add(FXLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Add the Labeled FX
- add(RepoLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Add the Labeled Repo
- add(CustomLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Add the Labeled Custom
- add(GovvieLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Add the Labeled Govvie
- add(RatingLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Add the Labeled Rating
- add(ForwardLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Add the Labeled Forward
- add(FundingLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Add the Labeled Funding
- add(PaydownLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Add the Labeled Pay Down
- add(OvernightLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Add the Labeled Overnight
- add(CollateralLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Add the Labeled Collateral
- add(VolatilityLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Add the Labeled Volatility
- add(OTCFixFloatLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Add the Labeled OTC Fix Float
- add(EntityCreditLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Add the Labeled Entity Credit
- add(EntityEquityLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Add the Labeled Entity Equity
- add(EntityHazardLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Add the Labeled Entity Hazard
- add(EntityFundingLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Add the Labeled Entity Funding
- add(EntityRecoveryLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Add the Labeled Entity Recovery
- add(PositionGroup) - Method in class org.drip.exposure.holdings.PositionGroupSegment
-
Add the Specified Position Group to the Segment
- add(LatentStateLabel, double[]) - Method in class org.drip.exposure.universe.LatentStateWeiner
-
Add the Weiner Increment corresponding to the Specified Latent State Label
- add(String[]) - Method in class org.drip.feed.loader.CSVGrid
-
Add a String Array to the Grid
- add(String, String, double, double) - Method in class org.drip.feed.loader.InstrumentSetTenorQuote
-
Add the Instrument/Tenor/Quote/Scale Field Set
- Add(VariateInequalityConstraintMultiplier, VariateInequalityConstraintMultiplier, double, BoundMultivariate[]) - Static method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
-
Add the Specified VICM Instances together
- Add(VariateInequalityConstraintMultiplier, VariateInequalityConstraintMultiplier, BoundMultivariate[]) - Static method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
-
Add the Specified VICM Instances together
- add(String, double) - Method in class org.drip.historical.engine.MarketMeasureRollDown
-
Add the Custom Horizon Market Measure Roll Down Metric Value
- add(int, String) - Method in class org.drip.json.simple.ItemList
-
- add(String) - Method in class org.drip.json.simple.ItemList
-
- add(int, double[]) - Method in class org.drip.measure.discrete.VertexRd
-
Add the Vertex Index and its corresponding Realization
- add(JulianDate, LatentStateLabel, double) - Method in class org.drip.param.market.LatentStateFixingsContainer
-
Add the Fixing corresponding to the Date/Label Pair
- add(int, LatentStateLabel, double) - Method in class org.drip.param.market.LatentStateFixingsContainer
-
Add the Latent State Fixing corresponding to the Date/Label Pair
- add(String, double) - Method in class org.drip.portfolioconstruction.composite.BlockAttribute
-
Add an Asset's Attribute
- add(String, boolean) - Method in class org.drip.portfolioconstruction.composite.BlockClassification
-
Add an Asset's Membership
- add(String, double) - Method in class org.drip.portfolioconstruction.composite.Holdings
-
Add an Asset/Amount Pair
- add(String, TransactionCharge) - Method in class org.drip.portfolioconstruction.composite.TransactionChargeGroup
-
Add an Asset's Transaction Charge
- add(Asset) - Method in class org.drip.portfolioconstruction.core.LocalUniverse
-
Add an Asset to the Local Universe
- add(String, String, double) - Method in class org.drip.portfolioconstruction.risk.AttributeJointDense
-
Add the Attribute for an Asset Pair
- Add(ComplexNumber, ComplexNumber) - Static method in class org.drip.quant.fourier.ComplexNumber
-
Add the 2 Complex Numbers
- addAll(ItemList) - Method in class org.drip.json.simple.ItemList
-
- addAll(String) - Method in class org.drip.json.simple.ItemList
-
- addAll(String, String) - Method in class org.drip.json.simple.ItemList
-
- addAll(String, String, boolean) - Method in class org.drip.json.simple.ItemList
-
- addAssetFactorLoading(String, String, double) - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
-
Add the Asset's Factor Loading Coefficient
- addBase(SegmentResponseValueConstraint) - Method in class org.drip.spline.params.SegmentResponseConstraintSet
-
Add the Base Segment Response Value Constraint
- addBound(String, double, double) - Method in class org.drip.portfolioconstruction.allocator.BoundedPortfolioConstructionParameters
-
Set the Bounds for the specified Asset
- addBusDays(int, String) - Method in class org.drip.analytics.date.JulianDate
-
Add the given Number of Business Days and return a new JulianDate Instance
- AddBusinessDays(int, int, String) - Static method in class org.drip.analytics.daycount.Convention
-
Add the specified Number of Business Days and Adjust According to the Calendar Set
- addCollateral(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Add the Collateral Latent State Evolver
- addCollateralGroup(CollateralGroup) - Method in class org.drip.xva.topology.CreditDebtGroup
-
Add the specified Collateral Group
- addComponentQuote(String, ProductQuote) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Add the component quote
- addComponentQuote(CaseInsensitiveTreeMap<ProductQuote>) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Add the full map of component quotes
- addComponentQuote(String, ProductQuote) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- addComponentQuote(CaseInsensitiveTreeMap<ProductQuote>) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- addCovariance(String, String, double) - Method in class org.drip.measure.statistics.MultivariateMoments
-
Add the Co-variance for the Named Variate Pair
- addCreditDebtGroup(CreditDebtGroup) - Method in class org.drip.xva.topology.FundingGroup
-
Add the specified CreditDebtGroup Instance
- addCSA(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Add the CSA Latent State Evolver
- addCustom(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Add the Custom Latent State Evolver
- addDays(int) - Method in class org.drip.analytics.date.JulianDate
-
Add the given Number of Days and return a JulianDate Instance
- addDResponseWeightDManifestMeasure(String, double, double) - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint
-
Add a Predictor/Response Weight entry to the Linearized Constraint
- addEdge(Edge) - Method in class org.drip.spaces.graph.Topography
-
Add an Edge
- addEdge(Edge) - Method in class org.drip.spaces.graph.TopographyEdgeMap
-
Add an Edge
- addEgress(String, double) - Method in class org.drip.spaces.graph.Vertex
-
Add an Egress to the Vertex Node
- addEntityCredit(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Add the Entity Credit Latent State Evolver
- addEntityEquity(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Add the Entity Equity Latent State Evolver
- addEntityFunding(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Add the Entity Funding Latent State Evolver
- addEntityHazard(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Add the Entity Hazard Latent State Evolver
- addEntityRecovery(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Add the Entity Recovery Latent State Evolver
- addExecTime(long) - Method in class org.drip.regression.core.UnitRegressionStat
-
Add another run execution time
- addFactorAttribute(String, String, double) - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
-
Add the Cross Factor Attribute
- addFixedHoliday(int, int, String) - Method in class org.drip.analytics.eventday.Locale
-
Add a fixed holiday from the day and month
- addFixing(JulianDate, LatentStateLabel, double) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Add the fixing for the given Latent State Label and the given date
- addFixing(JulianDate, LatentStateLabel, double) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- addFloatingHoliday(int, int, int, boolean, String) - Method in class org.drip.analytics.eventday.Locale
-
Add a floating holiday from the week in month, the day in week, the month, and whether holidays are
calculated from front/back.
- addForward(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Add the Forward Latent State Evolver
- addForward(double) - Method in class org.drip.service.api.ForwardRates
-
Add a Forward Rate to the List
- addFunding(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Add the Funding Latent State Evolver
- addFundingGroup(FundingGroup) - Method in class org.drip.xva.topology.Adiabat
-
Add the specified Funding Group
- addFX(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Add the FX Latent State Evolver
- addGovvie(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Add the Govvie Latent State Evolver
- AdditionalInitialMargin - Class in org.drip.simm.estimator
-
AdditionalInitialMargin holds the Additional Initial Margin along with the Product Specific Add-On
Components.
- AdditionalInitialMargin(double, double, double, double, double, Map<String, Double>) - Constructor for class org.drip.simm.estimator.AdditionalInitialMargin
-
AdditionalInitialMargin Constructor
- addKRDNode(String, double) - Method in class org.drip.historical.sensitivity.TenorDurationNodeMetrics
-
Insert a KRD Node
- addLatentStateValue(LatentStateLabel, double) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Add the Value Corresponding to the Specific Latent State
- addManifestMeasureSensitivity(String, SegmentResponseValueConstraint) - Method in class org.drip.spline.params.ResponseValueSensitivityConstraint
-
Add the SRVC Instance corresponding to the specified Manifest Measure
- addManifestMeasureSnap(String, double, double, double) - Method in class org.drip.historical.attribution.PositionMarketSnap
-
Add an Instance of the Position Manifest Measure Snap from the Specified Inputs
- addMean(String, double) - Method in class org.drip.measure.statistics.MultivariateMoments
-
Add the Mean for the Named Variate
- addMergeLabel(LatentStateLabel) - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint
-
Add a Merging Latent State Label
- addMergeStretch(LatentStateMergeSubStretch) - Method in class org.drip.state.representation.MergeSubStretchManager
-
Add the Specified Merge Stretch
- addMonths(int) - Method in class org.drip.analytics.date.JulianDate
-
Add the given Number of Months and return a New JulianDate Instance
- addNamedField(NamedField) - Method in class org.drip.service.scenario.BondReplicationRun
-
Add a Named Field
- addNamedFieldMap(NamedFieldMap) - Method in class org.drip.service.scenario.BondReplicationRun
-
Add a Named Field Map
- addNativeForwardRate(String, String, double) - Method in class org.drip.historical.state.FundingCurveMetrics
-
Add the Native Forward Rate for the specified In/For Start/Forward Tenors
- addNodeMetrics(TrinomialTreeNodeMetrics) - Method in class org.drip.dynamics.hullwhite.TrinomialTreeSequenceMetrics
-
Add the Hull-White Node Metrics Instance
- addObjectiveTermUnit(ObjectiveTermUnit) - Method in class org.drip.portfolioconstruction.optimizer.ObjectiveFunction
-
Add the Objective Term Unit Instance
- addOnFixed() - Method in class org.drip.simm.estimator.AdditionalInitialMargin
-
Retrieve the Fixed Add-On
- addOptimalPortfolio(OptimizationOutput) - Method in class org.drip.portfolioconstruction.mpt.MarkovitzBullet
-
Add a Returns Constrained Optimal Portfolio
- addOTCFixFloat(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Add the OTC Fix Float Latent State Evolver
- addOvernight(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Add the Overnight Latent State Evolver
- addPayDown(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Add the Pay Down Latent State Evolver
- addPositionGroup(PositionGroup) - Method in class org.drip.xva.topology.CollateralGroup
-
Add the specified Position Group
- addPredictorResponseWeight(double, double) - Method in class org.drip.state.estimator.PredictorResponseRelationSetup
-
Add a Predictor/Response Weight entry to the Linearized Constraint
- addPredictorResponseWeight(double, double) - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint
-
Add a Predictor/Response Weight entry to the Linearized Constraint
- addPrimarySecurity(PrimarySecurity) - Method in class org.drip.exposure.evolver.DynamicsContainer
-
Add the Specified Primary Security Instance
- addProjectionDistributionLoading(String, ProjectionDistributionLoading) - Method in class org.drip.measure.bayesian.ScopingProjectionVariateDistribution
-
Add the Named Projection Distribution Loading
- addQuote(String, Quote, boolean) - Method in class org.drip.param.definition.ProductQuote
-
Add a regular or a market quote for the component
- addQuote(String, Quote, boolean) - Method in class org.drip.param.quote.ProductMultiMeasure
-
- addRating(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Add the Rating Latent State Evolver
- addRecoveryRate(JulianDate, double) - Method in class org.drip.historical.state.CreditCurveMetrics
-
Add the Recovery Rate corresponding to the specified Date
- addRegressorSet(RegressorSet) - Method in class org.drip.regression.core.RegressionEngine
-
Add the regressor set to the framework
- addRepo(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Add the Repo Latent State Evolver
- addScalingNumeraire(String, ScalingNumeraire) - Method in class org.drip.exposure.evolver.DynamicsContainer
-
Add the Named Scaling Numeraire
- addScenarioCreditCurve(String, CreditCurveScenarioContainer) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Add the named scenario CC
- addScenarioCreditCurve(String, CreditCurveScenarioContainer) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- addScenarioDiscountCurve(String, DiscountCurveScenarioContainer) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Add the named scenario DC
- addScenarioDiscountCurve(String, DiscountCurveScenarioContainer) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- addScenarioMarketParams(String, CurveSurfaceQuoteContainer) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Add the named scenario Market Parameters
- addScenarioMarketParams(String, CurveSurfaceQuoteContainer) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- addSensitivity(SegmentResponseValueConstraint) - Method in class org.drip.spline.params.SegmentResponseConstraintSet
-
Add the Base Segment Response Value Constraint Sensitivity
- addShortestPathVertex(ShortestPathVertex) - Method in class org.drip.spaces.graph.ShortestPathTree
-
Add a shortestPathVertex
- addSpecificAttribute(String, double) - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
-
Add the Asset's Specific Attribute
- addStandardWeekend() - Method in class org.drip.analytics.eventday.Locale
-
Add the regular SATURDAY/SUNDAY weekend
- addStaticHoliday(JulianDate, String) - Method in class org.drip.analytics.eventday.Locale
-
Add the given date as a static holiday
- addStaticHoliday(String, String) - Method in class org.drip.analytics.eventday.Locale
-
Add the given string date as a static holiday
- addStretch(MultiSegmentSequence) - Method in class org.drip.spline.grid.AggregatedSpan
-
- addStretch(MultiSegmentSequence) - Method in class org.drip.spline.grid.OverlappingStretchSpan
-
- addStretch(MultiSegmentSequence) - Method in interface org.drip.spline.grid.Span
-
Add a Stretch to the Span
- addSurvivalProbability(JulianDate, double) - Method in class org.drip.historical.state.CreditCurveMetrics
-
Add the Survival Probability corresponding to the specified Date
- addTenor(String) - Method in class org.drip.analytics.date.JulianDate
-
Add the tenor to the JulianDate to create a new date
- addTenorAndAdjust(String, String) - Method in class org.drip.analytics.date.JulianDate
-
Add the Tenor to the JulianDate and Adjust it to create a new Instance
- addTenorDelta(String, double) - Method in class org.drip.simm.product.RiskFactorTenorSensitivity
-
Add the Tenor Sensitivity
- addTerminalLatentState(TerminalLatentState) - Method in class org.drip.exposure.evolver.DynamicsContainer
-
Add the Terminal Latent State
- addTerminalLatentState(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Add the Terminal Latent State
- addToHead(SinglyLinkedNode) - Method in class org.drip.spaces.graph.SinglyLinkedNode
-
Append "This" to the Tail of the "Other"
- addToTail(SinglyLinkedNode) - Method in class org.drip.spaces.graph.SinglyLinkedNode
-
Add "Other" to the Tail of "This"
- addTransitionMetrics(TrinomialTreeTransitionMetrics) - Method in class org.drip.dynamics.hullwhite.TrinomialTreeSequenceMetrics
-
Add a Path Transition Metrics Instance
- addTSYQuote(String, ProductQuote) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Add the named Treasury Quote
- addTSYQuote(String, ProductQuote) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- addTurn(Turn) - Method in class org.drip.state.discount.TurnListDiscountFactor
-
Add a Turn Instance to the Discount Curve
- addUnitializedShortestPathVertex(String) - Method in class org.drip.spaces.graph.ShortestPathTree
-
Add an Uninitialized ShortestPathVertex
- addVariationMarginEstimateVertex(int, double, double) - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolPath
-
Add the Variation Margin Estimate corresponding to the Vertex
- addVertex(String) - Method in class org.drip.spaces.graph.Topography
-
Add The Vertex
- addVolatility(TerminalLatentState) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Add the Volatility Latent State Evolver
- addWeekend(int[]) - Method in class org.drip.analytics.eventday.Locale
-
Add the array of weekend days
- addYears(int) - Method in class org.drip.analytics.date.JulianDate
-
Add the given Number of Years and return a new JulianDate Instance
- Adiabat - Class in org.drip.xva.topology
-
Adiabat represents the Directed Graph of all the Encompassing Funding Groups inside of a Closed System
(i.e., Adiabat).
- Adiabat(String, String) - Constructor for class org.drip.xva.topology.Adiabat
-
Adiabat Constructor
- adiabatGroupPaths() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
-
Retrieve the Array of Counter Party Group Paths
- AdiabatMarketParams - Class in org.drip.xva.topology
-
AdiabatMarketParams contains the Market Parameters that correspond to a given Adiabat.
- AdiabatMarketParams(Map<String, OvernightLabel>, Map<String, CSALabel>, Map<String, EntityHazardLabel>, Map<String, EntityHazardLabel>, Map<String, EntityRecoveryLabel>, Map<String, EntityRecoveryLabel>, Map<String, EntityRecoveryLabel>, Map<String, EntityFundingLabel>, Map<String, EntityFundingLabel>, Map<String, EntityFundingLabel>) - Constructor for class org.drip.xva.topology.AdiabatMarketParams
-
AdiabatMarketParams Constructor
- adjacent() - Method in class org.drip.spaces.graph.SinglyLinkedNode
-
Retrieve the Adjacent Node
- adjacent(String, String) - Method in class org.drip.spaces.graph.Topography
-
Indicate if the Pair of Vertexes are Adjacent
- adjacentWeight(String, String) - Method in class org.drip.spaces.graph.Topography
-
Compute the Weight between Source and Destination if Adjacent
- Adjust(int, String, int) - Static method in class org.drip.analytics.daycount.Convention
-
Adjust the given Date in Accordance with the Adjustment Mode and the Calendar Set
- adjusted() - Method in class org.drip.exposure.regressiontrade.VariationMarginEstimateVertex
-
Retrieve the Adjusted Variation Margin at the Vertex
- adjustedCovariance() - Method in class org.drip.simm.foundation.RiskGroupPrincipalCovariance
-
Retrieve the Adjusted Cross-Group Co-variance
- adjustedMetrics() - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanOutput
-
Retrieve the Adjusted Forward Equilibrium Optimization Metrics
- adjustedPrincipalDiscountExponent() - Method in class org.drip.execution.principal.OptimalMeasureDependence
-
Retrieve the Adjusted Principal Discount Dependence Exponent
- AdjustedVariationMarginDynamics - Class in org.drip.exposure.regressiontrade
-
AdjustedVariationMarginDynamics builds the Dynamics of the Sparse Path Adjusted Variation Margin.
- AdjustedVariationMarginDynamics(AdjustedVariationMarginEstimate[]) - Constructor for class org.drip.exposure.regressiontrade.AdjustedVariationMarginDynamics
-
AdjustedVariationMarginDynamics Constructor
- AdjustedVariationMarginEstimate - Class in org.drip.exposure.regressiontrade
-
AdjustedVariationMarginEstimate holds the Sparse Path Adjusted Variation Margin and the Daily Trade Flows.
- AdjustedVariationMarginEstimate(double[], TradePayment[]) - Constructor for class org.drip.exposure.regressiontrade.AdjustedVariationMarginEstimate
-
AdjustedVariationMarginEstimate Constructor
- adjustedVariationMarginEstimate(int[]) - Method in class org.drip.exposure.regressiontrade.AdjustedVariationMarginEstimator
-
Generate the Path-wise Andersen Pykhtin Sokol (2017) Adjusted Variation Margin Estimates
- adjustedVariationMarginEstimateArray() - Method in class org.drip.exposure.regressiontrade.AdjustedVariationMarginDynamics
-
Retrieve the Adjusted Variation Margin Estimate Array
- adjustedVariationMarginEstimateArray() - Method in class org.drip.exposure.regressiontrade.AdjustedVariationMarginEstimate
-
Retrieve the Path-wise Adjusted Variation Margin Estimate Array
- AdjustedVariationMarginEstimator - Class in org.drip.exposure.regressiontrade
-
AdjustedVariationMarginEstimator coordinates the Generation of the Path-specific Trade Payment Adjusted
Variation Margin Flows.
- AdjustedVariationMarginEstimator(VariationMarginTradePaymentVertex, MarketPath) - Constructor for class org.drip.exposure.regressiontrade.AdjustedVariationMarginEstimator
-
AdjustedVariationMarginEstimator Constructor
- adjustForAccrual(double, double, double, boolean) - Method in class org.drip.analytics.output.BondCouponMeasures
-
Adjust Measures for accrued
- adjustForCashSettle(int, double, MergedDiscountForwardCurve, WengertJacobian) - Method in class org.drip.product.definition.Component
-
- adjustForSettlement(double) - Method in class org.drip.analytics.output.BondCouponMeasures
-
Adjust the bond coupon measures by a cash settlement discount factor
- adjustmentDigestScheme() - Method in class org.drip.xva.dynamics.PathSimulator
-
Retrieve the Adjustment Digest Scheme
- AdjustmentDigestScheme - Class in org.drip.xva.settings
-
AdjustmentDigestScheme contains Settings to the Schemes that generate Aggregated Valuation Adjustment
Metrics.
- AdjustmentDigestScheme() - Constructor for class org.drip.xva.settings.AdjustmentDigestScheme
-
- adjustMode() - Method in class org.drip.param.valuation.CashSettleParams
-
Retrieve the Adjustment Mode
- advance(NonDimensionalCost, MarketState, double[], double) - Method in class org.drip.execution.hjb.NonDimensionalCostEvolver
-
- advance(NonDimensionalCost, MarketState, double[], double) - Method in class org.drip.execution.hjb.NonDimensionalCostEvolverCorrelated
-
- advance(NonDimensionalCost, MarketState, double[], double) - Method in class org.drip.execution.hjb.NonDimensionalCostEvolverSystemic
-
- AEDHoliday - Class in org.drip.analytics.holset
-
- AEDHoliday() - Constructor for class org.drip.analytics.holset.AEDHoliday
-
- AffineBoundMultivariate - Class in org.drip.function.rdtor1
-
AffineBoundMultivariate implements a Bounded Planar Linear R^d To R^1 Function.
- AffineBoundMultivariate(boolean, int, int, double) - Constructor for class org.drip.function.rdtor1.AffineBoundMultivariate
-
AffineBoundMultivariate Constructor
- AffineMultivariate - Class in org.drip.function.rdtor1
-
AffineMultivariate implements a Planar Linear R^d To R^1 Function using a Multivariate Vector.
- AffineMultivariate(double[], double) - Constructor for class org.drip.function.rdtor1.AffineMultivariate
-
AffineMultivariate Constructor
- AffixRequestHeaders(JSONObject) - Static method in class org.drip.service.engine.RequestResponseDecorator
-
Affix the Headers on the JSON Request
- AffixResponseHeaders(JSONObject, JSONObject) - Static method in class org.drip.service.engine.RequestResponseDecorator
-
Affix the Headers on the JSON Response
- afterTaxIncome() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityCashFlow
-
Retrieve the Basic After-Tax Income
- afterTaxIncome() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityStream
-
Retrieve the Basic After-Tax Income
- Agartala - Class in org.drip.sample.bondmetrics
-
Agartala demonstrates the Analytics Calculation/Reconciliation for the Bond Agartala.
- Agartala() - Constructor for class org.drip.sample.bondmetrics.Agartala
-
- AGB(JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder
-
Construct an Instance of the Australian Treasury AUD AGB Bond
- AGBBenchmarkAttribution - Class in org.drip.sample.treasurypnl
-
AGBBenchmarkAttribution demonstrates the Computation of the PnL Time Series Metrics for the AGB Benchmark
Bond Series.
- AGBBenchmarkAttribution() - Constructor for class org.drip.sample.treasurypnl.AGBBenchmarkAttribution
-
- AGBReconstitutor - Class in org.drip.sample.treasuryfeed
-
AGBReconstitutor demonstrates the Cleansing and Re-constitution of the AGB Yield Marks obtained from
Historical Yield Curve Prints.
- AGBReconstitutor() - Constructor for class org.drip.sample.treasuryfeed.AGBReconstitutor
-
- Age - Class in org.drip.assetbacked.loan
-
Age contains the current Loan Age - i.e., the Months in Balance of an Asset Backed Loan
- Age(double) - Constructor for class org.drip.assetbacked.loan.Age
-
Age Constructor
- age() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityCashFlow
-
Retrieve the Investor Age
- agency() - Method in class org.drip.state.identifier.RatingLabel
-
Retrieve the Ratings Agency
- aggregate(BucketSensitivitySettings) - Method in class org.drip.simm.product.BucketSensitivity
-
Weight and Adjust the Input Sensitivities
- aggregate(BucketSensitivitySettingsCR) - Method in class org.drip.simm.product.BucketSensitivityCR
-
Generate the Bucket CR Sensitivity Margin Aggregate
- aggregate(BucketSensitivitySettingsIR) - Method in class org.drip.simm.product.BucketSensitivityIR
-
Generate the Bucket IR Sensitivity Margin Aggregate
- aggregate(RiskClassSensitivitySettings, MarginEstimationSettings) - Method in class org.drip.simm.product.RiskClassSensitivity
-
Compute the Risk Class Sensitivity Aggregate
- aggregate(RiskClassSensitivitySettingsCR, MarginEstimationSettings) - Method in class org.drip.simm.product.RiskClassSensitivityCR
-
Compute the Risk Class Sensitivity Aggregate
- aggregate(RiskClassSensitivitySettingsIR, MarginEstimationSettings) - Method in class org.drip.simm.product.RiskClassSensitivityIR
-
Compute the Risk Class Sensitivity Aggregate
- AggregateComponentPeriods(Component[]) - Static method in class org.drip.analytics.support.Helper
-
Aggregate the period lists for an array of components
- AggregatedSpan - Class in org.drip.spline.grid
-
AggregatedSpan implements the Span interface.
- AggregatedSpan(List<Span>, List<Double>) - Constructor for class org.drip.spline.grid.AggregatedSpan
-
AggregatedSpan Constructor
- AggregateTenor(String, String) - Static method in class org.drip.analytics.support.Helper
-
Aggregate the Base and the Roll Tenors onto a Composite Tenor
- aggregator() - Method in class org.drip.xva.basel.OTCAccountingModus
-
Retrieve the Counter Party Group Aggregator Instance
- Aggressive() - Static method in class org.drip.exposure.csatimeline.AndersenPykhtinSokolLag
-
Generate the "Aggressive" Parameterization of AndersenPykhtinSokolLag
- Aggressive(JulianDate, String) - Static method in class org.drip.exposure.csatimeline.EventSequence
-
Construct an Instance of Aggressive EventSequence
- AggressiveTimeline - Class in org.drip.sample.csaevents
-
AggressiveTimeline describes CSA mandated Events Time-line occurring Margin Period, as enforced by an
"Aggressive" Dealer.
- AggressiveTimeline() - Constructor for class org.drip.sample.csaevents.AggressiveTimeline
-
- AgnosticConvexLearning(R1ToR1, double) - Static method in class org.drip.learning.bound.CoveringNumberBoundBuilder
-
Construct the Agnostic Convex Learning CoveringNumberProbabilityBound Instance
- agnosticCoveringNumberBounds() - Method in class org.drip.spaces.functionclass.NormedR1ToL1R1Finite
-
- agnosticCoveringNumberBounds() - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
-
- agnosticCoveringNumberBounds() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
- agnosticCoveringNumberBounds() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
-
Retrieve the Agnostic Covering Number Upper/Lower Bounds for the Function Class
- AgnosticLearning(R1ToR1, double) - Static method in class org.drip.learning.bound.CoveringNumberBoundBuilder
-
Construct the Agnostic Learning CoveringNumberProbabilityBound Instance
- agnosticUpperBound() - Method in class org.drip.learning.kernel.EigenFunctionRdToR1
-
Retrieve the Agnostic Upper Bound of the Eigen-Function
- agnosticVarianceBound() - Method in class org.drip.sequence.functional.BinaryIdempotentUnivariateRandom
-
- agnosticVarianceBound() - Method in class org.drip.sequence.functional.BoundedIdempotentUnivariateRandom
-
Retrieve the Maximal Agnostic Variance Bound Over the Variate Range
- Agra - Class in org.drip.sample.bondeos
-
Agra demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation fo Agra.
- Agra() - Constructor for class org.drip.sample.bondeos.Agra
-
- Ahmedabad - Class in org.drip.sample.bondmetrics
-
Ahmedabad generates the Full Suite of Replication Metrics for Bond Ahmedabad.
- Ahmedabad() - Constructor for class org.drip.sample.bondmetrics.Ahmedabad
-
- Ahmednagar - Class in org.drip.sample.securitysuite
-
Ahmednagar generates the Full Suite of Replication Metrics for Bond Ahmednagar.
- Ahmednagar() - Constructor for class org.drip.sample.securitysuite.Ahmednagar
-
- Aizawl - Class in org.drip.sample.bondmetrics
-
Aizawl demonstrates the Analytics Calculation/Reconciliation for the Bond Aizawl.
- Aizawl() - Constructor for class org.drip.sample.bondmetrics.Aizawl
-
- Ajmer - Class in org.drip.sample.bondmetrics
-
Ajmer demonstrates the Analytics Calculation/Reconciliation for the Bond Ajmer.
- Ajmer() - Constructor for class org.drip.sample.bondmetrics.Ajmer
-
- AkimaC1(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
Generate a Akima C1 Array from the specified Array of Predictor Ordinates and the Response Values.
- AkimaLocalC1Generator - Class in org.drip.spline.pchip
-
AkimaLocalC1Generator generates the local control C1 Slope using the Akima Cubic Algorithm:
Akima (1970): A New Method of Interpolation and Smooth Curve Fitting based on Local Procedures,
Journal of the Association for the Computing Machinery 17 (4), 589-602.
- Akola - Class in org.drip.sample.bondmetrics
-
Akola demonstrates the Analytics Calculation/Reconciliation for the Bond Akola.
- Akola() - Constructor for class org.drip.sample.bondmetrics.Akola
-
- Aksu - Class in org.drip.sample.bondeos
-
Aksu demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Aksu.
- Aksu() - Constructor for class org.drip.sample.bondeos.Aksu
-
- ALBANESE_ANDERSEN_METRICS_POINTER - Static variable in class org.drip.xva.settings.AdjustmentDigestScheme
-
Albanese Andersen Metrics Pointer Scheme
- ALBANESE_ANDERSEN_VERTEX - Static variable in class org.drip.xva.settings.PositionReplicationScheme
-
Albanese Andersen Vertex Generator Scheme
- AlbaneseAndersen - Class in org.drip.xva.vertex
-
AlbaneseAndersen holds the Albanese and Andersen (2014) Vertex Exposures of a Projected Path of a
Simulation Run of a Collateral Hypothecation Group.
- AlbaneseAndersen(JulianDate, double, double, double) - Constructor for class org.drip.xva.vertex.AlbaneseAndersen
-
AlbaneseAndersen Constructor
- AlbaneseAndersenBaselProxy - Class in org.drip.sample.xvafixfloat
-
AlbaneseAndersenBaselProxy simulates for various Latent States and Exposures for an Fix Float Swap and
computes the XVA Metrics using the Basel Proxy-Style Exposure Generator using Albanese Andersen
Vertexes.
- AlbaneseAndersenBaselProxy() - Constructor for class org.drip.sample.xvafixfloat.AlbaneseAndersenBaselProxy
-
- AlbaneseAndersenFundingGroupPath - Class in org.drip.xva.strategy
-
AlbaneseAndersenFundingGroupPath rolls up the Path Realizations of the Sequence in a Single Path
Projection Run over Multiple Collateral Groups onto a Single Funding Group in accordance with the
Albanese Andersen (2014) Scheme.
- AlbaneseAndersenFundingGroupPath(CreditDebtGroupPath[], MarketPath) - Constructor for class org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath
-
AlbaneseAndersenFundingGroupPath Constructor
- AlbaneseAndersenNettingGroupPath - Class in org.drip.xva.strategy
-
AlbaneseAndersenNettingGroupPath rolls up the Path Realizations of the Sequence in a Single Path
Projection Run over Multiple Collateral Groups onto a Single Netting Group in accordance with the
Albanese Andersen (2014) Scheme.
- AlbaneseAndersenNettingGroupPath(CollateralGroupPath[], MarketPath) - Constructor for class org.drip.xva.strategy.AlbaneseAndersenNettingGroupPath
-
AlbaneseAndersenNettingGroupPath Constructor
- AlbrecherMayerSchoutensTistaert - Class in org.drip.sample.stochasticvolatility
-
AlbrecherMayerSchoutensTistaert displays the Heston (1993) Price/Vol Surface across the Range of Strikes
and Maturities, demonstrating the smiles and the skews.
- AlbrecherMayerSchoutensTistaert() - Constructor for class org.drip.sample.stochasticvolatility.AlbrecherMayerSchoutensTistaert
-
- Aligarh - Class in org.drip.sample.bondsink
-
Aligarh generates the Full Suite of Replication Metrics for the Sinker Bond Aligarh.
- Aligarh() - Constructor for class org.drip.sample.bondsink.Aligarh
-
- ALL - Static variable in class org.drip.simm.credit.SectorSystemics
-
The "All" Sector
- ALL - Static variable in class org.drip.simm.equity.MarketCapitalizationSystemics
-
The "All" Market Capitalization
- ALL - Static variable in class org.drip.simm.equity.RegionSystemics
-
The "All" Region
- Allahabad - Class in org.drip.sample.bondeos
-
Allahabad demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Allahabad.
- Allahabad() - Constructor for class org.drip.sample.bondeos.Allahabad
-
- allocate(PortfolioConstructionParameters, AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.ConstrainedMeanVarianceOptimizer
-
- allocate(PortfolioConstructionParameters, AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.MeanVarianceOptimizer
-
Allocate the Optimal Portfolio Weights given the Portfolio Construction Parameters
- allocate(PortfolioConstructionParameters, AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.QuadraticMeanVarianceOptimizer
-
- allocationAdjustmentTilt() - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanOutput
-
Retrieve the Array of the Black Litterman Allocation Adjustment Tilts
- allowCrossOver() - Method in class org.drip.portfolioconstruction.optimizer.Strategy
-
Indicate if Cross Over is allowed
- allowGrandFathering() - Method in class org.drip.portfolioconstruction.optimizer.Strategy
-
Indicate if Grand-fathering of the "Previous" is to be performed
- almgren2003() - Method in class org.drip.execution.athl.DynamicsParameters
-
Generate an Instance of the Almgren 2003 Dynamics Parameters
- Almgren2003(ArithmeticPriceDynamicsSettings, BackgroundParticipationRateLinear, BackgroundParticipationRate) - Static method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParametersBuilder
-
Almgren 2003 Version of LinearPermanentExpectationParameters Instance
- Almgren2003Estimator - Class in org.drip.execution.principal
-
Almgren2003Estimator generates the Gross Profit Distribution and the Information Ratio for a given Level
of Principal Discount for an Optimal Trajectory that is generated using the Almgren (2003) Scheme.
- Almgren2003Estimator(PowerImpactContinuous, LinearPermanentExpectationParameters) - Constructor for class org.drip.execution.principal.Almgren2003Estimator
-
Almgren2003Estimator Constructor
- AlmgrenChriss(double, double, double) - Static method in class org.drip.execution.parameters.PriceMarketImpactLinear
-
Construct a Standard PriceMarketImpactLinear Instance
- AlmgrenChrissDiscrete - Class in org.drip.execution.optimum
-
AlmgrenChrissDiscrete contains the Trading Trajectory generated by the Almgren and Chriss (2000) Scheme
under the Criterion of No-Drift.
- AlmgrenChrissDiscrete(double[], double[], double[], double, double, double, double, double) - Constructor for class org.drip.execution.optimum.AlmgrenChrissDiscrete
-
AlmgrenChrissDiscrete Constructor
- AlmgrenChrissDriftDiscrete - Class in org.drip.execution.optimum
-
AlmgrenChrissDriftDiscrete contains the Trading Trajectory generated by the Almgren and Chriss (2000)
Scheme under the Criterion of Non-zero Drift.
- AlmgrenChrissDriftDiscrete(double[], double[], double[], double[], double[], double, double, double, double, double, double, double) - Constructor for class org.drip.execution.optimum.AlmgrenChrissDriftDiscrete
-
AlmgrenChrissDriftDiscrete Constructor
- AlmgrenConstantTradingEnhanced - Class in org.drip.sample.execution
-
AlmgrenConstantTradingEnhanced demonstrates the Generation of the Optimal Trading Trajectory under the
Condition of Constant Trading Enhanced Volatility using a Numerical Optimization Technique.
- AlmgrenConstantTradingEnhanced() - Constructor for class org.drip.sample.execution.AlmgrenConstantTradingEnhanced
-
- AlmgrenEnhancedEulerUpdate - Class in org.drip.function.r1tor1
-
AlmgrenEnhancedEulerUpdate is a R^1 To R^1 Function that is used in Almgren (2009, 2012) to illustrate the
Construction of the Enhanced Euler Update Scheme.
- AlmgrenEnhancedEulerUpdate(double, double) - Constructor for class org.drip.function.r1tor1.AlmgrenEnhancedEulerUpdate
-
AlmgrenEnhancedEulerUpdate Constructor
- AlmgrenLinearTradingEnhanced - Class in org.drip.sample.execution
-
AlmgrenLinearTradingEnhanced demonstrates the Generation of the Optimal Trading Trajectory under the
Condition of Linear Trading Enhanced Volatility using a Numerical Optimization Technique.
- AlmgrenLinearTradingEnhanced() - Constructor for class org.drip.sample.execution.AlmgrenLinearTradingEnhanced
-
- alongAwayVariate(double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Compute the Along/Away "Naturally" Incremented Variates
- alpha(int, int) - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
-
Calculate the Alpha
- alpha() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics
-
Retrieve the Node's Alpha
- alpha() - Method in class org.drip.portfolioconstruction.mpt.AssetSecurityCharacteristicLine
-
Retrieve the Asset's Alpha
- alpha() - Method in class org.drip.portfolioconstruction.objective.ReturnsTerm
-
Retrieve the Array of Alphas
- alpha0() - Method in class org.drip.exposure.csadynamics.NumeraireInducedMeasureShift
-
Return the Constant Strike Coefficient of the Relative Measure Differential
- alpha1() - Method in class org.drip.exposure.csadynamics.NumeraireInducedMeasureShift
-
Return the Linear Strike Coefficient of the Relative Measure Differential
- AlphaGroup - Class in org.drip.portfolioconstruction.composite
-
AlphaGroup contains the Group of Alphas for the specified Set of Assets.
- AlphaGroup(String, String, String) - Constructor for class org.drip.portfolioconstruction.composite.AlphaGroup
-
AlphaGroup Constructor
- alphaGroup() - Method in class org.drip.portfolioconstruction.core.Account
-
Retrieve the Alpha Group Instance
- alphaUncertainty() - Method in class org.drip.portfolioconstruction.objective.RobustErrorTerm
-
Retrieve the Alpha Uncertainty Matrix
- alphaUncertaintyGroup() - Method in class org.drip.portfolioconstruction.core.Account
-
Retrieve the Alpha Uncertainty Group Instance
- AlphaUncertaintyGroup - Class in org.drip.portfolioconstruction.risk
-
AlphaUncertaintyGroup contains the Group of Alpha Uncertainties for the specified Group of Assets.
- AlphaUncertaintyGroup(String, String, String) - Constructor for class org.drip.portfolioconstruction.risk.AlphaUncertaintyGroup
-
AlphaUncertaintyGroup Constructor
- Altay - Class in org.drip.sample.bondeos
-
Altay demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Altay.
- Altay() - Constructor for class org.drip.sample.bondeos.Altay
-
- alternateNames() - Method in class org.drip.analytics.daycount.DC1_1
-
- alternateNames() - Method in class org.drip.analytics.daycount.DC28_360
-
- alternateNames() - Method in class org.drip.analytics.daycount.DC30_360
-
- alternateNames() - Method in class org.drip.analytics.daycount.DC30_365
-
- alternateNames() - Method in class org.drip.analytics.daycount.DC30_Act
-
- alternateNames() - Method in class org.drip.analytics.daycount.DC30E_360
-
- alternateNames() - Method in class org.drip.analytics.daycount.DC30E_360_ISDA
-
- alternateNames() - Method in class org.drip.analytics.daycount.DC30EPLUS_360_ISDA
-
- alternateNames() - Method in class org.drip.analytics.daycount.DCAct_360
-
- alternateNames() - Method in class org.drip.analytics.daycount.DCAct_364
-
- alternateNames() - Method in class org.drip.analytics.daycount.DCAct_365
-
- alternateNames() - Method in class org.drip.analytics.daycount.DCAct_365L
-
- alternateNames() - Method in class org.drip.analytics.daycount.DCAct_Act
-
- alternateNames() - Method in class org.drip.analytics.daycount.DCAct_Act_ISDA
-
- alternateNames() - Method in class org.drip.analytics.daycount.DCAct_Act_UST
-
- alternateNames() - Method in interface org.drip.analytics.daycount.DCFCalculator
-
Retrieves the full set of alternate names corresponding to the DCF Calculator
- alternateNames() - Method in class org.drip.analytics.daycount.DCNL_360
-
- alternateNames() - Method in class org.drip.analytics.daycount.DCNL_365
-
- alternateNames() - Method in class org.drip.analytics.daycount.DCNL_Act
-
- Alwar - Class in org.drip.sample.loan
-
Alwar demonstrates the Analytics Calculation/Reconciliation for the Loan Alwar.
- Alwar() - Constructor for class org.drip.sample.loan.Alwar
-
- Amaravati - Class in org.drip.sample.bondsink
-
Amaravati generates the Full Suite of Replication Metrics for the Sinker Bond Amaravati.
- Amaravati() - Constructor for class org.drip.sample.bondsink.Amaravati
-
- Ambattur - Class in org.drip.sample.bondmetrics
-
Ambattur demonstrates the Analytics Calculation/Reconciliation for the Bond Ambattur.
- Ambattur() - Constructor for class org.drip.sample.bondmetrics.Ambattur
-
- AmortizingBondPeriods - Class in org.drip.sample.cashflow
-
AmortizingBondPeriods demonstrates the Cash Flow Period Details for an Amortizing Fixed Coupon Bond.
- AmortizingBondPeriods() - Constructor for class org.drip.sample.cashflow.AmortizingBondPeriods
-
- AmortizingCapitalizingAccruingSwap - Class in org.drip.sample.fixfloat
-
AmortizingCapitalizingAccruingSwap demonstrates the construction and Valuation of in-advance Amortizing,
Accruing, and Capitalizing Swaps.
- AmortizingCapitalizingAccruingSwap() - Constructor for class org.drip.sample.fixfloat.AmortizingCapitalizingAccruingSwap
-
- amount() - Method in class org.drip.assetbacked.borrower.MonthlyGrossIncome
-
Retrieve the Borrower's Monthly Gross Income
- amount() - Method in class org.drip.assetbacked.loan.OriginalPrincipal
-
Retrieve the Original Principal Amount
- amount() - Method in class org.drip.param.definition.ManifestMeasureTweak
-
Amount to be tweaked by
- amount() - Method in class org.drip.portfolioconstruction.asset.AssetComponent
-
Retrieve the Asset Amount
- amount() - Method in class org.drip.xva.basel.ValueAdjustment
-
Retrieve the Valuation Adjustment Amount
- amplitude() - Method in class org.drip.spline.params.SegmentFlexurePenaltyControl
-
Retrieve the Roughness Curvature Penalty Amplitude
- Amritsar - Class in org.drip.sample.bondeos
-
Amritsar demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Amritsar.
- Amritsar() - Constructor for class org.drip.sample.bondeos.Amritsar
-
- anchorDate() - Method in class org.drip.exposure.universe.MarketVertex
-
Retrieve the Date Anchor
- anchorDates() - Method in class org.drip.exposure.universe.MarketPath
-
Retrieve the Array of the Vertex Anchor Dates
- AndersenPiterbargMeanReverter - Class in org.drip.function.r1tor1
-
AndersenPiterbargMeanReverter implements the mean-reverting Univariate Function detailed in:
- Andersen and Piterbarg (2010): Interest Rate Modeling (3 Volumes), Atlantic Financial Press.
- AndersenPiterbargMeanReverter(ExponentialDecay, R1ToR1) - Constructor for class org.drip.function.r1tor1.AndersenPiterbargMeanReverter
-
AndersenPiterbargMeanReverter constructor
- AndersenPykhtinSokolDates - Class in org.drip.sample.csaevents
-
AndersenPykhtinSokolDates generates the Intra-Period Dates inside a Margin.
- AndersenPykhtinSokolDates() - Constructor for class org.drip.sample.csaevents.AndersenPykhtinSokolDates
-
- AndersenPykhtinSokolEnsemble - Class in org.drip.exposure.regressiontrade
-
AndersenPykhtinSokolEnsemble adjusts the Variation Margin, computes Path-wise Local Volatility, and
eventually estimates the Path-wise Unadjusted Variation Margin across the Suite of Simulated Paths.
- AndersenPykhtinSokolEnsemble(VariationMarginTradePaymentVertex, MarketPath[], int[]) - Constructor for class org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble
-
AndersenPykhtinSokolEnsemble Constructor
- AndersenPykhtinSokolLag - Class in org.drip.exposure.csatimeline
-
AndersenPykhtinSokolLag holds the Client/Dealer Margin Flow and Trade Flow Lags using the Parameterization
laid out in Andersen, Pykhtin, and Sokol (2017).
- AndersenPykhtinSokolLag(int, int, int, int) - Constructor for class org.drip.exposure.csatimeline.AndersenPykhtinSokolLag
-
AndersenPykhtinSokolLag Constructor
- andersenPykhtinSokolPath(int[]) - Method in class org.drip.exposure.regressiontrade.AdjustedVariationMarginEstimator
-
Generate the Path-wise Andersen Pykhtin Sokol (2017) Variation Margin Estimates on the Exposure Dates
- AndersenPykhtinSokolPath - Class in org.drip.exposure.regressiontrade
-
AndersenPykhtinSokolPath holds the holds the Sparse Path Adjusted/Unadjusted Exposures along with Dense
Trade Payments.
- AndersenPykhtinSokolPath(TradePayment[]) - Constructor for class org.drip.exposure.regressiontrade.AndersenPykhtinSokolPath
-
AndersenPykhtinSokolPath Constructor
- AndersenPykhtinSokolSegment - Class in org.drip.exposure.regression
-
AndersenPykhtinSokolSegment generates the Segment Regression Based Exposures off of the corresponding
Pillar Vertexes using the Pykhtin (2009) Scheme with the Andersen, Pykhtin, and Sokol (2017) Adjustments
applied.
- AndersenPykhtinSokolSegment(int, PillarVertex, PillarVertex, R1ToR1) - Constructor for class org.drip.exposure.regression.AndersenPykhtinSokolSegment
-
AndersenPykhtinSokolSegment Constructor
- AndersenPykhtinSokolStretch - Class in org.drip.exposure.regression
-
AndersenPykhtinSokolStretch generates the Regression Based Path Exposures off of the Pillar Vertexes using
the Pykhtin (2009) Scheme.
- AndersenPykhtinSokolStretch(int[], double[], R1ToR1[], TradePayment[]) - Constructor for class org.drip.exposure.regression.AndersenPykhtinSokolStretch
-
AndersenPykhtinSokolStretch Constructor
- AndersenPykhtinSokolTrajectory - Class in org.drip.exposure.regressiontrade
-
AndersenPykhtinSokolTrajectory holds the per-Path Variation Margin Trajectory and theTrade Flow Array.
- AndersenPykhtinSokolTrajectory(Map<Integer, Double>, TradePayment[]) - Constructor for class org.drip.exposure.regressiontrade.AndersenPykhtinSokolTrajectory
-
AndersenPykhtinSokolTrajectory Constructor
- ANGHoliday - Class in org.drip.analytics.holset
-
- ANGHoliday() - Constructor for class org.drip.analytics.holset.ANGHoliday
-
- annuity() - Method in class org.drip.analytics.output.BulletMetrics
-
Retrieve the Terminal Annuity in the Pay Currency
- Anqing - Class in org.drip.sample.bondeos
-
Anqing demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Anqing.
- Anqing() - Constructor for class org.drip.sample.bondeos.Anqing
-
- Anshan - Class in org.drip.sample.bondeos
-
Anshan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Anshan.
- Anshan() - Constructor for class org.drip.sample.bondeos.Anshan
-
- anterior() - Method in class org.drip.analytics.daycount.DateEOMAdjustment
-
Retrieve the Anterior Date Adjustment
- antitheticMultiPathVertexRd() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
-
Generate Antithetic Multi-Path R^d Vertex Realizations Array
- antitheticPairPathVertexRd() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
-
Generate an Antithetic Pair Path R^d Vertex Realizations
- antitheticVertexPairRealization() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
-
Generate an Antithetic R^d Vertex Pair Realization
- Anyang - Class in org.drip.sample.bondeos
-
Anyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Anyang.
- Anyang() - Constructor for class org.drip.sample.bondeos.Anyang
-
- AppendSegment(MultiSegmentSequence, double, SegmentResponseValueConstraint, SegmentCustomBuilderControl, BoundarySettings, int) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceModifier
-
Append a Segment to the Right of the Specified Stretch using the Supplied Constraint
- AppendWengert(List<WengertJacobian>) - Static method in class org.drip.quant.common.CollectionUtil
-
Append the Wengert Jacobians inside the list onto one single composite
- APPLY_BACKWARD - Static variable in class org.drip.quant.fourier.RotationCountPhaseTracker
-
APPLY_BACKWARD - Decrement Rotation Count
- APPLY_FORWARD - Static variable in class org.drip.quant.fourier.RotationCountPhaseTracker
-
APPLY_FORWARD - Increment Rotation Count
- APPLY_NONE - Static variable in class org.drip.quant.fourier.RotationCountPhaseTracker
-
APPLY_NONE - Do not Apply Rotation Count
- applyAntithetic() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
-
Indicate if the Antithetic Variable Generation is to be applied
- applyFlatForwardRate() - Method in class org.drip.param.valuation.ValuationCustomizationParams
-
Indicate if Forward Rate is to be Projected using its Current Value
- ApplyMonotoneFilter(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
Apply the Monotone Filter in the Input C1 Entry
- applyMonotoneFilter() - Method in class org.drip.state.estimator.LocalControlCurveParams
-
Retrieve the Apply Monotone Filter Flag
- applySpread() - Method in class org.drip.market.otc.CrossFloatStreamConvention
-
Retrieve the "Apply Spread" Flag
- applyYieldEOMAdj() - Method in class org.drip.param.valuation.ValuationCustomizationParams
-
Indicate if EOM Adjustment is to be made for the Yield Calculation
- ApproximateLipschitzLossLearner - Class in org.drip.learning.rxtor1
-
ApproximateLipschitzLossLearner implements the Learner Class that holds the Space of Normed R^d To Normed
R^1 Learning Functions for the Family of Loss Functions that are "approximately" Lipschitz, i.e.,
loss (ep) - loss (ep') Less Than max (C * |ep-ep'|, C')
The References are:
1) Alon, N., S.
- ApproximateLipschitzLossLearner(NormedRxToNormedR1Finite, CoveringNumberLossBound, RegularizationFunction, double, double) - Constructor for class org.drip.learning.rxtor1.ApproximateLipschitzLossLearner
-
ApproximateLipschitzLossLearner Constructor
- APRIL - Static variable in class org.drip.analytics.date.DateUtil
-
Integer Month - April
- aps2017Designation() - Method in class org.drip.exposure.csatimeline.EventDate
-
Retrieve the Andersen Pykhtin Sokol (2017) CSA Event Designation
- ARAHoliday - Class in org.drip.analytics.holset
-
- ARAHoliday() - Constructor for class org.drip.analytics.holset.ARAHoliday
-
- ARFHoliday - Class in org.drip.analytics.holset
-
- ARFHoliday() - Constructor for class org.drip.analytics.holset.ARFHoliday
-
- argument() - Method in class org.drip.quant.fourier.ComplexNumber
-
Retrieve the Argument
- arithmeticPriceDynamicsSettings() - Method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters
-
Retrieve the Arithmetic Price Dynamics Settings Instance
- ArithmeticPriceDynamicsSettings - Class in org.drip.execution.parameters
-
ArithmeticPriceDynamicsSettings contains the Arithmetic Price Evolution Dynamics Parameters used in the
Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.
- ArithmeticPriceDynamicsSettings(double, R1ToR1, double) - Constructor for class org.drip.execution.parameters.ArithmeticPriceDynamicsSettings
-
ArithmeticPriceDynamicsSettings Constructor
- ArithmeticPriceEvolutionParameters - Class in org.drip.execution.dynamics
-
ArithmeticPriceEvolutionParameters contains the Exogenous Parameters that determine the Dynamics of the
Arithmetic Price Movements exhibited by an Asset owing to the Volatility and the Market Impact Factors.
- ArithmeticPriceEvolutionParameters(ArithmeticPriceDynamicsSettings, BackgroundParticipationRate, BackgroundParticipationRate, BackgroundParticipationRate, BackgroundParticipationRate) - Constructor for class org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters
-
ArithmeticPriceEvolutionParameters Constructor
- ArithmeticPriceEvolutionParametersBuilder - Class in org.drip.execution.dynamics
-
ArithmeticPriceEvolutionParametersBuilder constructs a variety of Arithmetic Price Evolution Parameters.
- ArithmeticPriceEvolutionParametersBuilder() - Constructor for class org.drip.execution.dynamics.ArithmeticPriceEvolutionParametersBuilder
-
- ArmijoEvolutionMetrics - Class in org.drip.sample.descentverifier
-
ArmijoEvolutionMetrics demonstrates the Impact of applying the Armijo Criterion on the Evolution of the
R^d Fixed Point of a Constrained Minimization Search.
- ArmijoEvolutionMetrics() - Constructor for class org.drip.sample.descentverifier.ArmijoEvolutionMetrics
-
- ArmijoEvolutionVerifier - Class in org.drip.function.rdtor1descent
-
ArmijoEvolutionVerifier implements the Armijo Criterion used for the Inexact Line Search Increment
Generation to ascertain that the Function has reduced sufficiently.
- ArmijoEvolutionVerifier(double, boolean) - Constructor for class org.drip.function.rdtor1descent.ArmijoEvolutionVerifier
-
ArmijoEvolutionVerifier Constructor
- ArmijoEvolutionVerifierMetrics - Class in org.drip.function.rdtor1descent
-
ArmijoEvolutionVerifierMetrics implements the Armijo Criterion used for the Inexact Line Search Increment
Generation to ascertain that the Function has reduced sufficiently.
- ArmijoEvolutionVerifierMetrics(double, boolean, UnitVector, double[], double, double, double, double[]) - Constructor for class org.drip.function.rdtor1descent.ArmijoEvolutionVerifierMetrics
-
ArmijoEvolutionVerifierMetrics Constructor
- armijoParameter() - Method in class org.drip.function.rdtor1descent.ArmijoEvolutionVerifier
-
Retrieve the Armijo Parameter
- armijoParameter() - Method in class org.drip.function.rdtor1descent.ArmijoEvolutionVerifierMetrics
-
Retrieve the Armijo Parameter
- armijoParameter() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifier
-
Retrieve the Armijo Parameter
- armijoParameter() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifierMetrics
-
Retrieve the Armijo Parameter
- ARNHoliday - Class in org.drip.analytics.holset
-
- ARNHoliday() - Constructor for class org.drip.analytics.holset.ARNHoliday
-
- ARPHoliday - Class in org.drip.analytics.holset
-
- ARPHoliday() - Constructor for class org.drip.analytics.holset.ARPHoliday
-
- Array(String[]) - Static method in class org.drip.json.parser.Converter
-
Construct a JSON Array out of the String Array
- Array(int[]) - Static method in class org.drip.json.parser.Converter
-
Construct a JSON Array out of the Integer Array
- Array(double[]) - Static method in class org.drip.json.parser.Converter
-
Construct a JSON Array out of the Double Array
- Array(double[][]) - Static method in class org.drip.json.parser.Converter
-
Construct a JSON 2D Array out of the 2D Double Array
- Array(boolean[]) - Static method in class org.drip.json.parser.Converter
-
Construct a JSON Array out of the Boolean Array
- Array(JulianDate[]) - Static method in class org.drip.json.parser.Converter
-
Construct a JSON Array out of the JulianDate Array
- array() - Method in class org.drip.spaces.big.BigR1Array
-
Retrieve the Array Contents
- Array2D - Class in org.drip.quant.common
-
Array2D the contains array of x and y.
- ARSHoliday - Class in org.drip.analytics.holset
-
- ARSHoliday() - Constructor for class org.drip.analytics.holset.ARSHoliday
-
- Asansol - Class in org.drip.sample.bondmetrics
-
Asansol demonstrates the Analytics Calculation/Reconciliation for the Bond Asansol.
- Asansol() - Constructor for class org.drip.sample.bondmetrics.Asansol
-
- ascendingNodeArray(double[], int) - Method in class org.drip.spaces.big.BinaryTree
-
Build a Consolidated Ascending Array of all the Constituent Nodes
- ascendingNodeList(List<Double>) - Method in class org.drip.spaces.big.BinaryTree
-
Build a Consolidated Ascending List of all the Constituent Nodes
- ascendingNodeList() - Method in class org.drip.spaces.big.BinaryTree
-
Build a Consolidated Ascending List of all the Constituent Nodes
- asp(String) - Method in class org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
-
Retrieve the ASP Instance corresponding to the specified ID
- Asset - Class in org.drip.portfolioconstruction.core
-
Asset holds the Details of a given Asset.
- Asset(String, String, String, String, String) - Constructor for class org.drip.portfolioconstruction.core.Asset
-
Asset Constructor
- ASSET - Static variable in class org.drip.portfolioconstruction.optimizer.Scope
-
Applicable Scope Level - ASSET
- asset() - Method in class org.drip.xva.basel.BalanceSheetVertex
-
Retrieve the Asset Account
- asset() - Method in class org.drip.xva.definition.SimpleBalanceSheet
-
Retrieve the Balance Sheet Asset
- asset() - Method in class org.drip.xva.pde.ParabolicDifferentialOperator
-
Retrieve the Tradeable Position
- assetAccumulation() - Method in class org.drip.xva.derivative.CashAccountEdge
-
Retrieve the Incremental Amount added to the Cash Account coming from the Asset
- AssetBounds - Class in org.drip.portfolioconstruction.asset
-
AssetBounds holds the Upper/Lower Bounds on an Asset.
- AssetBounds(double, double) - Constructor for class org.drip.portfolioconstruction.asset.AssetBounds
-
AssetBounds Constructor
- AssetComponent - Class in org.drip.portfolioconstruction.asset
-
AssetComponent holds the Amount of an Asset given by the corresponding ID.
- AssetComponent(String, double) - Constructor for class org.drip.portfolioconstruction.asset.AssetComponent
-
AssetComponent Constructor
- assetCovariance() - Method in class org.drip.portfolioconstruction.constraint.LimitRiskTerm
-
Retrieve the Asset Co-variance
- assetCovariance() - Method in class org.drip.portfolioconstruction.objective.RiskTerm
-
Retrieve the Asset Co-variance Matrix
- assetCovariance() - Method in class org.drip.portfolioconstruction.objective.RobustErrorTerm
-
Retrieve the Asset Co-variance Matrix
- AssetCovariance - Interface in org.drip.portfolioconstruction.risk
-
AssetCovariance contains the Abstract Joint Co-variance (Dense/Factor) for the Pair of the Set of Assets.
- AssetCovarianceDense - Class in org.drip.portfolioconstruction.risk
-
AssetCovarianceDense contains the Joint Dense Covariance for the Pair of the Set of Assets.
- AssetCovarianceDense(String, String, String) - Constructor for class org.drip.portfolioconstruction.risk.AssetCovarianceDense
-
AssetCovarianceDense Constructor
- AssetCovarianceFactor - Class in org.drip.portfolioconstruction.risk
-
AssetCovarianceFactor contains the Joint Factor Covariance for the Pair of the Set of Assets.
- AssetCovarianceFactor(String, String, String) - Constructor for class org.drip.portfolioconstruction.risk.AssetCovarianceFactor
-
AssetCovarianceFactor Constructor
- assetExcessReturnsCovariance() - Method in class org.drip.portfolioconstruction.allocator.ForwardReverseOptimizationOutput
-
Retrieve the Excess Returns Co-variance Matrix between each Pair-wise Asset
- assetFactorLoading() - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
-
Retrieve the Joint Asset-Factor Loading Map
- assetFactorLoading(String) - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
-
Retrieve the Factor Loading for the specified Asset
- assetFlowParameters() - Method in class org.drip.execution.athl.DynamicsParameters
-
Retrieve the Asset Flow Parameters Instance
- assetFlowParameters() - Method in class org.drip.execution.athl.PermanentImpactNoArbitrage
-
Retrieve the Asset Flow Parameters
- assetFlowParameters() - Method in class org.drip.execution.athl.PermanentImpactQuasiArbitrage
-
Retrieve the Asset Flow Parameters
- assetFlowParameters() - Method in class org.drip.execution.athl.TemporaryImpact
-
Retrieve the Asset Flow Parameters
- AssetFlowSettings - Class in org.drip.execution.parameters
-
AssetFlowSettings contains the Asset's Market Flow Parameters that are determined empirically from
Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003).
- AssetFlowSettings(String, double, double, double) - Constructor for class org.drip.execution.parameters.AssetFlowSettings
-
AssetFlowSettings Constructor
- assetID() - Method in class org.drip.execution.parameters.AssetFlowSettings
-
Retrieve the Asset ID
- assetList() - Method in class org.drip.exposure.evolver.PrimarySecurityDynamicsContainer
-
Retrieve the Asset Primary Security List
- assets() - Method in class org.drip.portfolioconstruction.allocator.PortfolioConstructionParameters
-
Retrieve the Asset ID Array
- assets() - Method in class org.drip.portfolioconstruction.asset.Portfolio
-
Retrieve the Array of the Asset Components
- assets() - Method in class org.drip.portfolioconstruction.composite.Holdings
-
Retrieve the Set of Asset IDs
- AssetSecurityCharacteristicLine - Class in org.drip.portfolioconstruction.mpt
-
AssetSecurityCharacteristicLine holds the Asset's Alpha and Beta from which the Asset's Excess Returns
over the Risk-Free Rate are estimated.
- AssetSecurityCharacteristicLine(double, double) - Constructor for class org.drip.portfolioconstruction.mpt.AssetSecurityCharacteristicLine
-
AssetSecurityCharacteristicLine Constructor
- assetSpaceLoading() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionSpecification
-
Retrieve the Matrix of Asset To-From Projection Portfolio Pick Weights
- AssetSpaceProjectionCovariance(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
-
Compute the Asset Space Projection Co-variance
- assetSpecificAttribute(String) - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
-
Retrieve the Asset Specific Attribute
- AssetStatisticalProperties - Class in org.drip.portfolioconstruction.params
-
AssetStatisticalProperties holds the Statistical Properties of a given Asset.
- AssetStatisticalProperties(String, String, double, double) - Constructor for class org.drip.portfolioconstruction.params.AssetStatisticalProperties
-
AssetStatisticalProperties Constructor
- AssetTransactionSettings - Class in org.drip.execution.parameters
-
ArithmeticLinearMarketImpact contains the Arithmetic Linear Market Impact Inputs used in the Construction
of the Impact Parameters for the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.
- AssetTransactionSettings(double, double, double) - Constructor for class org.drip.execution.parameters.AssetTransactionSettings
-
AssetTransactionSettings Constructor
- AssetUniverseStatisticalProperties - Class in org.drip.portfolioconstruction.params
-
AssetUniverseStatisticalProperties holds the Statistical Properties of a Pool of Assets.
- AssetUniverseStatisticalProperties(double) - Constructor for class org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
-
AssetUniverseStatisticalProperties Constructor
- association() - Method in class org.drip.state.identifier.CSALabel
-
Retrieve the CSA Specification Association/Organization
- asw() - Method in class org.drip.analytics.output.BondRVMeasures
-
Retrieve the Asset Swap Spread
- aswFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from Bond Basis to Work-out
- aswFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from Bond Basis to Maturity
- aswFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from Bond Basis to Optimal Exercise
- aswFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from Credit Basis to Work-out
- aswFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from Credit Basis to Maturity
- aswFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from Credit Basis to Optimal Exercise
- aswFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from Discount Margin to Work-out
- aswFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from Discount Margin to Maturity
- aswFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from Discount Margin to Optimal Exercise
- aswFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from E Spread to Work-out
- aswFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from E Spread to Maturity
- aswFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from E Spread to Optimal Exercise
- aswFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from G Spread to Work-out
- aswFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from G Spread to Maturity
- aswFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from G Spread to Optimal Exercise
- aswFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from I Spread to Work-out
- aswFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from I Spread to Maturity
- aswFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from I Spread to Optimal Exercise
- aswFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from J Spread to Work-out
- aswFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from J Spread to Maturity
- aswFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from J Spread to Optimal Exercise
- aswFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from N Spread to Work-out
- aswFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from N Spread to Maturity
- aswFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from JN Spread to Optimal Exercise
- aswFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from OAS to Work-out
- aswFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from OAS to Maturity
- aswFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from OAS to Optimal Exercise
- aswFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from PECS to Work-out
- aswFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from PECS to Maturity
- aswFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from PECS to Optimal Exercise
- aswFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from Price to Work-out
- aswFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from Price to Maturity
- aswFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from Price to Optimal Exercise
- aswFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from TSY Spread to Work-out
- aswFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from TSY Spread to Maturity
- aswFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from TSY Spread to Optimal Exercise
- aswFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from Yield to Work-out
- aswFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from Yield to Maturity
- aswFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from Yield Spread to Work-out
- aswFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from Yield Spread to Maturity
- aswFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from Yield Spread to Optimal Exercise
- aswFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from Yield to Optimal Exercise
- aswFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from Z Spread to Work-out
- aswFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from Z Spread to Maturity
- aswFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- aswFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate ASW from Z Spread to Optimal Exercise
- asymptoticEnhancedEulerCorrection() - Method in class org.drip.execution.hjb.NonDimensionalCostEvolver
-
Retrieve the Asymptotic Enhanced Euler Correction Application Flag
- asymptoticEulerUrgencyThreshold() - Method in class org.drip.execution.hjb.NonDimensionalCostEvolver
-
Retrieve the Asymptotic Euler Urgency Threshold
- atmForwardRate() - Method in class org.drip.dynamics.sabr.ImpliedBlackVolatility
-
Retrieve the ATM Forward Rate
- atmPriceFromVolatility(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.fra.FRAStandardCapFloor
-
Compute the ATM Cap/Floor Price from the Flat Volatility
- ATMTermStructureSpline - Class in org.drip.sample.option
-
ATMTermStructureSpline contains an illustration of the Calibration and Extraction of the Deterministic ATM
Price and Volatility Term Structures using Custom Splines.
- ATMTermStructureSpline() - Constructor for class org.drip.sample.option.ATMTermStructureSpline
-
- ATMTTESurface2D - Class in org.drip.sample.stretch
-
ATMTTESurface2D demonstrates the Surface 2D ATM/TTE (X/Y) Stretch Construction and usage API.
- ATMTTESurface2D() - Constructor for class org.drip.sample.stretch.ATMTTESurface2D
-
- ats() - Method in class org.drip.execution.parameters.PriceMarketImpact
-
Retrieve the AssetTransactionSettings Instance
- ATSHoliday - Class in org.drip.analytics.holset
-
- ATSHoliday() - Constructor for class org.drip.analytics.holset.ATSHoliday
-
- attribute() - Method in class org.drip.portfolioconstruction.composite.BlockAttribute
-
Retrieve the Map of Asset Attributes
- attribute(String, String) - Method in class org.drip.portfolioconstruction.risk.AttributeJointDense
-
Retrieve the Pair Attribute
- attribute() - Method in class org.drip.portfolioconstruction.risk.AttributeJointDense
-
Retrieve the Map of Asset Attributes
- AttributeJointDense - Class in org.drip.portfolioconstruction.risk
-
AttributeJointDense contains the Joint Dense Attributes for the Pair of the Set of Assets.
- AttributeJointDense(String, String, String) - Constructor for class org.drip.portfolioconstruction.risk.AttributeJointDense
-
AttributeJointDense Constructor
- AttributeJointFactor - Class in org.drip.portfolioconstruction.risk
-
AttributeJointFactor contains the Factor Based Loadings that determines the Joint Attributes between the
Pair of Assets.
- AttributeJointFactor(String, String, String) - Constructor for class org.drip.portfolioconstruction.risk.AttributeJointFactor
-
AttributeJointFactor Constructor
- AUD - Class in org.drip.template.irs
-
AUD contains a Templated Pricing of the OTC Fix-Float AUD IRS Instrument.
- AUD() - Constructor for class org.drip.template.irs.AUD
-
- AUDBBSW3M - Class in org.drip.template.forwardratefutures
-
AUDBBSW3M contains a Templated Pricing of the LIBOR 3M AUD Futures Instrument.
- AUDBBSW3M() - Constructor for class org.drip.template.forwardratefutures.AUDBBSW3M
-
- AUDHoliday - Class in org.drip.analytics.holset
-
- AUDHoliday() - Constructor for class org.drip.analytics.holset.AUDHoliday
-
- AUDIRSAttribution - Class in org.drip.sample.fixfloatpnl
-
AUDIRSAttribution generates the Historical PnL Attribution for AUD IRS.
- AUDIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.AUDIRSAttribution
-
- AUDOISSmoothReconstitutor - Class in org.drip.sample.overnightfeed
-
AUDOISSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the AUD Input OIS
Marks.
- AUDOISSmoothReconstitutor() - Constructor for class org.drip.sample.overnightfeed.AUDOISSmoothReconstitutor
-
- AUDShapePreserving1YForward - Class in org.drip.sample.fundinghistorical
-
AUDShapePreserving1YForward Generates the Historical AUD Shape Preserving Funding Curve Native 1Y
Compounded Forward Rate.
- AUDShapePreserving1YForward() - Constructor for class org.drip.sample.fundinghistorical.AUDShapePreserving1YForward
-
- AUDShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
-
AUDShapePreserving1YStart Generates the Historical AUD Shape Preserving Funding Curve Native Compounded
Forward Rate starting at 1Y Tenor.
- AUDShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.AUDShapePreserving1YStart
-
- AUDShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
-
AUDShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the
AUD Input Marks.
- AUDShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.AUDShapePreservingReconstitutor
-
- AUDSmooth1MForward - Class in org.drip.sample.overnighthistorical
-
AUDSmooth1MForward Generates the Historical AUD Smoothened Overnight Curve Native 1M Compounded Forward
Rate.
- AUDSmooth1MForward() - Constructor for class org.drip.sample.overnighthistorical.AUDSmooth1MForward
-
- AUDSmooth1YForward - Class in org.drip.sample.fundinghistorical
-
AUDSmooth1YForward Generates the Historical AUD Smoothened Funding Curve Native 1Y Compounded Forward
Rate.
- AUDSmooth1YForward() - Constructor for class org.drip.sample.fundinghistorical.AUDSmooth1YForward
-
- AUDSmoothReconstitutor - Class in org.drip.sample.fundingfeed
-
AUDSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the AUD Input Marks.
- AUDSmoothReconstitutor() - Constructor for class org.drip.sample.fundingfeed.AUDSmoothReconstitutor
-
- AUGUST - Static variable in class org.drip.analytics.date.DateUtil
-
Integer Month - August
- Aurangabad - Class in org.drip.sample.bondeos
-
Aurangabad demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Aurangabad.
- Aurangabad() - Constructor for class org.drip.sample.bondeos.Aurangabad
-
- Avadi - Class in org.drip.sample.loan
-
Avadi demonstrates the Analytics Calculation/Reconciliation for the Loan Avadi.
- Avadi() - Constructor for class org.drip.sample.loan.Avadi
-
- available(JulianDate, LatentStateLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Indicates the Availability of the Fixing for the Specified LSL Label on the specified Date
- available(int, LatentStateLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Indicates the Availability of the Fixing for the Specified LSL Label on the specified Date
- available(JulianDate, LatentStateLabel) - Method in class org.drip.param.market.LatentStateFixingsContainer
-
Indicate the Availability of the Fixing for the Specified LSL Label on the specified Date
- available(int, LatentStateLabel) - Method in class org.drip.param.market.LatentStateFixingsContainer
-
Indicate the Availability of the Fixing for the Specified LSL on the specified Date
- AvailableDC() - Static method in class org.drip.analytics.daycount.Convention
-
Get all available DRIP day count conventions
- availableMeasures() - Method in class org.drip.product.rates.Stream
-
Retrieve the set of the implemented measures
- average() - Method in class org.drip.measure.statistics.UnivariateDiscreteThin
-
Retrieve the Sequence Average
- averageDailyVolume() - Method in class org.drip.execution.parameters.AssetFlowSettings
-
Retrieve the Average Daily Volume
- AZMHoliday - Class in org.drip.analytics.holset
-
- AZMHoliday() - Constructor for class org.drip.analytics.holset.AZMHoliday
-
- b() - Method in class org.drip.dynamics.hjm.G2PlusPlus
-
Retrieve B
- b() - Method in class org.drip.dynamics.sabr.ImpliedBlackVolatility
-
Retrieve B
- b() - Method in class org.drip.function.r1tor1.AlmgrenEnhancedEulerUpdate
-
Retrieve the "B" Parameter
- B() - Method in class org.drip.function.r1tor1.SABRLIBORCapVolatility
-
Return "B"
- b() - Method in class org.drip.measure.crng.LinearCongruentialGenerator
-
Retrieve B
- BA1Attribution - Class in org.drip.sample.forwardratefuturespnl
-
BA1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
BA1 Series.
- BA1Attribution() - Constructor for class org.drip.sample.forwardratefuturespnl.BA1Attribution
-
- BA1ClosesReconstitutor - Class in org.drip.sample.forwardratefuturesfeed
-
BA1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formatted BA1 Closes Feed.
- BA1ClosesReconstitutor() - Constructor for class org.drip.sample.forwardratefuturesfeed.BA1ClosesReconstitutor
-
- BackgroundParticipationRate - Interface in org.drip.execution.profiletime
-
BackgroundParticipationRate exposes the Background Profile Adjusted Version of the Participation Rate
Transaction Function as described in the "Trading Time" Model.
- BackgroundParticipationRateLinear - Interface in org.drip.execution.profiletime
-
BackgroundParticipationRateLinear exposes the Background Profile Adjusted Version of the Linear
Participation Rate Transaction Function as described in the "Trading Time" Model.
- backgroundVolume() - Method in class org.drip.execution.parameters.AssetTransactionSettings
-
Retrieve the Background Volume
- BackwardEdgeDates(JulianDate, JulianDate, String, DateAdjustParams, int) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
-
Generate a list of period edge dates backward from the end.
- BackwardEdgeDates(int, int, String, DateAdjustParams, int) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
-
Generate a list of period edge dates backward from the end.
- BAKHoliday - Class in org.drip.analytics.holset
-
- BAKHoliday() - Constructor for class org.drip.analytics.holset.BAKHoliday
-
- BalanceSheetEdge - Class in org.drip.xva.basel
-
BalanceSheetEdge implements the Balance Sheet Edge Component of the Streamlined Accounting Framework for
OTC Derivatives, as described in Albanese and Andersen (2014).
- BalanceSheetEdge(BalanceSheetVertex, BalanceSheetVertex) - Constructor for class org.drip.xva.basel.BalanceSheetEdge
-
BalanceSheetEdge Constructor
- BalanceSheetVertex - Class in org.drip.xva.basel
-
BalanceSheetVertex implements the Balance Sheet Vertex Component of the Streamlined Accounting Framework
for OTC Derivatives, as described in Albanese and Andersen (2014).
- BalanceSheetVertex(double, double, double, double, double, double) - Constructor for class org.drip.xva.basel.BalanceSheetVertex
-
BalanceSheetVertex Constructor
- Bally - Class in org.drip.sample.bondmetrics
-
Bally generates the Full Suite of Replication Metrics for Bond Bally.
- Bally() - Constructor for class org.drip.sample.bondmetrics.Bally
-
- Baoding - Class in org.drip.sample.bondeos
-
Baoding demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Baoding.
- Baoding() - Constructor for class org.drip.sample.bondeos.Baoding
-
- Baoji - Class in org.drip.sample.bondeos
-
Baoji demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Baoji.
- Baoji() - Constructor for class org.drip.sample.bondeos.Baoji
-
- Baotou - Class in org.drip.sample.bondeos
-
Baotou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Baotou.
- Baotou() - Constructor for class org.drip.sample.bondeos.Baotou
-
- Bardhaman - Class in org.drip.sample.loan
-
Bardhaman demonstrates the Analytics Calculation/Reconciliation for the Loan Bardhaman.
- Bardhaman() - Constructor for class org.drip.sample.loan.Bardhaman
-
- Bareilly - Class in org.drip.sample.bondfixed
-
Bareilly demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Bareilly.
- Bareilly() - Constructor for class org.drip.sample.bondfixed.Bareilly
-
- BarrierFixedPointFinder - Class in org.drip.function.rdtor1solver
-
BarrierFixedPointFinder invokes the Iterative Finders for locating the Fixed Point for R^d To R^1
Convex/Non-Convex Functions Under Inequality Constraints using Barrier Sequences of decaying Strengths.
- BarrierFixedPointFinder(RdToR1, RdToR1[], InteriorPointBarrierControl, LineStepEvolutionControl) - Constructor for class org.drip.function.rdtor1solver.BarrierFixedPointFinder
-
BarrierFixedPointFinder Constructor
- barrierStrength() - Method in class org.drip.function.rdtor1solver.InteriorFixedPointFinder
-
Retrieve the Barrier Strength
- Base - Class in org.drip.analytics.eventday
-
Base is an abstraction around holiday and description.
- Base(String) - Constructor for class org.drip.analytics.eventday.Base
-
Constructs the Base instance from the description
- base() - Method in class org.drip.param.market.CreditCurveScenarioContainer
-
Return the base credit curve
- base() - Method in class org.drip.param.market.DiscountCurveScenarioContainer
-
Return the base Discount Curve
- base() - Method in class org.drip.spline.params.ResponseValueSensitivityConstraint
-
Retrieve the base SRVC Instance
- BASE_CORRELATION_CORRELATION - Static variable in class org.drip.simm.credit.CRQSystemics20
-
Base Correlation - Correlation across Index Families
- BASE_CORRELATION_CORRELATION - Static variable in class org.drip.simm.credit.CRQSystemics21
-
Base Correlation - Correlation across Index Families
- BASE_CORRELATION_RISK_WEIGHT - Static variable in class org.drip.simm.credit.CRQSystemics20
-
Base Correlation - Risk Weight
- BASE_CORRELATION_RISK_WEIGHT - Static variable in class org.drip.simm.credit.CRQSystemics21
-
Base Correlation - Risk Weight
- BASE_DIAGONAL_ENTROPY_ASYMPTOTE_EXPONENT - Static variable in class org.drip.learning.bound.DiagonalOperatorCoveringBound
-
Asymptote on the Base Diagonal Operator Entropy Number
- baseCalculationType() - Method in class org.drip.analytics.daycount.DC1_1
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DC28_360
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DC30_360
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DC30_365
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DC30_Act
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DC30E_360
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DC30E_360_ISDA
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DC30EPLUS_360_ISDA
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DCAct_360
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DCAct_364
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DCAct_365
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DCAct_365L
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DCAct_Act
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DCAct_Act_ISDA
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DCAct_Act_UST
-
- baseCalculationType() - Method in interface org.drip.analytics.daycount.DCFCalculator
-
Retrieves the base calculation type corresponding to the DCF Calculator
- baseCalculationType() - Method in class org.drip.analytics.daycount.DCNL_360
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DCNL_365
-
- baseCalculationType() - Method in class org.drip.analytics.daycount.DCNL_Act
-
- Basel(double) - Static method in class org.drip.xva.settings.StandardizedExposureGeneratorScheme
-
Construct a Basel Instance of the StandardizedExposureGeneratorScheme
- BASEL_STANDARD_TIME_INTEGRAND - Static variable in class org.drip.xva.settings.StandardizedExposureGeneratorScheme
-
Basel Standard Time Integrand
- BaselExposureDigest - Class in org.drip.xva.gross
-
BaselExposureDigest holds the Conservative Exposure Measures generated using the Standardized Basel
Approach.
- BaselExposureDigest(double, double, double, double, double) - Constructor for class org.drip.xva.gross.BaselExposureDigest
-
BaselExposureDigest Constructor
- baselExposureDigest(StandardizedExposureGeneratorScheme) - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
-
Generate the Basel Exposure Digest
- baselineSwapRate() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the Baseline Swap Rate
- baseMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
-
Retrieve the Base Measure Map
- baseNotional() - Method in class org.drip.analytics.cashflow.Bullet
-
Get the Base Notional
- baseNotional() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Get the Period Base Notional
- baseNotional() - Method in class org.drip.param.period.CompositePeriodSetting
-
Retrieve the Base Notional
- baseRate(CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.ComposableUnitFixedPeriod
-
- baseRate(CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.ComposableUnitFloatingPeriod
-
Retrieve the Reference Rate for the Floating Period
- baseRate(CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
-
Get the Period Base Coupon Rate
- baseRate() - Method in class org.drip.product.calib.CompositePeriodQuoteSet
-
Get the Period Base Coupon Rate
- BaseTsyBmk(int, int) - Static method in class org.drip.analytics.support.Helper
-
Return the standard on-the-run benchmark treasury string from the valuation and the maturity dates
- BASIC_MATERIALS - Static variable in class org.drip.simm.credit.SectorSystemics
-
The Basic Materials Sector
- basicConsumption() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityCashFlow
-
Retrieve the Investor Basic Consumption
- basicConsumption() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityStream
-
Retrieve the Investor's Basic Consumption Settings
- basicConsumptionDF(double) - Method in class org.drip.portfolioconstruction.alm.DiscountRate
-
Retrieve the Basic Consumption Discount Factor
- basicConsumptionDF() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityCashFlow
-
Retrieve the Investor Basic Consumption Discount Factor
- basicConsumptionPV() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityMetrics
-
Retrieve the PV of the Basic Consumption
- basicConsumptionRate() - Method in class org.drip.portfolioconstruction.alm.DiscountRate
-
Retrieve the Basic Consumption Discount Rate
- basicConsumptionSpread() - Method in class org.drip.portfolioconstruction.alm.DiscountRate
-
Retrieve the Basic Consumption Spread
- basis() - Method in class org.drip.analytics.cashflow.ComposableUnitFixedPeriod
-
- basis() - Method in class org.drip.analytics.cashflow.ComposableUnitFloatingPeriod
-
- basis() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
-
Get the Period Coupon Basis
- basis() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Retrieve the Period Basis
- basis() - Method in class org.drip.param.period.ComposableFixedUnitSetting
-
Retrieve the Fixed Coupon Basis
- basis() - Method in class org.drip.product.calib.CompositePeriodQuoteSet
-
Get the Period Coupon Basis
- basis() - Method in class org.drip.product.calib.StreamQuoteSet
-
Retrieve the Basis
- basis() - Method in class org.drip.product.rates.Stream
-
Retrieve the Stream Coupon Basis
- basis(JulianDate) - Method in class org.drip.state.basis.BasisCurve
-
- basis(String) - Method in class org.drip.state.basis.BasisCurve
-
- basis(int) - Method in interface org.drip.state.basis.BasisEstimator
-
Calculate the Basis to the given Date
- basis(JulianDate) - Method in interface org.drip.state.basis.BasisEstimator
-
Calculate the Basis to the given Date
- basis(String) - Method in interface org.drip.state.basis.BasisEstimator
-
Calculate the Basis to the given Tenor
- basis() - Method in class org.drip.state.csa.MultilateralBasisCurve
-
Retrieve the Basis to the Overnight Curve
- basis(int) - Method in class org.drip.state.curve.BasisSplineBasisCurve
-
- BASIS_SPLINE_BERNSTEIN_POLYNOMIAL - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Bernstein Polynomial Spline
- BASIS_SPLINE_EXPONENTIAL_MIXTURE - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Exponential Mixture Basis Spline
- BASIS_SPLINE_EXPONENTIAL_RATIONAL - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Exponential Rational Basis Spline
- BASIS_SPLINE_EXPONENTIAL_TENSION - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Exponential Tension Spline
- BASIS_SPLINE_HYPERBOLIC_TENSION - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Hyperbolic Tension Spline
- BASIS_SPLINE_KAKLIS_PANDELIS - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Kaklis Pandelis Spline
- BASIS_SPLINE_KLK_EXPONENTIAL_TENSION - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Koch-Lyche-Kvasov Exponential Tension Spline
- BASIS_SPLINE_KLK_HYPERBOLIC_TENSION - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Koch-Lyche-Kvasov Hyperbolic Tension Spline
- BASIS_SPLINE_KLK_RATIONAL_LINEAR_TENSION - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Koch-Lyche-Kvasov Rational Linear Tension Spline
- BASIS_SPLINE_KLK_RATIONAL_QUADRATIC_TENSION - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Koch-Lyche-Kvasov Rational Quadratic Tension Spline
- BASIS_SPLINE_POLYNOMIAL - Static variable in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Polynomial Spline
- basisBestFitPenalty(int, int) - Method in class org.drip.spline.segment.BestFitFlexurePenalizer
-
Compute the Best Fit Cross-Product Penalty for the given Basis Pair
- BasisBSplineSet - Class in org.drip.sample.spline
-
BasisSplineSet implements Samples for the Construction and the usage of various basis spline functions.
- BasisBSplineSet() - Constructor for class org.drip.sample.spline.BasisBSplineSet
-
- BasisCurve - Class in org.drip.state.basis
-
BasisCurve is the Stub for the Basis between a Pair of Forward Curves.
- BasisCurve(int, ForwardLabel, ForwardLabel, boolean) - Constructor for class org.drip.state.basis.BasisCurve
-
- BasisEstimator - Interface in org.drip.state.basis
-
BasisEstimator is the interface that exposes the calculation of the Basis between any two latent states.
- basisEvaluator() - Method in class org.drip.spline.params.PreceedingManifestSensitivityControl
-
Retrieve the Basis Evaluator Instance
- BasisEvaluator - Interface in org.drip.spline.segment
-
This Interface implements the Segment's Basis Evaluator Functions.
- basisEvaluator() - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Retrieve the Basis Evaluator
- BasisHatPairGenerator - Class in org.drip.spline.bspline
-
BasisHatPairGenerator implements the generation functionality behind the hat basis function pair.
- BasisHatPairGenerator() - Constructor for class org.drip.spline.bspline.BasisHatPairGenerator
-
- BasisHatShapeControl - Class in org.drip.spline.bspline
-
BasisHatShapeControl implements the shape control function for the hat basis set as laid out in the
framework outlined in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000) Papers.
- BasisHatShapeControl(double, double, String, double) - Constructor for class org.drip.spline.bspline.BasisHatShapeControl
-
BasisHatShapeControl constructor
- BasisMonicBSpline - Class in org.drip.sample.spline
-
BasisMonicBSpline implements Samples for the Construction and the usage of various monic basis B Splines.
- BasisMonicBSpline() - Constructor for class org.drip.sample.spline.BasisMonicBSpline
-
- BasisMonicHatComparison - Class in org.drip.sample.spline
-
BasisMonicBSpline implements the comparison of the basis hat functions used in the construction of the
monic basis B Splines.
- BasisMonicHatComparison() - Constructor for class org.drip.sample.spline.BasisMonicHatComparison
-
- BasisMulticBSpline - Class in org.drip.sample.spline
-
BasisMulticBSpline implements Samples for the Construction and the usage of various multic basis B Splines.
- BasisMulticBSpline() - Constructor for class org.drip.sample.spline.BasisMulticBSpline
-
- basisOnDerivedComponent() - Method in class org.drip.market.otc.FloatFloatSwapConvention
-
Retrieve the Flag indicating whether the Basis is to be applied to the Derived or the Reference
Component
- basisOnDerivedStream() - Method in class org.drip.market.otc.FloatFloatSwapConvention
-
Retrieve the Flag indicating whether the Basis is to be applied to the Derived or the Reference Stream
- basisPairConstraintCoefficient(int, int) - Method in class org.drip.spline.segment.BestFitFlexurePenalizer
-
Compute the Basis Pair Penalty Coefficient for the Best Fit and the Curvature Penalties
- basisPairCurvaturePenalty(int, int) - Method in class org.drip.spline.segment.BestFitFlexurePenalizer
-
Compute the Cross-Curvature Penalty for the given Basis Pair
- basisPairLengthPenalty(int, int) - Method in class org.drip.spline.segment.BestFitFlexurePenalizer
-
Compute the Cross-Length Penalty for the given Basis Pair
- basisPairPenaltyConstraint(int) - Method in class org.drip.spline.segment.BestFitFlexurePenalizer
-
Compute the Penalty Constraint for the Basis Pair
- basisQuote(ProductQuoteSet) - Method in class org.drip.analytics.cashflow.CompositeFixedPeriod
-
- basisQuote(ProductQuoteSet) - Method in class org.drip.analytics.cashflow.CompositeFloatingPeriod
-
- basisQuote(ProductQuoteSet) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Retrieve the Period Calibration Basis Quote from the specified product quote set
- basisSetParams() - Method in class org.drip.spline.params.SegmentCustomBuilderControl
-
Retrieve the Basis Set Parameters
- basisSpline() - Method in class org.drip.spline.params.SegmentCustomBuilderControl
-
Retrieve the Basis Spline Name
- BasisSplineBasisCurve - Class in org.drip.state.curve
-
BasisSplineBasisCurve manages the Basis Latent State, using the Basis as the State Response
Representation.
- BasisSplineBasisCurve(ForwardLabel, ForwardLabel, boolean, Span) - Constructor for class org.drip.state.curve.BasisSplineBasisCurve
-
BasisSplineBasisCurve constructor
- BasisSplineDeterministicVolatility - Class in org.drip.state.curve
-
BasisSplineDeterministicVolatility extends the BasisSplineTermStructure for the specific case of the
Implementation of the Deterministic Volatility Term Structure.
- BasisSplineDeterministicVolatility(int, CustomLabel, String, Span) - Constructor for class org.drip.state.curve.BasisSplineDeterministicVolatility
-
BasisSplineDeterministicVolatility Constructor
- BasisSplineForwardRate - Class in org.drip.state.curve
-
BasisSplineForwardRate manages the Forward Latent State, using the Forward Rate as the State Response
Representation.
- BasisSplineForwardRate(ForwardLabel, OverlappingStretchSpan) - Constructor for class org.drip.state.curve.BasisSplineForwardRate
-
BasisSplineForwardRate constructor
- BasisSplineFXForward - Class in org.drip.state.curve
-
BasisSplineFXForward manages the Basis Latent State, using the Basis as the State Response
Representation.
- BasisSplineFXForward(CurrencyPair, Span) - Constructor for class org.drip.state.curve.BasisSplineFXForward
-
BasisSplineFXForward constructor
- BasisSplineGovvieYield - Class in org.drip.state.curve
-
BasisSplineGovvieYield manages the Basis Spline Latent State, using the Basis as the State Response
Representation, for the Govvie Curve with Yield Quantification Metric.
- BasisSplineGovvieYield(String, String, Span) - Constructor for class org.drip.state.curve.BasisSplineGovvieYield
-
BasisSplineGovvieYield Constructor
- BasisSplineMarketSurface - Class in org.drip.state.curve
-
BasisSplineMarketSurface implements the Market surface that holds the latent state's Dynamics parameters.
- BasisSplineMarketSurface(int, CustomLabel, String, WireSurfaceStretch) - Constructor for class org.drip.state.curve.BasisSplineMarketSurface
-
BasisSplineMarketSurface Constructor
- BasisSplineRegressionEngine - Class in org.drip.regression.spline
-
BasisSplineRegressionEngine implements the RegressionEngine class for the basis spline functionality.
- BasisSplineRegressionEngine(int, int) - Constructor for class org.drip.regression.spline.BasisSplineRegressionEngine
-
- BasisSplineRegressor - Class in org.drip.regression.spline
-
BasisSplineRegressor implements the custom basis spline regressor for the given basis spline.
- BasisSplineRegressor(String, String, FunctionSet, int) - Constructor for class org.drip.regression.spline.BasisSplineRegressor
-
- BasisSplineRegressorSet - Class in org.drip.regression.spline
-
BasisSplineRegressorSet carries out regression testing for the following series of basis splines:
- #1: Polynomial Basis Spline, n = 2 basis functions, and Ck = 0.
- BasisSplineRegressorSet() - Constructor for class org.drip.regression.spline.BasisSplineRegressorSet
-
BasisSplineRegressorSet constructor - Creates the base spline parameter and initializes the
regression objects
- BasisSplineRepoCurve - Class in org.drip.state.curve
-
BasisSplineRepoCurve manages the Basis Latent State, using the Repo as the State Response Representation.
- BasisSplineRepoCurve(Component, Span) - Constructor for class org.drip.state.curve.BasisSplineRepoCurve
-
BasisSplineRepoCurve constructor
- BasisSplineSet - Class in org.drip.sample.spline
-
BasisSplineSet implements Samples for the Construction and the usage of various basis spline functions.
- BasisSplineSet() - Constructor for class org.drip.sample.spline.BasisSplineSet
-
- BasisSplineStretchTest(double[], double[], SegmentCustomBuilderControl, StretchBestFitResponse) - Static method in class org.drip.sample.stretch.CurvatureLengthRoughnessPenalty
-
- BasisSplineStretchTest(double[], double[], SegmentCustomBuilderControl, StretchBestFitResponse) - Static method in class org.drip.sample.stretch.CurvatureRoughnessPenaltyFit
-
- BasisSplineTermStructure - Class in org.drip.state.curve
-
BasisSplineTermStructure implements the TermStructure Interface - if holds the latent state's Term
Structure Parameters.
- BasisSplineTermStructure(int, CustomLabel, String, Span) - Constructor for class org.drip.state.curve.BasisSplineTermStructure
-
BasisSplineTermStructure Constructor
- BasisTensionSplineSet - Class in org.drip.sample.spline
-
BasisTensionSplineSet implements Samples for the Construction and the usage of various basis spline
functions.
- BasisTensionSplineSet() - Constructor for class org.drip.sample.spline.BasisTensionSplineSet
-
- basket() - Method in class org.drip.product.govvie.TreasuryFutures
-
Retrieve the Bond Basket Array
- BasketAggregateMeasuresGeneration - Class in org.drip.sample.bond
-
BasketAggregateMeasuresGeneration contains a demo of the bond basket Measure generation Sample.
- BasketAggregateMeasuresGeneration() - Constructor for class org.drip.sample.bond.BasketAggregateMeasuresGeneration
-
- BasketBondAPISample() - Static method in class org.drip.sample.credit.CDSBasketMeasures
-
- BasketMarketParamRef - Interface in org.drip.product.definition
-
BasketMarketParamRef interface provides stubs for basket name, IR curve, forward curve, credit curve, TSY
curve, and needed to value the component.
- BasketMeasures - Class in org.drip.analytics.output
-
BasketMeasures is the place holder for the analytical basket measures, optionally across scenarios.
- BasketMeasures() - Constructor for class org.drip.analytics.output.BasketMeasures
-
Empty constructor - all members initialized to NaN or null
- basketNotional() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
-
Retrieve the Treasury Futures Basket Notional
- BasketProduct - Class in org.drip.product.definition
-
BasketProduct abstract class extends MarketParamRef.
- BasketProduct() - Constructor for class org.drip.product.definition.BasketProduct
-
- BayesianDriftTrajectoryDependence - Class in org.drip.sample.trend
-
BayesianDriftTrajectoryDependence demonstrates the Dependence of the Trading Trajectory achieved from
using an Optimal Trajectory for a Price Process as a Function of the Bayesian Drift Parameters.
- BayesianDriftTrajectoryDependence() - Constructor for class org.drip.sample.trend.BayesianDriftTrajectoryDependence
-
- BayesianDriftTransactionDependence - Class in org.drip.sample.trend
-
BayesianDriftTransactionDependence demonstrates the Gains achieved from using an Optimal Trajectory for a
Price Process as a Function of the Bayesian Drift Parameters.
- BayesianDriftTransactionDependence() - Constructor for class org.drip.sample.trend.BayesianDriftTransactionDependence
-
- BayesianGain - Class in org.drip.sample.trend
-
BayesianGain demonstrates the Gains achieved from using an Optimal Trajectory for a Price Process with
Bayesian Drift, Arithmetic Volatility, and Linear Temporary Market Impact across a Set of Drifts.
- BayesianGain() - Constructor for class org.drip.sample.trend.BayesianGain
-
- BayesianPriceProcess - Class in org.drip.sample.trend
-
BayesianPriceProcess demonstrates the Evolution Process for an Asset Price with a Uncertain (Bayesian)
Drift.
- BayesianPriceProcess() - Constructor for class org.drip.sample.trend.BayesianPriceProcess
-
- Bazhong - Class in org.drip.sample.bondeos
-
Bazhong demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Bazhong.
- Bazhong() - Constructor for class org.drip.sample.bondeos.Bazhong
-
- BBDHoliday - Class in org.drip.analytics.holset
-
- BBDHoliday() - Constructor for class org.drip.analytics.holset.BBDHoliday
-
- BBV_DOWN - Static variable in class org.drip.spaces.tensor.BinaryBooleanVector
-
Binary/Boolean Space "DOWN"
- BBV_UP - Static variable in class org.drip.spaces.tensor.BinaryBooleanVector
-
Binary/Boolean Space "UP"
- bcbsDesignation() - Method in class org.drip.exposure.csatimeline.EventDate
-
Retrieve the BCBS IOSCO CSA Event Designation
- BEFHoliday - Class in org.drip.analytics.holset
-
- BEFHoliday() - Constructor for class org.drip.analytics.holset.BEFHoliday
-
- Beihai - Class in org.drip.sample.bondeos
-
Beihai demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Beihai.
- Beihai() - Constructor for class org.drip.sample.bondeos.Beihai
-
- Beijing - Class in org.drip.sample.bondeos
-
Beijing demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Beijing.
- Beijing() - Constructor for class org.drip.sample.bondeos.Beijing
-
- Belgaum - Class in org.drip.sample.bondmetrics
-
Belgaum demonstrates the Analytics Calculation/Reconciliation for the Bond Belgaum.
- Belgaum() - Constructor for class org.drip.sample.bondmetrics.Belgaum
-
- Bellary - Class in org.drip.sample.bondmetrics
-
Bellary generates the Full Suite of Replication Metrics for a Sample Bond.
- Bellary() - Constructor for class org.drip.sample.bondmetrics.Bellary
-
- BellmanFord - Class in org.drip.sample.graph
-
BellmanFord illustrates the Execution of the Bellman Ford Shortest Path First Algorithm.
- BellmanFord() - Constructor for class org.drip.sample.graph.BellmanFord
-
- BellmanFord(Topography, String) - Static method in class org.drip.spaces.graph.ShortestPathFirstWengert
-
Generate a ShortestPathFirstWengert from the Topography and the Source using the Bellman-Ford Scheme
- BellmanFordScheme - Class in org.drip.spaces.graph
-
BellmanFordScheme implements the Bellman Ford Algorithm for finding the Shortest Path between a Pair of
Vertexes in a Graph.
- BellmanFordScheme(Topography) - Constructor for class org.drip.spaces.graph.BellmanFordScheme
-
BellmanFordScheme Constructor
- Benchmark - Class in org.drip.portfolioconstruction.composite
-
Benchmark holds the Details of a given Benchmark.
- Benchmark(String, String, String, String, String, Holdings) - Constructor for class org.drip.portfolioconstruction.composite.Benchmark
-
Benchmark Constructor
- benchmarkConstrictedHoldings() - Method in class org.drip.portfolioconstruction.objective.ReturnsTerm
-
Retrieve the Benchmark Constricted Holdings
- benchmarkConstrictedHoldings() - Method in class org.drip.portfolioconstruction.objective.RiskTerm
-
Retrieve the Benchmark Constricted Holdings
- benchmarkHoldings() - Method in class org.drip.portfolioconstruction.constraint.LimitHoldingsTermModelDeviation
-
Retrieve the Array of Benchmark Constricted Holdings
- benchmarkHoldings() - Method in class org.drip.portfolioconstruction.constraint.LimitRiskTermVariance
-
Retrieve the Constricted Benchmark Holdings
- benchmarkMetrics(PortfolioMetrics) - Method in class org.drip.portfolioconstruction.allocator.ForwardReverseOptimizationOutput
-
Compute the Portfolio Relative Metrics using the specified Benchmark
- Bengaluru - Class in org.drip.sample.bondmetrics
-
Bengaluru generates the Full Suite of Replication Metrics for Bond Bengaluru.
- Bengaluru() - Constructor for class org.drip.sample.bondmetrics.Bengaluru
-
- Bengbu - Class in org.drip.sample.bondeos
-
Bengbu demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Bengbu.
- Bengbu() - Constructor for class org.drip.sample.bondeos.Bengbu
-
- Bennett - Class in org.drip.function.r1tor1
-
Bennett is implementation of the Bennett's Function used in the Estimation of the Bennett's Concentration
Inequality.
- Bennett() - Constructor for class org.drip.function.r1tor1.Bennett
-
Bennett constructor
- bennettAverageBounds(double) - Method in class org.drip.sequence.metrics.BoundedSequenceAgnosticMetrics
-
Estimate Mean Departure Bounds of the Average using the Bennett Inequality Bounds
- Benxi - Class in org.drip.sample.bondeos
-
Benxi demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Benxi.
- Benxi() - Constructor for class org.drip.sample.bondeos.Benxi
-
- Berhampur - Class in org.drip.sample.securitysuite
-
Berhampur generates the Full Suite of Replication Metrics for Bond Berhampur.
- Berhampur() - Constructor for class org.drip.sample.securitysuite.Berhampur
-
- bernsteinAverageBounds(double) - Method in class org.drip.sequence.metrics.BoundedSequenceAgnosticMetrics
-
Estimate Mean Departure Bounds of the Average using the Bernstein Inequality Bounds
- BernsteinPolynomial - Class in org.drip.function.r1tor1
-
BernsteinPolynomial provides the evaluation of the BernsteinPolynomial and its derivatives for a specified
variate.
- BernsteinPolynomial(int, int) - Constructor for class org.drip.function.r1tor1.BernsteinPolynomial
-
Construct a BernsteinPolynomial instance
- BernsteinPolynomialBasisSet(PolynomialFunctionSetParams) - Static method in class org.drip.spline.basis.FunctionSetBuilder
-
This function implements the elastic coefficients for the segment using Bernstein polynomial basis
splines inside - [0,...,1) - Globally [x_0,...,x_1):
y = Sum (A_i*B^i(x)) i = 0,...,n (0 and n inclusive)
where x is the normalized ordinate mapped as
x .gte.
- BesselC1(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
Generate a Bessel C1 Array from the specified Array of Predictor Ordinates and the Response Values
- bestFitDPE(SegmentBestFitResponse) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Retrieve the Segment Best Fit DPE
- bestFitDPE(StretchBestFitResponse) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- bestFitDPE(StretchBestFitResponse) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Retrieve the Stretch Best Fit DPE
- BestFitFlexurePenalizer - Class in org.drip.spline.segment
-
This Class implements the Segment's Best Fit, Curvature, and Length Penalizers.
- BestFitFlexurePenalizer(LatentStateInelastic, SegmentFlexurePenaltyControl, SegmentFlexurePenaltyControl, SegmentBestFitResponse, BasisEvaluator) - Constructor for class org.drip.spline.segment.BestFitFlexurePenalizer
-
BestFitFlexurePenalizer constructor
- bestFitResponse() - Method in class org.drip.spline.params.SegmentStateCalibrationInputs
-
Retrieve the Segment Best Fit Response
- bestFitWeightedResponse() - Method in class org.drip.state.estimator.SmoothingCurveStretchParams
-
Retrieve the Best Fit Weighted Response
- bestFitWeightedResponseSensitivity() - Method in class org.drip.state.estimator.SmoothingCurveStretchParams
-
Retrieve the Best Fit Weighted Response Sensitivity
- beta() - Method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
-
Retrieve SABR Beta
- beta() - Method in class org.drip.portfolioconstruction.asset.PortfolioBenchmarkMetrics
-
Retrieve the Portfolio-to-Benchmark Beta
- beta() - Method in class org.drip.portfolioconstruction.mpt.AssetSecurityCharacteristicLine
-
Retrieve the Asset's Beta
- BGLHoliday - Class in org.drip.analytics.holset
-
- BGLHoliday() - Constructor for class org.drip.analytics.holset.BGLHoliday
-
- BGMCurveUpdate - Class in org.drip.dynamics.lmm
-
BGMCurveUpdate contains the Instantaneous Snapshot of the Evolving Discount Curve Latent State
Quantification Metrics Updated using the BGM LIBOR Update Dynamics.
- BGMForwardTenorSnap - Class in org.drip.dynamics.lmm
-
BGMForwardTenorSnap contains the Absolute and the Incremental Latent State Quantifier Snapshot traced from
the Evolution of the LIBOR Forward Rate as formulated in:
1) Goldys, B., M.
- BGMForwardTenorSnap(int, double, double, double, double, double, double, double, double, double, double) - Constructor for class org.drip.dynamics.lmm.BGMForwardTenorSnap
-
BGMForwardTenorSnap Constructor
- BGMPointUpdate - Class in org.drip.dynamics.lmm
-
BGMPointUpdate contains the Instantaneous Snapshot of the Evolving Discount Point Latent State
Quantification Metrics Updated using the BGM LIBOR Update Dynamics.
- BGMTenorNodeSequence - Class in org.drip.dynamics.lmm
-
BGMTenorNodeSequence contains the Point Nodes of the Latent State Quantifiers and their Increments present
in the specified BGMForwardTenorSnap Instance.
- BGMTenorNodeSequence(BGMForwardTenorSnap[]) - Constructor for class org.drip.dynamics.lmm.BGMTenorNodeSequence
-
BGMTenorNodeSequence Constructor
- Bhagalpur - Class in org.drip.sample.bondmetrics
-
Bhagalpur demonstrates the Analytics Calculation/Reconciliation for the Bond Bhagalpur.
- Bhagalpur() - Constructor for class org.drip.sample.bondmetrics.Bhagalpur
-
- Bhatpara - Class in org.drip.sample.bondmetrics
-
Bhatpara generates the Full Suite of Replication Metrics for a Sample Bond.
- Bhatpara() - Constructor for class org.drip.sample.bondmetrics.Bhatpara
-
- Bhavnagar - Class in org.drip.sample.bondsink
-
Bhavnagar generates the Full Suite of Replication Metrics for the Sinker Bond Bhavnagar.
- Bhavnagar() - Constructor for class org.drip.sample.bondsink.Bhavnagar
-
- BHDHoliday - Class in org.drip.analytics.holset
-
- BHDHoliday() - Constructor for class org.drip.analytics.holset.BHDHoliday
-
- Bhilai - Class in org.drip.sample.bondmetrics
-
Bhilai demonstrates the Analytics Calculation/Reconciliation for the Callable Bond Bhilai.
- Bhilai() - Constructor for class org.drip.sample.bondmetrics.Bhilai
-
- Bhilwara - Class in org.drip.sample.securitysuite
-
Bhilwara generates the Full Suite of Replication Metrics for Bond Bhilwara.
- Bhilwara() - Constructor for class org.drip.sample.securitysuite.Bhilwara
-
- Bhiwandi - Class in org.drip.sample.bondsink
-
Bhiwandi generates the Full Suite of Replication Metrics for the Sinker Bond Bhiwandi.
- Bhiwandi() - Constructor for class org.drip.sample.bondsink.Bhiwandi
-
- Bhopal - Class in org.drip.sample.bondeos
-
Bhopal demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Bhopal.
- Bhopal() - Constructor for class org.drip.sample.bondeos.Bhopal
-
- Bhubaneswar - Class in org.drip.sample.bondsink
-
Bhubaneswar generates the Full Suite of Replication Metrics for the Sinker Bond Bhubaneswar.
- Bhubaneswar() - Constructor for class org.drip.sample.bondsink.Bhubaneswar
-
- bidAskSpread() - Method in class org.drip.execution.parameters.AssetTransactionSettings
-
Retrieve the Bid-Ask Spread
- BigC1Array - Class in org.drip.spaces.big
-
BigC1Array contains the Functionality to Process and Manipulate the Character Array backing the Big
String.
- BigC1Array(char[]) - Constructor for class org.drip.spaces.big.BigC1Array
-
BigC1Array Constructor
- BigR1Array - Class in org.drip.spaces.big
-
BigR1Array contains an Implementation of a variety of in-place Sorting Algorithms for Big Double
Arrays.
- BigR1Array(double[]) - Constructor for class org.drip.spaces.big.BigR1Array
-
BigR1Array Constructor
- BigR2Array - Class in org.drip.spaces.big
-
BigR2Array contains an Implementation Navigation and Processing Algorithms for Big Double R^2 Arrays.
- BigR2Array(double[][]) - Constructor for class org.drip.spaces.big.BigR2Array
-
BigR2Array Constructor
- BiharSharif - Class in org.drip.sample.bondswap
-
BiharSharif demonstrates the Analytics Calculation/Reconciliation for the OTC Fix-Float Index Based Bond
Bihar Sharif.
- BiharSharif() - Constructor for class org.drip.sample.bondswap.BiharSharif
-
- Bijapur - Class in org.drip.sample.loan
-
Bijapur demonstrates the Analytics Calculation/Reconciliation for the Loan Bijapur.
- Bijapur() - Constructor for class org.drip.sample.loan.Bijapur
-
- Bikaner - Class in org.drip.sample.bondsink
-
Bikaner generates the Full Suite of Replication Metrics for the Sinker Bond Bikaner.
- Bikaner() - Constructor for class org.drip.sample.bondsink.Bikaner
-
- Bilaspur - Class in org.drip.sample.loan
-
Bilaspur demonstrates the Analytics Calculation/Reconciliation for the Loan Bilaspur.
- Bilaspur() - Constructor for class org.drip.sample.loan.Bilaspur
-
- BILATERAL - Static variable in class org.drip.xva.settings.CloseOutScheme
-
The Dealer/Client Bilateral Close Out Scheme
- bilateralCollateralAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
-
- bilateralCollateralAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
-
- bilateralCollateralAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
-
Compute Path Bilateral Collateral Adjustment
- bilateralCollateralAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Compute Path Bilateral Collateral Value Adjustment
- bilateralCollateralAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Path Bilateral Collateral Value Adjustment
- bilateralCreditAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
-
- bilateralCreditAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
-
- bilateralCreditAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
-
Compute Path Bilateral Credit Adjustment
- bilateralCreditAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Compute Path Bilateral Credit Adjustment
- bilateralCreditAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Path Bilateral Credit Value Adjustment
- BilateralCSACollateralizedFunding - Class in org.drip.sample.burgard2013
-
BilateralCSACollateralizedFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10
Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
- BilateralCSACollateralizedFunding() - Constructor for class org.drip.sample.burgard2013.BilateralCSACollateralizedFunding
-
- BilateralCSACollateralizedFundingStochastic - Class in org.drip.sample.burgard2013
-
BilateralCSACollateralizedFundingStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a
Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA
Schemes.
- BilateralCSACollateralizedFundingStochastic() - Constructor for class org.drip.sample.burgard2013.BilateralCSACollateralizedFundingStochastic
-
- BilateralCSAUncollateralizedFunding - Class in org.drip.sample.burgard2013
-
BilateralCSAUncollateralizedFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of
10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
- BilateralCSAUncollateralizedFunding() - Constructor for class org.drip.sample.burgard2013.BilateralCSAUncollateralizedFunding
-
- BilateralCSAUncollateralizedFundingStochastic - Class in org.drip.sample.burgard2013
-
BilateralCSAUncollateralizedFundingStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a
Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA
Schemes.
- BilateralCSAUncollateralizedFundingStochastic() - Constructor for class org.drip.sample.burgard2013.BilateralCSAUncollateralizedFundingStochastic
-
- BilateralCSAZeroThresholdFunding - Class in org.drip.sample.burgard2013
-
BilateralCSAZeroThresholdFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10
Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
- BilateralCSAZeroThresholdFunding() - Constructor for class org.drip.sample.burgard2013.BilateralCSAZeroThresholdFunding
-
- BilateralCSAZeroThresholdFundingStochastic - Class in org.drip.sample.burgard2013
-
BilateralCSAZeroThresholdFundingStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a
Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA
Schemes.
- BilateralCSAZeroThresholdFundingStochastic() - Constructor for class org.drip.sample.burgard2013.BilateralCSAZeroThresholdFundingStochastic
-
- bilateralDebtAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
-
- bilateralDebtAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
-
- bilateralDebtAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
-
Compute Path Bilateral Debt Adjustment
- bilateralDebtAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Compute Path Bilateral Debt Adjustment
- bilateralDebtAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Path Bilateral Debt Value Adjustment
- bilateralFundingDebtAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Compute Path Bilateral Funding Debt Adjustment
- bilateralFundingDebtAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Path Bilateral Funding Debt Adjustment
- bilateralFundingValueAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
-
- bilateralFundingValueAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
-
- bilateralFundingValueAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
-
Compute Path Bilateral Funding Value Adjustment
- bilateralFundingValueAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Path Bilateral Funding Value Adjustment
- bilateralFundingValueSpread01() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Compute Path Bilateral Funding Value Spread 01
- bilateralFundingValueSpread01() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Path Bilateral Funding Value Spread 01
- Binary - Class in org.drip.sequence.random
-
Binary implements the Standard {0, 1}-valued Binary Random Number Generator.
- Binary(double) - Constructor for class org.drip.sequence.random.Binary
-
Binary Distribution Constructor
- BinaryBooleanVector - Class in org.drip.spaces.tensor
-
BinaryBooleanVector implements the normed/non-normed Binary/Boolean Combinatorial Vector Spaces.
- BinaryClassifierSupremumBound - Class in org.drip.sample.classifier
-
BinaryClassifierSupremumBound demonstrates the Computation of the Probabilistic Bounds for the Supremum
among the Class of Binary Classifier Functions for an Empirical Sample from its Population Mean using
Variants of the Efron-Stein Methodology.
- BinaryClassifierSupremumBound() - Constructor for class org.drip.sample.classifier.BinaryClassifierSupremumBound
-
- BinaryIdempotentUnivariateRandom - Class in org.drip.sequence.functional
-
BinaryIdempotentUnivariateRandom contains the Implementation of the Objective Function dependent on
Binary Idempotent Univariate Random Variable.
- BinaryIdempotentUnivariateRandom(double, R1, double, double) - Constructor for class org.drip.sequence.functional.BinaryIdempotentUnivariateRandom
-
BinaryIdempotentUnivariateRandom Constructor
- BinaryTree - Class in org.drip.spaces.big
-
BinaryTree contains an Implementation of the Left/Right Binary Tree.
- BinaryTree(double, BinaryTree) - Constructor for class org.drip.spaces.big.BinaryTree
-
BinaryTree Constructor
- BinaryVariateSumBound - Class in org.drip.sample.efronstein
-
BinaryVariateSumBound demonstrates the Computation of the Probabilistic Bounds for the Realization of the
Values of a Multivariate Function over Random Sequence Values (in this case, sum of the independent
Random Variates) using Variants of the Efron-Stein Methodology.
- BinaryVariateSumBound() - Constructor for class org.drip.sample.efronstein.BinaryVariateSumBound
-
- BinPacking - Class in org.drip.sequence.custom
-
BinPacking contains Variance Bounds of the critical measures of the standard operations research bin
packing problem.
- BinPacking() - Constructor for class org.drip.sequence.custom.BinPacking
-
- Binzhou - Class in org.drip.sample.bondeos
-
Binzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Binzhou.
- Binzhou() - Constructor for class org.drip.sample.bondeos.Binzhou
-
- BISECTION - Static variable in class org.drip.function.r1tor1solver.VariateIteratorPrimitive
-
Bisection
- Bisection(double, double) - Static method in class org.drip.function.r1tor1solver.VariateIteratorPrimitive
-
Iterate for the next variate using bisection
- BlackHestonForwardOption - Class in org.drip.sample.option
-
BlackHestonForwardOption illustrates pricing a forward using the Black '76 variant and the Heston's
stochastic Volatility Models.
- BlackHestonForwardOption() - Constructor for class org.drip.sample.option.BlackHestonForwardOption
-
- BlackLittermanBayesianClient - Class in org.drip.sample.service
-
BudgetConstrainedAllocationClient demonstrates the Invocation and Examination of the JSON-based
Budget Constrained Portfolio Allocation Service Client.
- BlackLittermanBayesianClient() - Constructor for class org.drip.sample.service.BlackLittermanBayesianClient
-
- BlackLittermanCombinationEngine - Class in org.drip.portfolioconstruction.bayesian
-
BlackLittermanCombinationEngine implements the Engine that generates the Combined/Posterior Distributions
from the Prior and the Conditional Joint R^1 Multivariate Normal Distributions.
- BlackLittermanCombinationEngine(ForwardReverseOptimizationOutput, PriorControlSpecification, ProjectionSpecification) - Constructor for class org.drip.portfolioconstruction.bayesian.BlackLittermanCombinationEngine
-
BlackLittermanCombinationEngine Construction
- BlackLittermanCustomConfidenceOutput - Class in org.drip.portfolioconstruction.bayesian
-
BlackLittermanCustomConfidenceOutput holds the Outputs generated from a Custom COnfidence Black Litterman
Bayesian COmbination Run.
- BlackLittermanCustomConfidenceOutput(ForwardReverseOptimizationOutput, double[], JointPosteriorMetrics) - Constructor for class org.drip.portfolioconstruction.bayesian.BlackLittermanCustomConfidenceOutput
-
BlackLittermanCustomConfidenceOutput Constructor
- BlackLittermanOutput - Class in org.drip.portfolioconstruction.bayesian
-
BlackLittermanOutput holds the essential Outputs generated from either a Full or a Custom Confidence of
the Projection Black Litterman Bayesian Combination Run.
- BlackLittermanOutput(ForwardReverseOptimizationOutput, double[]) - Constructor for class org.drip.portfolioconstruction.bayesian.BlackLittermanOutput
-
BlackLittermanOutput Constructor
- BlackLittermanProcessor - Class in org.drip.json.assetallocation
-
BlackLittermanProcessor Sets Up and Executes a JSON Based In/Out Processing Service for the Black
Litterman Bayesian View Incorporation/Parameter Estimation.
- BlackLittermanProcessor() - Constructor for class org.drip.json.assetallocation.BlackLittermanProcessor
-
- BlackNormalAlgorithm - Class in org.drip.pricer.option
-
BlackNormalAlgorithm implements the Black Normal European Call and Put Options Pricer.
- BlackNormalAlgorithm() - Constructor for class org.drip.pricer.option.BlackNormalAlgorithm
-
Empty BlackNormalAlgorithm Constructor - nothing to be filled in with
- BlackScholesAlgorithm - Class in org.drip.pricer.option
-
BlackScholesAlgorithm implements the Black Scholes based European Call and Put Options Pricer.
- BlackScholesAlgorithm() - Constructor for class org.drip.pricer.option.BlackScholesAlgorithm
-
Empty BlackScholesAlgorithm Constructor - nothing to be filled in with
- BlackVolatility - Class in org.drip.sample.sabr
-
BlackVolatility demonstrates the Construction and Usage of the SABR Model to Imply the Black Volatility of
a given Contract.
- BlackVolatility() - Constructor for class org.drip.sample.sabr.BlackVolatility
-
- Block - Class in org.drip.portfolioconstruction.core
-
Block forms the Base underneath all Portfolio Construction Objects.
- Block(String, String, String) - Constructor for class org.drip.portfolioconstruction.core.Block
-
Block Constructor
- BlockAttribute - Class in org.drip.portfolioconstruction.composite
-
BlockAttribute contains the Marginal Attributes for the specified Set of Assets.
- BlockAttribute(String, String, String) - Constructor for class org.drip.portfolioconstruction.composite.BlockAttribute
-
BlockAttribute Constructor
- BlockClassification - Class in org.drip.portfolioconstruction.composite
-
BlockClassification contains the Classifications for the specified Set of Assets.
- BlockClassification(String, String, String) - Constructor for class org.drip.portfolioconstruction.composite.BlockClassification
-
Classification Constructor
- blockSizeExponent() - Method in class org.drip.execution.principal.OptimalMeasureDependence
-
Retrieve the Block Size Dependence Exponent
- BMDHoliday - Class in org.drip.analytics.holset
-
- BMDHoliday() - Constructor for class org.drip.analytics.holset.BMDHoliday
-
- Bokaro - Class in org.drip.sample.bondmetrics
-
Bokaro generates the Full Suite of Replication Metrics for a Sample Bond.
- Bokaro() - Constructor for class org.drip.sample.bondmetrics.Bokaro
-
- Bond - Class in org.drip.product.definition
-
Bond abstract class implements the pricing, the valuation, and the RV analytics functionality for the bond
product.
- Bond() - Constructor for class org.drip.product.definition.Bond
-
- bond() - Method in class org.drip.product.params.CTDEntry
-
Retrieve the CTD Bond Instance
- bond() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Bond Component Instance
- bond() - Method in class org.drip.service.scenario.EOSMetricsReplicator
-
Retrieve the Underlying Bond
- BOND_TYPE_SIMPLE_FIXED - Static variable in class org.drip.product.creator.BondBuilder
-
Custom Bond Type Simple Fixed
- BOND_TYPE_SIMPLE_FLOATER - Static variable in class org.drip.product.creator.BondBuilder
-
Custom Bond Type Simple Floater
- BOND_TYPE_SIMPLE_FROM_CF - Static variable in class org.drip.product.creator.BondBuilder
-
Custom Bond Type Simple From Cash flows
- bondBasis() - Method in class org.drip.analytics.output.BondRVMeasures
-
Retrieve the Bond Basis
- bondBasisFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from ASW to Work-out
- bondBasisFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from ASW to Maturity
- bondBasisFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from ASW to Optimal Exercise
- bondBasisFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from Credit Basis to Work-out
- bondBasisFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from Credit Basis to Maturity
- bondBasisFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from Credit Basis to Optimal Exercise
- bondBasisFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from Discount Margin to Work-out
- bondBasisFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from Discount Margin to Maturity
- bondBasisFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from Discount Margin to Optimal Exercise
- bondBasisFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from E Spread to Work-out
- bondBasisFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from E Spread to Maturity
- bondBasisFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from E Spread to Optimal Exercise
- bondBasisFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from G Spread to Work-out
- bondBasisFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from G Spread to Maturity
- bondBasisFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from G Spread to Optimal Exercise
- bondBasisFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from I Spread to Work-out
- bondBasisFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from I Spread to Maturity
- bondBasisFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from I Spread to Optimal Exercise
- bondBasisFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from J Spread to Work-out
- bondBasisFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from J Spread to Maturity
- bondBasisFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from J Spread to Optimal Exercise
- bondBasisFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from N Spread to Work-out
- bondBasisFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from N Spread to Maturity
- bondBasisFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from N Spread to Optimal Exercise
- bondBasisFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from OAS to Work-out
- bondBasisFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from OAS to Maturity
- bondBasisFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from OAS to Optimal Exercise
- bondBasisFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from PECS to Work-out
- bondBasisFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from PECS to Maturity
- bondBasisFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from PECS to Optimal Exercise
- bondBasisFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from Price to Work-out
- bondBasisFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from Price to Maturity
- bondBasisFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from Price to Optimal Exercise
- bondBasisFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from TSY Spread to Work-out
- bondBasisFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from TSY Spread to Maturity
- bondBasisFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from TSY Spread to Optimal Exercise
- bondBasisFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from Yield to Work-out
- bondBasisFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from Yield to Maturity
- bondBasisFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from Yield Spread to Work-out
- bondBasisFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from Yield Spread to Maturity
- bondBasisFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from Yield Spread to Optimal Exercise
- bondBasisFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from Yield to Optimal Exercise
- bondBasisFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from Z Spread to Work-out
- bondBasisFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from Z Spread to Maturity
- bondBasisFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- bondBasisFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Bond Basis from Z Spread to Optimal Exercise
- BondBasket - Class in org.drip.product.credit
-
BondBasket implements the bond basket product contract details.
- BondBasket(String, Bond[], double[]) - Constructor for class org.drip.product.credit.BondBasket
-
BondBasket constructor
- BondBasketBuilder - Class in org.drip.product.creator
-
BondBasketBuilder contains the suite of helper functions for creating the bond Basket Product from different
kinds of inputs and byte streams.
- BondBasketBuilder() - Constructor for class org.drip.product.creator.BondBasketBuilder
-
- BondBuilder - Class in org.drip.product.creator
-
BondBuilder contains the suite of helper functions for creating simple fixed/floater bonds, user defined
bonds, optionally with custom cash flows and embedded option schedules (European or American).
- BondBuilder() - Constructor for class org.drip.product.creator.BondBuilder
-
- BondCalibrator(BondComponent, boolean) - Constructor for class org.drip.product.credit.BondComponent.BondCalibrator
-
Constructor: Construct the calibrator from the parent bond.
- BondClientCashFlow - Class in org.drip.sample.service
-
BondClientCashFlow demonstrates the Invocation and Examination of the JSON-based Bond Valuation Service for
generating the Bond Cash Flows.
- BondClientCashFlow() - Constructor for class org.drip.sample.service.BondClientCashFlow
-
- BondClientCurve - Class in org.drip.sample.service
-
BondClientCurve demonstrates the Invocation and Examination of the JSON-based Bond Valuation Service for
generating the Curve Metrics.
- BondClientCurve() - Constructor for class org.drip.sample.service.BondClientCurve
-
- BondClientSecular - Class in org.drip.sample.service
-
BondClientSecular demonstrates the Invocation and Examination of the JSON-based Bond Valuation Service for
generating the Secular Metrics.
- BondClientSecular() - Constructor for class org.drip.sample.service.BondClientSecular
-
- BondComponent - Class in org.drip.product.credit
-
BondComponent is the base class that extends CreditComponent abstract class and implements the
functionality behind bonds of all kinds.
- BondComponent() - Constructor for class org.drip.product.credit.BondComponent
-
Constructor: Construct an empty bond object
- BondComponent.BondCalibrator - Class in org.drip.product.credit
-
The BondCalibrator implements a calibrator that calibrates the yield, the credit basis, or the Z
Spread for the bond given the price input.
- BondCouponMeasures - Class in org.drip.analytics.output
-
This class encapsulates the parsimonius but complete set of the cash-flow oriented coupon measures
generated out of a full bond analytics run to a given work-out.
- BondCouponMeasures(double, double, double, double) - Constructor for class org.drip.analytics.output.BondCouponMeasures
-
BondCouponMeasures constructor
- BondEOSMetrics - Class in org.drip.analytics.output
-
BondEOSMetrics carries the Option Adjusted Metrics for a Bond with Embedded Options.
- BondEOSMetrics(double, double[], double[], double[], double[], double[], double[], double[][], boolean[][]) - Constructor for class org.drip.analytics.output.BondEOSMetrics
-
BondEOSMetrics Constructor
- BondEquivalent(String) - Static method in class org.drip.param.valuation.ValuationCustomizationParams
-
Construct the BondEquivalent Instance of ValuationCustomizationParams
- BondFuturesPriceAUDBillStyle(JulianDate, Bond, double) - Static method in class org.drip.analytics.support.Helper
-
Compute the Bond Futures Price AUD Bill Style from the Reference Index Level
- BondMarketSnap - Class in org.drip.historical.attribution
-
BondMarketSnap contains the Metrics Snapshot associated with the relevant Manifest Measures for the given
Bond Position.
- BondMarketSnap(JulianDate, double) - Constructor for class org.drip.historical.attribution.BondMarketSnap
-
BondMarketSnap Constructor
- BondProcessor - Class in org.drip.service.json
-
BondProcessor Sets Up and Executes a JSON Based In/Out Bond Valuation Processor.
- BondProcessor() - Constructor for class org.drip.service.json.BondProcessor
-
- BondProduct - Interface in org.drip.product.definition
-
BondProduct interface implements the product static data behind bonds of all kinds.
- BondProductBuilder - Class in org.drip.product.creator
-
BondProductBuilder holds the static parameters of the bond product needed for the full bond valuation.
- BondProductBuilder() - Constructor for class org.drip.product.creator.BondProductBuilder
-
Empty BondProductBuilder ctr - uninitialized members
- BondRefDataBuilder - Class in org.drip.product.creator
-
BondRefDataBuilder holds the entire set of static parameters for the bond product.
- BondRefDataBuilder() - Constructor for class org.drip.product.creator.BondRefDataBuilder
-
Empty BondRefDataBuilder ctr - uninitialized members
- BondRefDataBuilder(CaseInsensitiveTreeMap<String>) - Constructor for class org.drip.product.creator.BondRefDataBuilder
-
BondRefDataBuilder de-serialization from input JSON Map
- BondReplicationRun - Class in org.drip.service.scenario
-
BondReplicationRun holds the Results of a Full Bond Replication Run,
- BondReplicationRun() - Constructor for class org.drip.service.scenario.BondReplicationRun
-
Empty ReplicationRun Constructor
- BondReplicator - Class in org.drip.service.scenario
-
BondReplicator generates a Target Set of Sensitivity and Relative Value Runs.
- BondReplicator(double, double, double, JulianDate, String[], double[], double[], String[], double[], double, double, double, double, double, String, String[], double[], boolean, String[], double[], double, double, int, double, BondComponent) - Constructor for class org.drip.service.scenario.BondReplicator
-
BondReplicator Constructor
- BondRVMeasures - Class in org.drip.analytics.output
-
BondRVMeasures encapsulates the comprehensive set of RV measures calculated for the bond to the
appropriate exercise:
- Workout Information
- Price, Yield, and Yield01
- Spread Measures: Asset Swap/Credit/G/I/OAS/PECS/TSY/Z
- Basis Measures: Bond Basis, Credit Basis, Yield Basis
- Duration Measures: Macaulay/Modified Duration, Convexity
- BondRVMeasures(double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, WorkoutInfo) - Constructor for class org.drip.analytics.output.BondRVMeasures
-
BondRVMeasures ctr
- BondStream - Class in org.drip.product.params
-
BondStream is the place-holder for the bond's period generation parameters.
- BondStream(List<CompositePeriod>, int, String) - Constructor for class org.drip.product.params.BondStream
-
Construct the BondStream instance from the list of coupon periods
- BondWorkoutMeasures - Class in org.drip.analytics.output
-
BondWorkoutMeasures encapsulates the parsimonius yet complete set of measures generated out of a full bond
analytics run to a given work-out.
- BondWorkoutMeasures(BondCouponMeasures, BondCouponMeasures, double, double, double, double, double, double, double, double, double, double, double, double, double) - Constructor for class org.drip.analytics.output.BondWorkoutMeasures
-
BondWorkoutMeasures constructor
- BookGroupLayout - Class in org.drip.sample.xvatopology
-
BookGroupLayout represents the Directed Graph of all the Encompassing Book Groups.
- BookGroupLayout() - Constructor for class org.drip.sample.xvatopology.BookGroupLayout
-
- BookLatentStateMap - Class in org.drip.sample.xvatopology
-
BookLatentStateMap represents the Latent State Map across all the Book Groups.
- BookLatentStateMap() - Constructor for class org.drip.sample.xvatopology.BookLatentStateMap
-
- Boole(R1ToR1, double, double) - Static method in class org.drip.quant.calculus.R1ToR1Integrator
-
Compute the function's integral within the specified limits using the Boole rule.
- BooleanArrayEntry(Object) - Static method in class org.drip.json.parser.Converter
-
Convert the JSON Entry to a Boolean Array
- BooleanEntry(JSONObject, String) - Static method in class org.drip.json.parser.Converter
-
Convert the JSON Entry to an Boolean
- BooleanListFromString(List<Boolean>, String, String) - Static method in class org.drip.quant.common.StringUtil
-
Create a list of booleans from a delimited string
- BootCurveConstructionInput - Class in org.drip.analytics.input
-
BootCurveConstructionInput contains the Parameters needed for the Curve Calibration/Estimation.
- BootCurveConstructionInput(ValuationParams, ValuationCustomizationParams, CalibratableComponent[], CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>, CaseInsensitiveTreeMap<String[]>, LatentStateFixingsContainer) - Constructor for class org.drip.analytics.input.BootCurveConstructionInput
-
BootCurveConstructionInput constructor
- bootstrapBasis(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, boolean) - Method in class org.drip.state.curve.BasisSplineFXForward
-
- bootstrapBasis(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, boolean) - Method in class org.drip.state.fx.FXCurve
-
Bootstrap the basis to the discount curve inputs
- bootstrapBasis(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, boolean) - Method in class org.drip.state.nonlinear.FlatForwardFXCurve
-
- bootstrapBasisDC(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, boolean) - Method in class org.drip.state.curve.BasisSplineFXForward
-
- bootstrapBasisDC(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, boolean) - Method in class org.drip.state.fx.FXCurve
-
Bootstrap the discount curve from the discount curve inputs
- bootstrapBasisDC(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, boolean) - Method in class org.drip.state.nonlinear.FlatForwardFXCurve
-
- borelMeasureSpaceExpectation(R1ToR1) - Method in class org.drip.spaces.metric.R1Combinatorial
-
- borelMeasureSpaceExpectation(R1ToR1) - Method in class org.drip.spaces.metric.R1Continuous
-
- borelMeasureSpaceExpectation(R1ToR1) - Method in interface org.drip.spaces.metric.R1Normed
-
Compute the Borel Measure Expectation for the specified R^1 To R^1 Function over the full Input Space
- borelMeasureSpaceExpectation(RdToR1) - Method in class org.drip.spaces.metric.RdCombinatorialBanach
-
- borelMeasureSpaceExpectation(RdToR1) - Method in class org.drip.spaces.metric.RdContinuousBanach
-
- borelMeasureSpaceExpectation(RdToR1) - Method in interface org.drip.spaces.metric.RdNormed
-
Compute the Borel Measure Expectation for the specified R^d To R^1 Function over the full Input Space
- borelSigmaMeasure() - Method in class org.drip.spaces.metric.R1Combinatorial
-
- borelSigmaMeasure() - Method in class org.drip.spaces.metric.R1Continuous
-
- borelSigmaMeasure() - Method in interface org.drip.spaces.metric.R1Normed
-
Retrieve the Borel Sigma R^1 Probability Measure
- borelSigmaMeasure() - Method in class org.drip.spaces.metric.RdCombinatorialBanach
-
- borelSigmaMeasure() - Method in class org.drip.spaces.metric.RdContinuousBanach
-
- borelSigmaMeasure() - Method in interface org.drip.spaces.metric.RdNormed
-
Retrieve the Borel Sigma R^d Probability Measure
- Bound(double, double, double) - Static method in class org.drip.quant.common.NumberUtil
-
Bound the input to within (floor, Ceiling), i.e., compute Min (Max (floor, X), Ceiling)
- bound() - Method in class org.drip.spaces.cover.L1R1CoveringBounds
-
Retrieve the Function Bound
- BOUNDARY_CONDITION_FINANCIAL - Static variable in class org.drip.spline.stretch.BoundarySettings
-
Calibration Boundary Condition: Financial Boundary Condition
- BOUNDARY_CONDITION_FLOATING - Static variable in class org.drip.spline.stretch.BoundarySettings
-
Calibration Boundary Condition: Floating Boundary Condition
- BOUNDARY_CONDITION_NATURAL - Static variable in class org.drip.spline.stretch.BoundarySettings
-
Calibration Boundary Condition: Natural Boundary Condition
- BOUNDARY_CONDITION_NOT_A_KNOT - Static variable in class org.drip.spline.stretch.BoundarySettings
-
Calibration Boundary Condition: Not-A-Knot Boundary Condition
- boundaryCondition() - Method in class org.drip.spline.stretch.BoundarySettings
-
Retrieve the Type of the Boundary Condition
- BoundarySettings - Class in org.drip.spline.stretch
-
This class implements the Boundary Settings that determine the full extent of description of the regime's
State.
- BoundarySettings(int, int, int) - Constructor for class org.drip.spline.stretch.BoundarySettings
-
BoundarySettings constructor
- Bounded - Class in org.drip.sequence.random
-
Bounded implements the Bounded Random Univariate Generator with a Lower and an upper Bound.
- Bounded(double, double) - Constructor for class org.drip.sequence.random.Bounded
-
- BoundedFunction - Class in org.drip.sample.coveringnumber
-
BoundedFunction demonstrates Computation of the Lower and the Upper Bounds for Functions that are
absolutely Bounded.
- BoundedFunction() - Constructor for class org.drip.sample.coveringnumber.BoundedFunction
-
- BoundedGaussian - Class in org.drip.sequence.random
-
BoundedGaussian implements the Bounded Gaussian Distribution, with a Gaussian Distribution between a lower
and an upper Bound.
- BoundedGaussian(double, double, double, double) - Constructor for class org.drip.sequence.random.BoundedGaussian
-
BoundedGaussian Constructor
- BoundedIdempotentUnivariateRandom - Class in org.drip.sequence.functional
-
BoundedIdempotentUnivariateRandom contains the Implementation of the Objective Function dependent on
Bounded Idempotent Univariate Random Variable.
- BoundedIdempotentUnivariateRandom(double, R1, double) - Constructor for class org.drip.sequence.functional.BoundedIdempotentUnivariateRandom
-
BoundedIdempotentUnivariateRandom Constructor
- BoundedMarkovitzBullet - Class in org.drip.sample.efficientfrontier
-
BoundedMarkovitzBullet demonstrates the Construction of the Efficient Frontier using the Constrained Mean
Variance Optimizer for a Bounded Portfolio.
- BoundedMarkovitzBullet() - Constructor for class org.drip.sample.efficientfrontier.BoundedMarkovitzBullet
-
- BoundedMultivariateRandom - Class in org.drip.sequence.functional
-
BoundedMultivariateRandom contains the Implementation of the Bounded Objective Function dependent on
Multivariate Random Variables.
- BoundedMultivariateRandom() - Constructor for class org.drip.sequence.functional.BoundedMultivariateRandom
-
- BoundedPortfolioConstructionParameters - Class in org.drip.portfolioconstruction.allocator
-
BoundedPortfolioConstructionParameters holds the Parameters needed to build the Portfolio with Bounds on
the Underlying Assets.
- BoundedPortfolioConstructionParameters(String[], CustomRiskUtilitySettings, PortfolioEqualityConstraintSettings) - Constructor for class org.drip.portfolioconstruction.allocator.BoundedPortfolioConstructionParameters
-
BoundedPortfolioConstructionParameters Constructor
- BoundedPredictorBoundedResponse(double, R1ToR1[], double, double) - Static method in class org.drip.spaces.functionclass.NormedR1ToL1R1Finite
-
Create Bounded R^1 To Bounded L1 R^1 Function Class for the specified Bounded Class of Finite
Functions
- BoundedSequenceAgnosticMetrics - Class in org.drip.sequence.metrics
-
BoundedSequenceAgnosticMetrics contains the Sample Distribution Metrics and Agnostic Bounds related to the
specified Bounded Sequence.
- BoundedSequenceAgnosticMetrics(double[], R1, double) - Constructor for class org.drip.sequence.metrics.BoundedSequenceAgnosticMetrics
-
BoundedSequenceAgnosticMetrics Constructor
- BoundedUniform - Class in org.drip.sequence.random
-
BoundedUniform implements the Bounded Uniform Distribution, with a Uniform Distribution between a lower
and an upper Bound.
- BoundedUniform(double, double) - Constructor for class org.drip.sequence.random.BoundedUniform
-
BoundedUniform Distribution Constructor
- BoundedUniformInteger - Class in org.drip.sequence.random
-
BoundedUniformInteger implements the Bounded Uniform Distribution, with a Uniform Integer being generated
between a lower and an upper Bound.
- BoundedUniformInteger(int, int) - Constructor for class org.drip.sequence.random.BoundedUniformInteger
-
BoundedUniformInteger Distribution Constructor
- BoundedUniformIntegerDistribution - Class in org.drip.measure.discrete
-
BoundedUniformIntegerDistribution implements the Univariate Bounded Uniform Integer Distribution, with the
Integer being generated between a(n inclusive) lower and an upper Bound.
- BoundedUniformIntegerDistribution(int, int) - Constructor for class org.drip.measure.discrete.BoundedUniformIntegerDistribution
-
Construct a Univariate Bounded Uniform Integer Distribution
- boundedVarianceUpperBound() - Method in class org.drip.sequence.functional.EfronSteinMetrics
-
Compute the Multivariate Variance Upper Bound using the Bounded Differences Support
- BoundedVariateSumBound - Class in org.drip.sample.efronstein
-
BoundedVariateSumBound demonstrates the Computation of the Probabilistic Bounds for the Realization of the
Values of a Multivariate Function over Random Sequence Values (in this case, sum of the independent
Random Variates) using Variants of the Efron-Stein Methodology.
- BoundedVariateSumBound() - Constructor for class org.drip.sample.efronstein.BoundedVariateSumBound
-
- boundingConstraints(int) - Method in class org.drip.portfolioconstruction.allocator.BoundedPortfolioConstructionParameters
-
Retrieve the Array of the Inequality Constraint Functions
- BoundMultivariate - Interface in org.drip.function.rdtor1
-
BoundMultivariate Interface implements R^d To R^1 Bounds.
- boundValue() - Method in class org.drip.function.rdtor1.AffineBoundMultivariate
-
- boundValue() - Method in interface org.drip.function.rdtor1.BoundMultivariate
-
Retrieve the Bound Value
- boundVariateIndex() - Method in class org.drip.function.rdtor1.AffineBoundMultivariate
-
- boundVariateIndex() - Method in interface org.drip.function.rdtor1.BoundMultivariate
-
Retrieve the Bound Variate Index
- BoxMullerGaussian - Class in org.drip.sequence.random
-
BoxMullerGaussian implements the Univariate Gaussian Random Number Generator.
- BoxMullerGaussian(double, double) - Constructor for class org.drip.sequence.random.BoxMullerGaussian
-
BoxMullerGaussian Constructor
- Bozhou - Class in org.drip.sample.bondeos
-
Bozhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Bozhou.
- Bozhou() - Constructor for class org.drip.sample.bondeos.Bozhou
-
- BRACKETING_CUSTOM_BCP - Static variable in class org.drip.function.r1tor1solver.InitializationHeuristics
-
Start search from Custom Bracketing Control Parameters
- BRACKETING_EDGE_HINTS - Static variable in class org.drip.function.r1tor1solver.InitializationHeuristics
-
Start bracket initialization from Pre-specified left/right edge hints
- BRACKETING_FLOOR_CEILING - Static variable in class org.drip.function.r1tor1solver.InitializationHeuristics
-
Restrict the bracket initialization to within the specified Floor and Ceiling
- BRACKETING_GENERIC_BCP - Static variable in class org.drip.function.r1tor1solver.InitializationHeuristics
-
Start bracket initialization from the Generic Bracket Initializer
- BRACKETING_MID_HINT - Static variable in class org.drip.function.r1tor1solver.InitializationHeuristics
-
Start bracket initialization from Pre-specified Starting Mid Bracketing Variate
- BracketingControlParams - Class in org.drip.function.r1tor1solver
-
BracketingControlParams implements the control parameters for bracketing solutions.
- BracketingControlParams() - Constructor for class org.drip.function.r1tor1solver.BracketingControlParams
-
Default BracketingControlParams constructor
- BracketingControlParams(int, double, double, double) - Constructor for class org.drip.function.r1tor1solver.BracketingControlParams
-
BracketingControlParams constructor
- BracketingOutput - Class in org.drip.function.r1tor1solver
-
BracketingOutput carries the results of the bracketing initialization.
- BracketingOutput() - Constructor for class org.drip.function.r1tor1solver.BracketingOutput
-
Default BracketingOutput constructor: Initializes the output
- BracketingRegressorSet - Class in org.drip.regression.fixedpointfinder
-
BracketingRegressorSet implements regression run for the Primitive Bracketing Fixed Point Search Method.
- BracketingRegressorSet() - Constructor for class org.drip.regression.fixedpointfinder.BracketingRegressorSet
-
- BRCHoliday - Class in org.drip.analytics.holset
-
- BRCHoliday() - Constructor for class org.drip.analytics.holset.BRCHoliday
-
- breakevenPrincipalDiscount() - Method in class org.drip.execution.principal.GrossProfitEstimator
-
Compute the Break-even Principal Discount
- BRLHoliday - Class in org.drip.analytics.holset
-
- BRLHoliday() - Constructor for class org.drip.analytics.holset.BRLHoliday
-
- brokenDateBridge() - Method in class org.drip.exposure.mpor.CollateralAmountEstimator
-
Retrieve the Stochastic Value Broken Date Bridge Estimator
- BrokenDateGovvieSpot - Class in org.drip.sample.intexfeed
-
BrokenDateGovvieSpot generates the Sequence of Govvie Yields with Monthly Increments in Maturity over 60
Years.
- BrokenDateGovvieSpot() - Constructor for class org.drip.sample.intexfeed.BrokenDateGovvieSpot
-
- BrokenDateInterpolator - Interface in org.drip.measure.bridge
-
BrokenDateInterpolator exposes the Ability to Interpolate the Realized Path Value between two Broken
Dates.
- BrokenDateInterpolatorBrownian3P - Class in org.drip.measure.bridge
-
BrokenDateInterpolatorBrownian3P Interpolates the Broken Dates using Three Stochastic Value Nodes using
the Three Point Brownian Bridge Scheme.
- BrokenDateInterpolatorBrownian3P(double, double, double, double, double, double) - Constructor for class org.drip.measure.bridge.BrokenDateInterpolatorBrownian3P
-
BrokenDateInterpolatorBrownian3P Constructor
- BrokenDateInterpolatorLinearT - Class in org.drip.measure.bridge
-
BrokenDateInterpolatorLinearT Interpolates using Two Stochastic Value Nodes with Linear Scheme.
- BrokenDateInterpolatorLinearT(double, double, double, double) - Constructor for class org.drip.measure.bridge.BrokenDateInterpolatorLinearT
-
BrokenDateInterpolatorLinearT Constructor
- BrokenDateInterpolatorSqrtT - Class in org.drip.measure.bridge
-
BrokenDateInterpolatorSqrtT Interpolates using Two Stochastic Value Nodes with Linear Scheme.
- BrokenDateInterpolatorSqrtT(double, double, double, double) - Constructor for class org.drip.measure.bridge.BrokenDateInterpolatorSqrtT
-
BrokenDateInterpolatorSqrtT Constructor
- BrokenDateLIBOREUR - Class in org.drip.sample.intexfeed
-
BrokenDateLIBOREUR generates the EUR LIBOR Forward's over Monthly Increments with Maturity up to 60 Years
for different Forward Tenors.
- BrokenDateLIBOREUR() - Constructor for class org.drip.sample.intexfeed.BrokenDateLIBOREUR
-
- BrokenDateLIBORSpot - Class in org.drip.sample.intexfeed
-
BrokenDateLIBORSpot generates the LIBOR's at the Broken Date Tenors in the Currency specified.
- BrokenDateLIBORSpot() - Constructor for class org.drip.sample.intexfeed.BrokenDateLIBORSpot
-
- BrokenDateLIBORUSD - Class in org.drip.sample.intexfeed
-
BrokenDateLIBORUSD generates the USD LIBOR Forward's over Monthly Increments with Maturity up to 60 Years
for different Forward Tenors.
- BrokenDateLIBORUSD() - Constructor for class org.drip.sample.intexfeed.BrokenDateLIBORUSD
-
- BrokenDateOISRate - Class in org.drip.sample.intexfeed
-
BrokenDateOISRate generates the OIS Rate for Monthly Increments in Maturity over 60 Years.
- BrokenDateOISRate() - Constructor for class org.drip.sample.intexfeed.BrokenDateOISRate
-
- brokenDateScheme() - Method in class org.drip.xva.proto.PositionGroupSpecification
-
Retrieve the Broken Date Interpolation Scheme
- BrokenDateScheme - Class in org.drip.xva.settings
-
BrokenDateScheme holds the Broken Date Interpolation Scheme to generate Intermediate Values for the Path
Exposures and Collateral Balances.
- BrokenDateScheme() - Constructor for class org.drip.xva.settings.BrokenDateScheme
-
- BrokenDateSwapRate - Class in org.drip.sample.intexfeed
-
BrokenDateSwapRate generates the Swap Rate for Monthly Increments in Maturity over 60 Years.
- BrokenDateSwapRate() - Constructor for class org.drip.sample.intexfeed.BrokenDateSwapRate
-
- BrokenDateVolSurface - Class in org.drip.sample.option
-
BrokenDateVolSurface contains an illustration of the Construction and Usage of the Option Volatility
Surface, and the Evaluation at the supplied Broken Dates.
- BrokenDateVolSurface() - Constructor for class org.drip.sample.option.BrokenDateVolSurface
-
- BrownianBridgeConcave - Class in org.drip.sample.measure
-
BrownianBridgeConcave demonstrates using the Brownian Bridge Scheme to Interpolate Three Concave Value
Points.
- BrownianBridgeConcave() - Constructor for class org.drip.sample.measure.BrownianBridgeConcave
-
- BrownianBridgeConvex - Class in org.drip.sample.measure
-
BrownianBridgeConvex demonstrates using the Brownian Bridge Scheme to Interpolate Three Convex Value
Points.
- BrownianBridgeConvex() - Constructor for class org.drip.sample.measure.BrownianBridgeConvex
-
- brownianBridgeFactor() - Method in class org.drip.measure.bridge.BrokenDateInterpolatorBrownian3P
-
Retrieve the Brownian Bridge Factor
- BrownianBridgeLinear - Class in org.drip.sample.measure
-
BrownianBridgeLinear demonstrates using the Brownian Bridge Scheme to Interpolate Three Linear Value
Points.
- BrownianBridgeLinear() - Constructor for class org.drip.sample.measure.BrownianBridgeLinear
-
- BSDHoliday - Class in org.drip.analytics.holset
-
- BSDHoliday() - Constructor for class org.drip.analytics.holset.BSDHoliday
-
- BSplineBasisSet(BSplineSequenceParams) - Static method in class org.drip.spline.basis.FunctionSetBuilder
-
Construct the BSpline Basis Function Set
- bSplineOrder() - Method in class org.drip.spline.basis.BSplineSequenceParams
-
Retrieve the B Spline Order
- bSplineOrder() - Method in class org.drip.spline.bspline.SegmentBasisFunction
-
Retrieve the Order of the B Spline
- BSplineSequence - Class in org.drip.sample.spline
-
BSplineSequence implements Samples for the Construction and the usage of various monic basis B Spline
Sequences.
- BSplineSequence() - Constructor for class org.drip.sample.spline.BSplineSequence
-
- BSplineSequenceParams - Class in org.drip.spline.basis
-
This class implements the parameter set for constructing the B Spline Sequence.
- BSplineSequenceParams(String, String, int, int, double, int) - Constructor for class org.drip.spline.basis.BSplineSequenceParams
-
- BTPS(JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder
-
Construct an Instance of the Italian Treasury EUR BTPS Bond
- Bucket(int) - Static method in class org.drip.simm.commodity.CTSettingsContainer20
-
Retrieve the Bucket denoted by the Number
- Bucket(int) - Static method in class org.drip.simm.commodity.CTSettingsContainer21
-
Retrieve the Bucket denoted by the Number
- Bucket(int) - Static method in class org.drip.simm.credit.CRNQSettingsContainer20
-
Retrieve the Bucket denoted by the Number
- Bucket(int) - Static method in class org.drip.simm.credit.CRNQSettingsContainer21
-
Retrieve the Bucket denoted by the Number
- Bucket(int) - Static method in class org.drip.simm.credit.CRQSettingsContainer20
-
Retrieve the Bucket denoted by the Number
- Bucket(int) - Static method in class org.drip.simm.credit.CRQSettingsContainer21
-
Retrieve the Bucket denoted by the Number
- Bucket(int) - Static method in class org.drip.simm.equity.EQSettingsContainer20
-
Retrieve the Bucket denoted by the Number
- Bucket(int) - Static method in class org.drip.simm.equity.EQSettingsContainer21
-
Retrieve the Bucket denoted by the Number
- BucketAggregate - Class in org.drip.simm.margin
-
BucketAggregate holds the Single Bucket Sensitivity Margin, the Cumulative Bucket Risk Factor Sensitivity
Margin, as well as the Aggregate Risk Factor Maps.
- BucketAggregate(Map<String, RiskFactorAggregate>, double, double) - Constructor for class org.drip.simm.margin.BucketAggregate
-
BucketAggregate Constructor
- BucketAggregateCR - Class in org.drip.simm.margin
-
BucketAggregateCR holds the Single Bucket CR Sensitivity Margin, the Cumulative CR Bucket Risk Factor
Sensitivity Margin, as well as the Aggregate CR Risk Factor Maps.
- BucketAggregateCR(RiskFactorAggregateCR, SensitivityAggregateCR, double, double) - Constructor for class org.drip.simm.margin.BucketAggregateCR
-
BucketAggregateCR Constructor
- BucketAggregateIR - Class in org.drip.simm.margin
-
BucketAggregateIR holds the Single Bucket IR Sensitivity Margin, the Cumulative Bucket Risk Factor
Sensitivity Margin, as well as the IR Aggregate Risk Factor Maps.
- BucketAggregateIR(RiskFactorAggregateIR, SensitivityAggregateIR, double, double) - Constructor for class org.drip.simm.margin.BucketAggregateIR
-
BucketAggregateIR Constructor
- bucketAggregateMap() - Method in class org.drip.simm.margin.RiskMeasureAggregate
-
Retrieve the Bucket Sensitivity Aggregate Map
- bucketAggregateMap() - Method in class org.drip.simm.margin.RiskMeasureAggregateCR
-
Retrieve the Credit Bucket Sensitivity Aggregate Map
- bucketAggregateMap() - Method in class org.drip.simm.margin.RiskMeasureAggregateIR
-
Retrieve the Aggregate Bucket Map
- BucketCurvatureSettings - Class in org.drip.simm.parameters
-
BucketCurvatureSettings holds the ISDA SIMM Curvature Settings for Interest Rates, Qualifying and
Non-qualifying Credit, Equity, Commodity, and Foreign Exchange.
- BucketCurvatureSettings(double, double, double, double) - Constructor for class org.drip.simm.parameters.BucketCurvatureSettings
-
BucketCurvatureSettings Constructor
- BucketCurvatureSettingsCR - Class in org.drip.simm.parameters
-
BucketCurvatureSettingsCR holds the Curvature Risk Weights, Concentration Thresholds, and Cross-Tenor
Correlations for each Currency Curve and its Tenor.
- BucketCurvatureSettingsCR(Map<String, Double>, double, double, double, double, double, Map<String, Double>, Map<String, Double>) - Constructor for class org.drip.simm.parameters.BucketCurvatureSettingsCR
-
BucketCurvatureSettingsCR Constructor
- BucketCurvatureSettingsIR - Class in org.drip.simm.parameters
-
BucketCurvatureSettingsIR holds the Curvature Risk Weights, Concentration Thresholds, and
Cross-Tenor/Cross-Curve Correlations for each Currency Curve and its Tenor.
- BucketCurvatureSettingsIR(Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, LabelCorrelation, double, double, double, double, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>) - Constructor for class org.drip.simm.parameters.BucketCurvatureSettingsIR
-
BucketCurvatureSettingsIR Constructor
- BucketMap() - Static method in class org.drip.simm.commodity.CTSettingsContainer20
-
Retrieve the Bucket Map
- BucketMap() - Static method in class org.drip.simm.commodity.CTSettingsContainer21
-
Retrieve the Bucket Map
- BucketMap() - Static method in class org.drip.simm.credit.CRNQSettingsContainer20
-
Retrieve the Bucket Map
- BucketMap() - Static method in class org.drip.simm.credit.CRNQSettingsContainer21
-
Retrieve the Bucket Map
- BucketMap() - Static method in class org.drip.simm.credit.CRQSettingsContainer20
-
Retrieve the Bucket Map
- BucketMap() - Static method in class org.drip.simm.credit.CRQSettingsContainer21
-
Retrieve the Bucket Map
- BucketMap() - Static method in class org.drip.simm.equity.EQSettingsContainer20
-
Retrieve the Bucket Map
- BucketMap() - Static method in class org.drip.simm.equity.EQSettingsContainer21
-
Retrieve the Bucket Map
- BucketSensitivity - Class in org.drip.simm.product
-
BucketSensitivity holds the Risk Factor Sensitivities inside a single Bucket.
- BucketSensitivity(Map<String, Double>) - Constructor for class org.drip.simm.product.BucketSensitivity
-
BucketSensitivity Constructor
- BucketSensitivityCR - Class in org.drip.simm.product
-
BucketSensitivityCR holds the ISDA SIMM Risk Factor Tenor Bucket Sensitivities across CR Tenor Factors.
- BucketSensitivityCR(Map<String, RiskFactorTenorSensitivity>) - Constructor for class org.drip.simm.product.BucketSensitivityCR
-
BucketSensitivityCR Constructor
- BucketSensitivityIR - Class in org.drip.simm.product
-
BucketSensitivityIR holds the ISDA SIMM Risk Factor Tenor Bucket Sensitivities across IR Factor Sub
Curves.
- BucketSensitivityIR(RiskFactorTenorSensitivity, RiskFactorTenorSensitivity, RiskFactorTenorSensitivity, RiskFactorTenorSensitivity, RiskFactorTenorSensitivity, RiskFactorTenorSensitivity, RiskFactorTenorSensitivity) - Constructor for class org.drip.simm.product.BucketSensitivityIR
-
BucketSensitivityIR Constructor
- bucketSensitivityMap() - Method in class org.drip.simm.product.RiskMeasureSensitivity
-
Retrieve the Risk Class Bucket Sensitivity Map
- bucketSensitivityMap() - Method in class org.drip.simm.product.RiskMeasureSensitivityCR
-
Retrieve the Credit Bucket Sensitivity Map
- bucketSensitivityMap() - Method in class org.drip.simm.product.RiskMeasureSensitivityIR
-
Retrieve the Risk Class Bucket Sensitivity Map
- BucketSensitivitySettings - Class in org.drip.simm.parameters
-
BucketSensitivitySettings holds the Settings that govern the Generation of the ISDA SIMM Single Bucket
Sensitivities.
- BucketSensitivitySettings(double, double, double) - Constructor for class org.drip.simm.parameters.BucketSensitivitySettings
-
BucketSensitivitySettings Constructor
- BucketSensitivitySettingsCR - Class in org.drip.simm.parameters
-
BucketSensitivitySettingsCR holds the Delta Risk Weights, Concentration Thresholds, and Cross-Tenor
Correlations for each Credit Curve and its Tenor.
- BucketSensitivitySettingsCR(Map<String, Double>, double, double, double) - Constructor for class org.drip.simm.parameters.BucketSensitivitySettingsCR
-
BucketSensitivitySettingsCR Constructor
- BucketSensitivitySettingsIR - Class in org.drip.simm.parameters
-
BucketSensitivitySettingsIR holds the Delta Risk Weights, Concentration Thresholds, and
Cross-Tenor/Cross-Curve Correlations for each Currency Curve and its Tenor.
- BucketSensitivitySettingsIR(Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, LabelCorrelation, double, double) - Constructor for class org.drip.simm.parameters.BucketSensitivitySettingsIR
-
BucketSensitivitySettingsIR Constructor
- bucketSensitivitySettingsMap() - Method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
-
Retrieve the Credit Bucket Sensitivity Settings Map
- bucketSensitivitySettingsMap() - Method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsIR
-
Retrieve the IR Bucket Sensitivity Settings Map
- BucketSet() - Static method in class org.drip.simm.commodity.CTRiskThresholdContainer20
-
Retrieve the Commodity Risk Threshold Bucket Set
- BucketSet() - Static method in class org.drip.simm.commodity.CTRiskThresholdContainer21
-
Retrieve the Commodity Risk Threshold Bucket Set
- BucketSet() - Static method in class org.drip.simm.commodity.CTSettingsContainer20
-
Retrieve the Set of Bucket Indexes available
- BucketSet() - Static method in class org.drip.simm.commodity.CTSettingsContainer21
-
Retrieve the Set of Bucket Indexes available
- BucketSet() - Static method in class org.drip.simm.credit.CRNQSettingsContainer20
-
Retrieve the Set of Bucket Indexes available
- BucketSet() - Static method in class org.drip.simm.credit.CRNQSettingsContainer21
-
Retrieve the Set of Bucket Indexes available
- BucketSet() - Static method in class org.drip.simm.credit.CRQSettingsContainer20
-
Retrieve the Set of Bucket Indexes available
- BucketSet() - Static method in class org.drip.simm.credit.CRQSettingsContainer21
-
Retrieve the Set of Bucket Indexes available
- BucketSet() - Static method in class org.drip.simm.equity.EQRiskThresholdContainer20
-
Retrieve the Bucket Number Set
- BucketSet() - Static method in class org.drip.simm.equity.EQRiskThresholdContainer21
-
Retrieve the Bucket Number Set
- BucketSet() - Static method in class org.drip.simm.equity.EQSettingsContainer20
-
Retrieve the Set of Bucket Indexes available
- BucketSet() - Static method in class org.drip.simm.equity.EQSettingsContainer21
-
Retrieve the Set of Bucket Indexes available
- bucketSettingsMap() - Method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
-
Retrieve the Bucket Sensitivity Settings Map
- BucketVegaSettings - Class in org.drip.simm.parameters
-
BucketVegaSettings holds the Settings that govern the Generation of the ISDA SIMM Single Bucket Vega
Sensitivities.
- BucketVegaSettings(double, double, double, double, double) - Constructor for class org.drip.simm.parameters.BucketVegaSettings
-
BucketVegaSettings Constructor
- BucketVegaSettingsCR - Class in org.drip.simm.parameters
-
BucketVegaSettingsCR holds the Vega Risk Weights, Concentration Thresholds, and Cross-Tenor Correlations
for each Credit Curve and its Tenor.
- BucketVegaSettingsCR(Map<String, Double>, double, double, double, double, double, Map<String, Double>) - Constructor for class org.drip.simm.parameters.BucketVegaSettingsCR
-
BucketVegaSettingsCR Constructor
- BucketVegaSettingsIR - Class in org.drip.simm.parameters
-
BucketVegaSettingsIR holds the Vega Risk Weights, Concentration Thresholds, and Cross-Tenor/Cross-Curve
Correlations for each Currency Curve and its Tenor.
- BucketVegaSettingsIR(Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, LabelCorrelation, double, double, double, double, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>) - Constructor for class org.drip.simm.parameters.BucketVegaSettingsIR
-
BucketVegaSettingsIR Constructor
- BudgetConstrainedAllocationClient - Class in org.drip.sample.service
-
BudgetConstrainedAllocationClient demonstrates the Invocation and Examination of the JSON-based
Budget Constrained Portfolio Allocation Service Client.
- BudgetConstrainedAllocationClient() - Constructor for class org.drip.sample.service.BudgetConstrainedAllocationClient
-
- BudgetConstrainedAllocator(JSONObject) - Static method in class org.drip.json.assetallocation.PortfolioConstructionProcessor
-
JSON Based in/out Budget Constrained Mean Variance Allocation Thunker
- BudgetConstrainedVarianceMinimizer - Class in org.drip.sample.assetallocation
-
BudgetConstrainedVarianceMinimizer demonstrates the Construction of an Optimal Portfolio using the
Variance Minimizing Allocator with Budget/Weight Constraints.
- BudgetConstrainedVarianceMinimizer() - Constructor for class org.drip.sample.assetallocation.BudgetConstrainedVarianceMinimizer
-
- BuildFromDF(JulianDate, String, int[], double[]) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
Build a Discount Curve from an array of discount factors
- BuildManager - Class in org.drip.service.env
-
BuildManager maintains a Log of the Build Records.
- BuildManager() - Constructor for class org.drip.service.env.BuildManager
-
- BuildRecord - Class in org.drip.service.env
-
BuildRecord records the Build Log - DRIP Version, Java Version, and Build Time Stamp.
- BuildRecord(String, String, String) - Constructor for class org.drip.service.env.BuildRecord
-
BuildRecord Constructor
- buildRecords() - Static method in class org.drip.service.env.BuildManager
-
Retrieve the Array of Build Records
- BuiltInCDSPortfolioDefinitions - Class in org.drip.sample.credit
-
BuiltInCDSPortfolioDefinitions displays the Built-in CDS Portfolios.
- BuiltInCDSPortfolioDefinitions() - Constructor for class org.drip.sample.credit.BuiltInCDSPortfolioDefinitions
-
- Bullet - Class in org.drip.analytics.cashflow
-
Bullet is designed to hold the Point Realizations of the Latent States relevant to Terminal Valuation of a
Bullet Cash Flow.
- Bullet(int, int, int, double, Array2D, String, String, EntityCDSLabel) - Constructor for class org.drip.analytics.cashflow.Bullet
-
Construct a Bullet Instance from the specified Parameters
- BulletAgency - Class in org.drip.sample.bondfixed
-
BulletAgency demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation
Functionality.
- BulletAgency() - Constructor for class org.drip.sample.bondfixed.BulletAgency
-
- BulletCorporate1 - Class in org.drip.sample.bondfixed
-
BulletCorporate1 demonstrates Non-EOS Fixed Coupon Corporate Bond Pricing and Relative Value Measure
Generation Functionality.
- BulletCorporate1() - Constructor for class org.drip.sample.bondfixed.BulletCorporate1
-
- BulletCorporate2 - Class in org.drip.sample.bondfixed
-
BulletCorporate2 demonstrates Non-EOS Fixed Coupon Corporate Bond Pricing and Relative Value Measure
Generation Functionality.
- BulletCorporate2() - Constructor for class org.drip.sample.bondfixed.BulletCorporate2
-
- BulletCorporate3 - Class in org.drip.sample.bondfixed
-
BulletCorporate3 demonstrates Non-EOS Fixed Coupon Corporate Bond Pricing and Relative Value Measure
Generation Functionality.
- BulletCorporate3() - Constructor for class org.drip.sample.bondfixed.BulletCorporate3
-
- BulletCorporate4 - Class in org.drip.sample.bondfixed
-
BulletCorporate4 demonstrates Non-EOS Fixed Coupon Corporate Bond Pricing and Relative Value Measure
Generation Functionality.
- BulletCorporate4() - Constructor for class org.drip.sample.bondfixed.BulletCorporate4
-
- BulletCorporate5 - Class in org.drip.sample.bondfixed
-
BulletCorporate5 demonstrates Non-EOS Fixed Coupon Corporate Bond Pricing and Relative Value Measure
Generation Functionality.
- BulletCorporate5() - Constructor for class org.drip.sample.bondfixed.BulletCorporate5
-
- BulletCorporate6 - Class in org.drip.sample.bondfixed
-
BulletCorporate6 demonstrates Non-EOS Fixed Coupon Corporate Bond Pricing and Relative Value Measure
Generation Functionality.
- BulletCorporate6() - Constructor for class org.drip.sample.bondfixed.BulletCorporate6
-
- BulletLIBORCorporate - Class in org.drip.sample.bondfloat
-
BulletLIBORCorporate demonstrates Non-EOS Floating Coupon Corporate Bond Pricing and Relative Value
Measure Generation Functionality.
- BulletLIBORCorporate() - Constructor for class org.drip.sample.bondfloat.BulletLIBORCorporate
-
- BulletMetrics - Class in org.drip.analytics.output
-
BulletMetrics holds the results of the Bullet Cash flow metrics estimate output.
- BulletMetrics(int, int, double, double, double, double, ConvexityAdjustment, EntityCDSLabel, FundingLabel, FXLabel) - Constructor for class org.drip.analytics.output.BulletMetrics
-
BulletMetrics Constructor
- BulletSchedule() - Static method in class org.drip.quant.common.Array2D
-
Create an Array2D Instance from the Flat Unit Y
- bumpDown() - Method in class org.drip.param.market.CreditCurveScenarioContainer
-
Return the bump Down credit curve
- bumpDown() - Method in class org.drip.param.market.DiscountCurveScenarioContainer
-
Return the Bump Down Discount Curve
- BumpedCreditCurve(JulianDate, String, String[], double[], double[], String, MergedDiscountForwardCurve, double, boolean) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Tenor + Parallel Map of Bumped Credit Curves from Overnight Exchange/OTC Market Instruments
- BumpedForwardCurve(JulianDate, ForwardLabel, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, MergedDiscountForwardCurve, ForwardCurve, int, double, boolean) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Map of Tenor Bumped Forward Curve Based off of the Input Exchange/OTC Market Instruments
- BumpedForwardFundingCurve(JulianDate, String, String[], double[], String, double[], String, String[], double[], String, int, double, boolean) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Map of Tenor Bumped Funding Curve Based off of the Underlying Forward Curve Shift
- BumpedForwardVolatilityCurve(JulianDate, ForwardLabel, boolean, String[], double[], double[], String, MergedDiscountForwardCurve, ForwardCurve, double, boolean) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Tenor + Parallel Forward Volatility Latent State Construction from Cap/Floor Instruments
- BumpedFundingCurve(JulianDate, String, String[], double[], String, double[], String, String[], double[], String, int, double, boolean) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Map of Tenor Bumped Funding Curve Based off of the Input Exchange/OTC Market Instruments
- BumpedFXCurve(JulianDate, CurrencyPair, String[], double[], String, double, int, double, boolean) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Tenor + Parallel Map of FX Curve from the FX Instruments
- BumpedGovvieCurve(String, JulianDate, JulianDate[], JulianDate[], double[], double[], String, int, double, boolean) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Tenor + Parallel Map of Govvie Curves from the Treasury Instruments
- BumpedOvernightCurve(JulianDate, String, String[], double[], String, String[], double[], String, String[], String[], double[], String, String[], double[], String, int, double, boolean) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Map of Tenor + Parallel Bumped Overnight Curves
- bumpNodeValue(int, double) - Method in interface org.drip.analytics.definition.ExplicitBootCurve
-
Bump the node value at the node specified the index by the value
- bumpNodeValue(int, double) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
-
- bumpNodeValue(int, double) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
-
- bumpNodeValue(int, double) - Method in class org.drip.state.nonlinear.FlatForwardFXCurve
-
- bumpNodeValue(int, double) - Method in class org.drip.state.nonlinear.FlatForwardGovvieCurve
-
- bumpNodeValue(int, double) - Method in class org.drip.state.nonlinear.FlatForwardRepoCurve
-
- bumpNodeValue(int, double) - Method in class org.drip.state.nonlinear.FlatForwardVolatilityCurve
-
- bumpNodeValue(int, double) - Method in class org.drip.state.nonlinear.FlatYieldGovvieCurve
-
- bumpNodeValue(int, double) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
-
- BumpQuotes(double[], double, boolean) - Static method in class org.drip.analytics.support.Helper
-
Bump the input array quotes
- bumpRecoveryDown() - Method in class org.drip.param.market.CreditCurveScenarioContainer
-
Return the recovery bump Down credit curve
- bumpRecoveryUp() - Method in class org.drip.param.market.CreditCurveScenarioContainer
-
Return the recovery bump up credit curve
- bumpUp() - Method in class org.drip.param.market.CreditCurveScenarioContainer
-
Return the bump up credit curve
- bumpUp() - Method in class org.drip.param.market.DiscountCurveScenarioContainer
-
Return the Bump Up Discount Curve
- BURGARD_KJAER_GOLD_PLATED_TWO_WAY_CSA_VERTEX - Static variable in class org.drip.xva.settings.PositionReplicationScheme
-
Burgard Kjaer Gold Plated Two Way CSA Vertex Generator Scheme
- BURGARD_KJAER_HEDGE_ERROR_DUAL_BOND_VERTEX - Static variable in class org.drip.xva.settings.PositionReplicationScheme
-
Burgard Kjaer Hedge Error Dual Bond Vertex Generator Scheme
- BURGARD_KJAER_ONE_WAY_CSA_VERTEX - Static variable in class org.drip.xva.settings.PositionReplicationScheme
-
Burgard Kjaer One Way CSA Vertex Generator Scheme
- BURGARD_KJAER_SEMI_REPLICATION_DUAL_BOND_VERTEX - Static variable in class org.drip.xva.settings.PositionReplicationScheme
-
Burgard Kjaer Semi Replication Dual Bond Vertex Generator Scheme
- BURGARD_KJAER_SET_OFF_VERTEX - Static variable in class org.drip.xva.settings.PositionReplicationScheme
-
Burgard Kjaer One Way CSA Vertex Generator Scheme
- BurgardKjaer - Class in org.drip.xva.vertex
-
BurgardKjaer holds the Close Out Based Vertex Exposures of a Projected Path of a Simulation Run of a
Collateral Hypothecation Group using the Generalized Burgard Kjaer (2013) Scheme.
- BurgardKjaer(JulianDate, double, double, BurgardKjaerExposure, CollateralGroupVertexCloseOut, ReplicationPortfolioVertexDealer) - Constructor for class org.drip.xva.vertex.BurgardKjaer
-
BurgardKjaer Constructor
- BurgardKjaerBuilder - Class in org.drip.xva.vertex
-
BurgardKjaerBuilder contains the Builders that construct the Burgard Kjaer Vertex using a Variant of the
Generalized Burgard Kjaer (2013) Scheme.
- BurgardKjaerBuilder() - Constructor for class org.drip.xva.vertex.BurgardKjaerBuilder
-
- BurgardKjaerEdge - Class in org.drip.xva.pde
-
BurgardKjaerEdge holds the Underlier Stochastic and the Credit Risk Free Components of the XVA Derivative
Value Growth, as laid out in Burgard and Kjaer (2014).
- BurgardKjaerEdge(double, double, double, double, double) - Constructor for class org.drip.xva.pde.BurgardKjaerEdge
-
- BurgardKjaerEdgeAttribution - Class in org.drip.xva.pde
-
BurgardKjaerEdgeAttribution collects the Attribution Components of the Burgard Kjaer PDE based on the
Risk-Neutral Ito Evolution of the Derivative, as laid out in Burgard and Kjaer (2014).
- BurgardKjaerEdgeAttribution(double, double, double, double, double, double, double, double, double) - Constructor for class org.drip.xva.pde.BurgardKjaerEdgeAttribution
-
BurgardKjaerEdgeAttribution Constructor
- BurgardKjaerEdgeRun - Class in org.drip.xva.pde
-
BurgardKjaerEdgeRun collects the Results of the Burgard Kjaer PDE based on the Risk-Neutral Ito Evolution
of the Derivative, as laid out in Burgard and Kjaer (2014).
- BurgardKjaerEdgeRun(double, double, double, double, double, double, double, double, double) - Constructor for class org.drip.xva.pde.BurgardKjaerEdgeRun
-
BurgardKjaerEdgeRun Constructor
- BurgardKjaerExposure - Class in org.drip.xva.vertex
-
BurgardKjaerExposure holds the Credit, the Debt, and the Funding Exposures, as well as the Collateral
Balances at each Re-hypothecation Collateral Group using the Burgard Kjaer (2014) Scheme.
- BurgardKjaerExposure(double, double, double, double) - Constructor for class org.drip.xva.vertex.BurgardKjaerExposure
-
BurgardKjaerExposure Constructor
- BurgardKjaerOperator - Class in org.drip.xva.pde
-
BurgardKjaerOperator sets up the Parabolic Differential Equation PDE based on the Ito Evolution
Differential for the Reference Underlier Asset, as laid out in Burgard and Kjaer (2014).
- BurgardKjaerOperator(PrimarySecurityDynamicsContainer, PDEEvolutionControl) - Constructor for class org.drip.xva.pde.BurgardKjaerOperator
-
BurgardKjaerOperator Constructor
- burstiness() - Method in class org.drip.measure.dynamics.DiffusionEvaluatorOrnsteinUhlenbeck
-
Retrieve the Burstiness Parameter
- BusinessDays(int, int, String) - Static method in class org.drip.analytics.daycount.Convention
-
Calculate the Number of Business Days between the Start and the End Dates
- C() - Method in class org.drip.function.r1tor1.SABRLIBORCapVolatility
-
Return "C"
- c1(String) - Method in class org.drip.historical.attribution.PositionMarketSnap
-
Retrieve the Custom C^1 Entry corresponding to the Specified Key
- c1(String) - Method in class org.drip.historical.sensitivity.TenorDurationNodeMetrics
-
Retrieve the Custom C^1 Entry corresponding to the Specified Key
- C1() - Method in class org.drip.spline.pchip.AkimaLocalC1Generator
-
- C1() - Method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
Retrieve the C1 Array
- C1_AKIMA - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
C1 Type: Akima
- C1_BESSEL - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
C1 Type: Bessel
- C1_HARMONIC - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
C1 Type: Harmonic
- C1_HUYNH_LE_FLOCH - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
C1 Type: Huynh - Le Floch Limiter
- C1_HYMAN83 - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
C1 Type: Hyman83
- C1_HYMAN89 - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
C1 Type: Hyman89
- C1_KRUGER - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
C1 Type: Kruger
- C1_MONOTONE_CONVEX - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
C1 Type: Monotone Convex
- C1_VAN_LEER - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
C1 Type: Van Leer Limiter
- C1_VANILLA - Static variable in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
C1 Type: Vanilla
- C1ArrayTranslateShuffle - Class in org.drip.sample.algo
-
C1ArrayTranslateShuffle demonstrates the Functionality that conducts an in-place Translation and Shuffling
of a Big String Instance.
- C1ArrayTranslateShuffle() - Constructor for class org.drip.sample.algo.C1ArrayTranslateShuffle
-
- C1GeneratorScheme() - Method in class org.drip.state.estimator.LocalControlCurveParams
-
Retrieve the C1 Generator Scheme
- CacheManager - Class in org.drip.service.env
-
CacheManager implements the DRIP Cache Management Functionality, and contains the Functions to Add,
Delete, Retrieve, and Time out a Key-Value Pair along the lines of memcached.
- CacheManager() - Constructor for class org.drip.service.env.CacheManager
-
- CacheManagerAPI - Class in org.drip.sample.env
-
CacheManagerAPI demonstrates Cache Manager API Functionality.
- CacheManagerAPI() - Constructor for class org.drip.sample.env.CacheManagerAPI
-
- CAD - Class in org.drip.template.irs
-
CAD contains a Templated Pricing of the OTC Fix-Float CAD IRS Instrument.
- CAD() - Constructor for class org.drip.template.irs.CAD
-
- CAD3M6MUSD3M6M - Class in org.drip.sample.dual
-
CAD3M6MUSD3M6M demonstrates the setup and construction of the USD 3M Forward Curve from CAD3M6MUSD3M6M
CCBS, CAD 3M, CAD 6M, and USD 6M Quotes.
- CAD3M6MUSD3M6M() - Constructor for class org.drip.sample.dual.CAD3M6MUSD3M6M
-
- CADCDOR3M - Class in org.drip.template.forwardratefutures
-
CADCDOR3M contains a Templated Pricing of the CDOR 3M CAD Futures Instrument.
- CADCDOR3M() - Constructor for class org.drip.template.forwardratefutures.CADCDOR3M
-
- CADHoliday - Class in org.drip.analytics.holset
-
- CADHoliday() - Constructor for class org.drip.analytics.holset.CADHoliday
-
- CADIRSAttribution - Class in org.drip.sample.fixfloatpnl
-
CADIRSAttribution generates the Historical PnL Attribution for CAD IRS.
- CADIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.CADIRSAttribution
-
- CADOISSmoothReconstitutor - Class in org.drip.sample.overnightfeed
-
CADOISSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the CAD Input OIS
Marks.
- CADOISSmoothReconstitutor() - Constructor for class org.drip.sample.overnightfeed.CADOISSmoothReconstitutor
-
- CADShapePreserving1YForward - Class in org.drip.sample.fundinghistorical
-
CADShapePreserving1YForward Generates the Historical CAD Shape Preserving Funding Curve Native 1Y
Compounded Forward Rate.
- CADShapePreserving1YForward() - Constructor for class org.drip.sample.fundinghistorical.CADShapePreserving1YForward
-
- CADShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
-
CADShapePreserving1YStart Generates the Historical CAD Shape Preserving Funding Curve Native Compounded
Forward Rate starting at 1Y Tenor.
- CADShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.CADShapePreserving1YStart
-
- CADShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
-
CADShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the
CAD Input Marks.
- CADShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.CADShapePreservingReconstitutor
-
- CADSmooth1MForward - Class in org.drip.sample.overnighthistorical
-
CADSmooth1MForward Generates the Historical CAD Smoothened Overnight Curve Native 1M Compounded Forward
Rate.
- CADSmooth1MForward() - Constructor for class org.drip.sample.overnighthistorical.CADSmooth1MForward
-
- CADSmooth1YForward - Class in org.drip.sample.fundinghistorical
-
CADSmooth1YForward Generates the Historical CAD Smoothened Funding Curve Native 1Y Compounded Forward
Rate.
- CADSmooth1YForward() - Constructor for class org.drip.sample.fundinghistorical.CADSmooth1YForward
-
- CADSmoothReconstitutor - Class in org.drip.sample.fundingfeed
-
CADSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the CAD Input Marks.
- CADSmoothReconstitutor() - Constructor for class org.drip.sample.fundingfeed.CADSmoothReconstitutor
-
- CAEHoliday - Class in org.drip.analytics.holset
-
- CAEHoliday() - Constructor for class org.drip.analytics.holset.CAEHoliday
-
- calcAbsoluteOFTolerance(double) - Method in class org.drip.function.r1tor1solver.ExecutionControl
-
Calculate the absolute OF tolerance using the initial OF value
- calcAbsoluteVariateConvergence(double) - Method in class org.drip.function.r1tor1solver.ExecutionControl
-
Calculate the absolute variate convergence amount using the initial variate
- calcConservedConstraint() - Method in class org.drip.spline.pchip.MinimalQuadraticHaganWest
-
- calcDResponseDManifest(String, double, int) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Calculate the Ordered Derivative of the Response to the Manifest
- calcDResponseDPreceedingManifest(String, double, int) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Calculate the Ordered Derivative of the Response to the Preceeding Manifest
- calcLeftEdgeDerivative(int) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- calcLeftEdgeDerivative(int) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Calculate the Derivative of the requested order at the Left Edge of the Stretch
- calcNextVariate(double, double, double, double, int, FixedPointFinderOutput) - Method in class org.drip.function.r1tor1solver.FixedPointFinderBracketing
-
- CalcRateIndex(String, int) - Static method in class org.drip.analytics.support.Helper
-
Calculate the rate index from the coupon currency and the frequency
- calcResponseValue(double) - Method in class org.drip.spline.grid.AggregatedSpan
-
- calcResponseValue(double) - Method in class org.drip.spline.grid.OverlappingStretchSpan
-
- calcResponseValue(double) - Method in interface org.drip.spline.grid.Span
-
Compute the Response from the containing Stretches
- calcResponseValueDerivative(double, int) - Method in class org.drip.spline.grid.AggregatedSpan
-
- calcResponseValueDerivative(double, int) - Method in class org.drip.spline.grid.OverlappingStretchSpan
-
- calcResponseValueDerivative(double, int) - Method in interface org.drip.spline.grid.Span
-
Compute the Response Value Derivative from the containing Stretches
- calcResponseValueDerivative(double, int) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Calculate the Ordered Response Value Derivative at the Predictor Ordinate
- calcRightEdgeDerivative(int) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- calcRightEdgeDerivative(int) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Calculate the Derivative of the requested order at the right Edge of the Stretch
- calcSlope(boolean) - Method in class org.drip.quant.calculus.Differential
-
Retrieve the Delta for the variate
- calcSPRD(double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- calcSPRD(double) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Calculate the SPRD at the specified Predictor Ordinate
- calcTime() - Method in class org.drip.analytics.output.ComponentMeasures
-
Retrieve the Calculation Time
- calculationType() - Method in class org.drip.product.credit.BondComponent
-
- calculationType() - Method in class org.drip.product.definition.Bond
-
Return the bond's calculation type
- calculationType() - Method in class org.drip.product.params.QuoteConvention
-
Retrieve the Calculation Type
- calendar() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
-
Retrieve the Calendar
- calendar() - Method in class org.drip.analytics.daycount.DateAdjustParams
-
Retrieve the Roll Holiday Calendar
- calendar() - Method in class org.drip.exposure.mpor.PathVariationMarginTrajectoryEstimator
-
Retrieve the Date Adjustment Calendar
- calendar() - Method in class org.drip.market.definition.FloaterIndex
-
Retrieve the Index Holiday Calendar
- calendar() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
-
Retrieve the Treasury Futures Settle Calendar
- calendar() - Method in class org.drip.market.issue.TreasurySetting
-
Retrieve the Calendar
- calendar() - Method in class org.drip.market.otc.FixedStreamConvention
-
Retrieve the Holiday Calendar
- calendar() - Method in class org.drip.param.period.UnitCouponAccrualSetting
-
Retrieve the Calendar
- calendar() - Method in class org.drip.param.quoting.YieldInterpreter
-
Retrieve the Calendar
- calendar() - Method in class org.drip.param.valuation.CashSettleParams
-
Retrieve the Settle Calendar
- calendar() - Method in class org.drip.param.valuation.ValuationParams
-
Retrieve the Calendar
- calendar() - Method in class org.drip.product.rates.Stream
-
Retrieve the Calendar
- CalendarAPI - Class in org.drip.sample.date
-
CalendarAPI demonstrates Calendar API Functionality.
- CalendarAPI() - Constructor for class org.drip.sample.date.CalendarAPI
-
- calendarSet() - Method in class org.drip.exposure.csatimeline.EventSequence
-
Retrieve the CSA Calendar Set
- calibComp() - Method in interface org.drip.analytics.definition.Curve
-
Retrieve the Calibration Components
- calibComp() - Method in class org.drip.analytics.definition.MarketSurface
-
- calibComp() - Method in class org.drip.analytics.definition.NodeStructure
-
- calibComp() - Method in class org.drip.state.basis.BasisCurve
-
- calibComp() - Method in class org.drip.state.credit.CreditCurve
-
- calibComp() - Method in class org.drip.state.curve.DerivedZeroRate
-
- calibComp() - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
-
- calibComp() - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
-
- calibComp() - Method in class org.drip.state.curve.ZeroRateDiscountCurve
-
- calibComp() - Method in class org.drip.state.discount.ExplicitBootDiscountCurve
-
- calibComp() - Method in class org.drip.state.forward.ForwardCurve
-
- calibComp() - Method in class org.drip.state.fx.FXCurve
-
- calibComp() - Method in class org.drip.state.govvie.ExplicitBootGovvieCurve
-
- calibComp() - Method in class org.drip.state.govvie.GovvieCurve
-
- calibComp() - Method in class org.drip.state.repo.RepoCurve
-
- calibDiscCurveSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, int, double, double) - Method in class org.drip.product.credit.BondComponent.BondCalibrator
-
Calibrate the bond Z Spread from the market price.
- calibFlatSpread(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.credit.CDSComponent
-
Calibrate the CDS's flat spread from the calculated up-front points
- calibFlatSpread(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.definition.CreditDefaultSwap
-
Calibrate the CDS's flat spread from the calculated up-front points
- calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.credit.BondComponent
-
- calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.credit.CDSComponent
-
- calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.definition.CalibratableComponent
-
Generate a Map of the Calibration Measures
- calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fx.FXForwardComponent
-
- calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.option.OptionComponent
-
- calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.FixFloatComponent
-
- calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.FloatFloatComponent
-
- calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.RatesBasket
-
- calibMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.SingleStreamComponent
-
- calibParams() - Method in class org.drip.param.pricer.CreditPricerParams
-
Retrieve the Calibration Parameters Instance
- calibPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.definition.CalibratableComponent
-
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Component from the
Market Inputs.
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.credit.BondComponent
-
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.credit.CDSComponent
-
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.definition.CalibratableComponent
-
Generate the Product Specific Calibration Quote Set
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.fra.FRAStandardComponent
-
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.fx.FXForwardComponent
-
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.govvie.TreasuryComponent
-
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.option.CDSEuropeanOption
-
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.option.FixFloatEuropeanOption
-
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.option.OptionComponent
-
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.rates.FixFloatComponent
-
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.rates.FloatFloatComponent
-
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.rates.RatesBasket
-
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.rates.SingleStreamComponent
-
- calibQuoteSet(LatentStateSpecification[]) - Method in class org.drip.product.rates.Stream
-
Generate the Calibration Quote Set corresponding to the specified Latent State Array
- CalibratableComponent - Class in org.drip.product.definition
-
CalibratableComponent abstract class provides implementation of Component's calibration interface.
- CalibratableComponent() - Constructor for class org.drip.product.definition.CalibratableComponent
-
- CalibratableFixedIncomeComponentForwardArray(CalibratableComponent) - Static method in class org.drip.analytics.support.ForwardDecompositionUtil
-
Decompose the Rates Component into an Array of Single Forward Rates Components
- CalibratableMultiSegmentSequence - Class in org.drip.spline.stretch
-
CalibratableMultiSegmentSequence implements the MultiSegmentSequence span that spans multiple segments.
- CalibratableMultiSegmentSequence(String, LatentStateResponseModel[], SegmentCustomBuilderControl[]) - Constructor for class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
CalibratableMultiSegmentSequence constructor - Construct a sequence of Basis Spline Segments
- calibrate(LatentStateResponseModel, SegmentResponseValueConstraint, SegmentBestFitResponse) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Calibrate the coefficients from the prior Predictor/Response Segment, the Constraint, and fitness
Weights
- calibrate(LatentStateResponseModel, double, SegmentBestFitResponse) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Calibrate the coefficients from the prior Segment and the Response Value at the Right Predictor
Ordinate
- calibrate(double, double, double, SegmentBestFitResponse) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Calibrate the Coefficients from the Edge Response Values and the Left Edge Response Slope
- calibrate(SegmentResponseValueConstraint, double, SegmentResponseValueConstraint, SegmentBestFitResponse) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Calibrate the coefficients from the Left Edge Response Value Constraint, the Left Edge Response Value
Slope, and the Right Edge Response Value Constraint
- CALIBRATE - Static variable in interface org.drip.spline.stretch.MultiSegmentSequence
-
Calibration Detail: Calibrate the Stretch as part of the set up
- CALIBRATE_JACOBIAN - Static variable in interface org.drip.spline.stretch.MultiSegmentSequence
-
Calibration Detail: Calibrate the Stretch AND compute Jacobian as part of the set up
- calibrateCreditBasisFromPrice(ValuationParams, CurveSurfaceQuoteContainer, int, double, double, boolean) - Method in class org.drip.product.credit.BondComponent.BondCalibrator
-
Calibrate the bond Credit Basis from the market price
- calibrateDCBasisFromFwdPriceNR(ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, double, double, boolean) - Method in class org.drip.product.fx.FXForwardComponent.FXBasisCalibrator
-
Calibrate the discount curve basis from FXForward using Newton-Raphson methodology
- calibrateHazardFromPrice(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.CDSComponent.SpreadCalibrator
-
Calibrate the hazard rate from calibration price
- calibrateLocalManifestJacobian(String, SegmentStateCalibrationInputs, SegmentBasisFlexureConstraint[]) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Sensitivity Calibrator: Calibrate the Segment Local Manifest Jacobian from the Calibration Parameter
Set
- calibrateManifestJacobian(SegmentStateCalibrationInputs, SegmentBasisFlexureConstraint[]) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Sensitivity Calibrator: Calibrate the Segment Manifest Measure Jacobian from the Calibration Inputs
- calibrateOASFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, int, double, double) - Method in class org.drip.product.credit.BondComponent.BondCalibrator
-
Calibrate the Bond OAS from the Market Price using the Root Bracketing Technique.
- calibratePreceedingManifestJacobian(String, SegmentStateCalibrationInputs) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Sensitivity Calibrator: Calibrate the Segment Preceeding Manifest Jacobian from the Calibration
Parameter Set
- calibrateSpan(LatentStateStretchSpec[], double, ValuationParams, CreditPricerParams, ValuationCustomizationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.state.inference.LinearLatentStateCalibrator
-
Calibrate the Span from the Instruments in the Stretches and their Details.
- calibrateState(SegmentStateCalibrationInputs) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Main Calibrator: Calibrate the Segment State from the Calibration Parameter Set
- calibrateYieldFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent.BondCalibrator
-
Calibrate the bond yield from the market price using the root bracketing technique.
- calibrateZSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, int, double, double) - Method in class org.drip.product.credit.BondComponent.BondCalibrator
-
Calibrate the bond Z Spread from the market price using the root bracketing technique.
- CALIBRATION_TYPE_FLAT_CURVE_NODES - Static variable in class org.drip.product.credit.CDSComponent.SpreadCalibrator
-
- CALIBRATION_TYPE_FLAT_INSTRUMENT_NODE - Static variable in class org.drip.product.credit.CDSComponent.SpreadCalibrator
-
- CALIBRATION_TYPE_NODE_PARALLEL_BUMP - Static variable in class org.drip.product.credit.CDSComponent.SpreadCalibrator
-
- calibrationBoundaryCondition() - Method in class org.drip.state.estimator.GlobalControlCurveParams
-
Retrieve the Calibration Boundary Condition
- calibrationDetail() - Method in class org.drip.state.estimator.SmoothingCurveStretchParams
-
Retrieve the Calibration Detail
- CalibrationEmpirics - Class in org.drip.execution.athl
-
CalibrationEmpirics contains the Universal Market Impact Exponent/Coefficients that have been determined
empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003).
- CalibrationEmpirics() - Constructor for class org.drip.execution.athl.CalibrationEmpirics
-
- CalibrationParams - Class in org.drip.param.definition
-
CalibrationParams the calibration parameters - the measure to be calibrated, the type/nature of the
calibration to be performed, and the work-out date to which the calibration is done.
- CalibrationParams(String, int, WorkoutInfo) - Constructor for class org.drip.param.definition.CalibrationParams
-
CalibrationParams constructor
- calibSegmentSequence(int) - Method in class org.drip.spline.stretch.CkSegmentSequenceBuilder
-
- calibSegmentSequence(int) - Method in interface org.drip.spline.stretch.SegmentSequenceBuilder
-
Calibrate the Segment Sequence in the Stretch
- calibSegmentSequence(int) - Method in class org.drip.state.inference.LatentStateSequenceBuilder
-
- calibStartingSegment(double) - Method in class org.drip.spline.stretch.CkSegmentSequenceBuilder
-
- calibStartingSegment(double) - Method in interface org.drip.spline.stretch.SegmentSequenceBuilder
-
Calibrate the Starting Segment using the LeftSlope
- calibStartingSegment(double) - Method in class org.drip.state.inference.LatentStateSequenceBuilder
-
- calibZeroCurveSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, int, double, double) - Method in class org.drip.product.credit.BondComponent.BondCalibrator
-
Calibrate the bond Z Spread from the market price.
- CALL_NOTICE_PERIOD_DEFAULT - Static variable in class org.drip.product.params.EmbeddedOptionSchedule
-
- callable() - Method in class org.drip.product.credit.BondComponent
-
- callable() - Method in class org.drip.product.definition.Bond
-
Indicate if the bond is callable
- callMetrics(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double, GovvieBuilderSettings, DiffusionEvolver, int) - Method in class org.drip.product.credit.BondComponent
-
Generate the EOS Callable Option Adjusted Metrics
- CallPriceSplineSurface - Class in org.drip.sample.stochasticvolatility
-
CallPriceSplineSurface demonstrates the spline volatility surface generated by a stochastic volatility
algorithm, i.e., in this case the Heston 1993 algorithm.
- CallPriceSplineSurface() - Constructor for class org.drip.sample.stochasticvolatility.CallPriceSplineSurface
-
- callSchedule() - Method in class org.drip.product.credit.BondComponent
-
- callSchedule() - Method in class org.drip.product.definition.Bond
-
Return the bond's embedded call schedule
- CallVolSplineSurface - Class in org.drip.sample.stochasticvolatility
-
CallVolSplineSurface demonstrates the spline volatility surface generator by a stochastic volatility
algorithm, i.e., in this case the Heston 1993 algorithm.
- CallVolSplineSurface() - Constructor for class org.drip.sample.stochasticvolatility.CallVolSplineSurface
-
- CAN(JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder
-
Construct an Instance of the Canadian Government CAD CAN Bond
- CANBenchmarkAttribution - Class in org.drip.sample.treasurypnl
-
CANBenchmarkAttribution demonstrates the Computation of the PnL Time Series Metrics for the CAN Benchmark
Bond Series.
- CANBenchmarkAttribution() - Constructor for class org.drip.sample.treasurypnl.CANBenchmarkAttribution
-
- Canhzhou - Class in org.drip.sample.bondeos
-
Canhzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Canhzhou.
- Canhzhou() - Constructor for class org.drip.sample.bondeos.Canhzhou
-
- canonicalTruthness(String) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
-
- canonicalTruthness(String) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
Convert the inferred Formulation Constraint into a "Truthness" Entity
- canonicalTruthness(String) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
-
- CANReconstitutor - Class in org.drip.sample.treasuryfeed
-
CANReconstitutor demonstrates the Cleansing and Re-constitution of the CAN Yield Marks obtained from
Historical Yield Curve Prints.
- CANReconstitutor() - Constructor for class org.drip.sample.treasuryfeed.CANReconstitutor
-
- CapFloor(JulianDate, ForwardLabel, String, double, boolean) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Construct an Instance of the Standard OTC FRA Cap/Floor
- CapFloor(JulianDate, ForwardLabel, String[], double[], boolean) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Construct an Instance of the Standard OTC FRA Cap/Floor
- capFloorlets() - Method in class org.drip.product.fra.FRAStandardCapFloor
-
Retrieve the List of the Underlying Caplets/Floorlets
- CapitalAllocationLine - Class in org.drip.portfolioconstruction.mpt
-
CapitalAllocationLine implements the Efficient Half-line created from the Combination of the Risk Free
Asset and the Tangency Point of the CAPM Market Portfolio.
- CapitalAllocationLine(double, PortfolioMetrics) - Constructor for class org.drip.portfolioconstruction.mpt.CapitalAllocationLine
-
CapitalAllocationLine Constructor
- CARD_COUNTABLY_FINITE - Static variable in class org.drip.spaces.tensor.Cardinality
-
Cardinality Type - Countably Finite
- CARD_COUNTABLY_INFINITE - Static variable in class org.drip.spaces.tensor.Cardinality
-
Cardinality Type - Countably Infinite
- CARD_UNCOUNTABLY_INFINITE - Static variable in class org.drip.spaces.tensor.Cardinality
-
Cardinality Type - Uncountably Infinite
- CardinalEdgeAggregate(SegmentPredictorResponseDerivative, SegmentPredictorResponseDerivative, double) - Static method in class org.drip.spline.params.SegmentPredictorResponseDerivative
-
Aggregate the 2 Predictor Ordinate Response Derivatives by applying the Cardinal Tension Weight
- Cardinality - Class in org.drip.spaces.tensor
-
Cardinality contains the Type and the Measure of the Cardinality of the given Vector Space.
- Cardinality(int, double) - Constructor for class org.drip.spaces.tensor.Cardinality
-
Cardinality Constructor
- cardinality() - Method in interface org.drip.spaces.tensor.GeneralizedVector
-
Retrieve the Cardinality of the Vector Space
- cardinality() - Method in class org.drip.spaces.tensor.R1CombinatorialVector
-
- cardinality() - Method in class org.drip.spaces.tensor.R1ContinuousVector
-
- cardinality() - Method in class org.drip.spaces.tensor.RdCombinatorialVector
-
- cardinality() - Method in class org.drip.spaces.tensor.RdContinuousVector
-
- CarlStephaniNormedBounds - Class in org.drip.spaces.cover
-
CarlStephaniNormedBounds contains the Normed Bounds that result from the Convolution Product of 2 Normed
R^x To Normed R^x Function Spaces.
- CarlStephaniNormedBounds(double, double) - Constructor for class org.drip.spaces.cover.CarlStephaniNormedBounds
-
CarlStephaniNormedBounds Constructor
- CarlStephaniProductBound(MaureyOperatorCoveringBounds, MaureyOperatorCoveringBounds, int, int) - Static method in class org.drip.spaces.cover.CoveringBoundsHelper
-
Compute the Upper Bound for the Entropy Number of the Operator Custom Covering Number Metric Product
across both the Function Classes
- CarlStephaniProductBounds - Class in org.drip.spaces.cover
-
CarlStephaniProductBounds implements the Bounds that result from the Convolution Product Product of 2
Normed R^x To Normed R^x Function Spaces.
- CarlStephaniProductBounds(NormedRxToNormedRxFinite, NormedRxToNormedRxFinite) - Constructor for class org.drip.spaces.cover.CarlStephaniProductBounds
-
CarlStephaniProductBounds Constructor
- CarlStephaniProductNorm(MaureyOperatorCoveringBounds, MaureyOperatorCoveringBounds, double, double, int) - Static method in class org.drip.spaces.cover.CoveringBoundsHelper
-
Compute the Upper Bound for the Entropy Number of the Operator Custom Covering Number Metric Product
across both the Function Classes using the Function Class Norm
- carry1DPnL() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Carry PnL
- carry1MPnL() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1M Carry PnL
- carry3MPnL() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 3M Carry PnL
- CaseInsensitiveHashMap<V> - Class in org.drip.analytics.support
-
CaseInsensitiveHashMap implements a Case Insensitive Key in a Hash Map
- CaseInsensitiveHashMap() - Constructor for class org.drip.analytics.support.CaseInsensitiveHashMap
-
- CaseInsensitiveTreeMap<V> - Class in org.drip.analytics.support
-
CaseInsensitiveTreeMap implements a Case Insensitive Key in a Tree Map
- CaseInsensitiveTreeMap() - Constructor for class org.drip.analytics.support.CaseInsensitiveTreeMap
-
- cash() - Method in class org.drip.portfolioconstruction.composite.Holdings
-
Retrieves the Cash Holdings
- cash() - Method in class org.drip.xva.basel.BalanceSheetVertex
-
Retrieve the Cash Account
- cashAccount() - Method in class org.drip.xva.derivative.ReplicationPortfolioVertex
-
Retrieve the Cash Account Amount
- CashAccountEdge - Class in org.drip.xva.derivative
-
CashAccountEdge holds the Increments of the Cash Account Components resulting from the Dynamic Replication
Process.
- CashAccountEdge(double, double, double) - Constructor for class org.drip.xva.derivative.CashAccountEdge
-
CashAccountEdge Constructor
- cashAccountEdge() - Method in class org.drip.xva.derivative.CashAccountRebalancer
-
Retrieve the Cash Account Edge Instance
- cashAccountEdge() - Method in class org.drip.xva.derivative.EvolutionTrajectoryEdge
-
Retrieve the Cash Account Edge
- CashAccountRebalancer - Class in org.drip.xva.derivative
-
CashAccountRebalancer holds the Edge Cash Account Increment and the Edge Derivative Value Update for a
Trajectory that has just undergone Cash Account Re-balancing, as laid out in Burgard and Kjaer (2014).
- CashAccountRebalancer(CashAccountEdge, double) - Constructor for class org.drip.xva.derivative.CashAccountRebalancer
-
CashAccountRebalancer Constructor
- cashAccumulationRate() - Method in class org.drip.exposure.evolver.Equity
-
- cashAccumulationRate() - Method in class org.drip.exposure.evolver.PrimarySecurity
-
Retrieve the Cash Accumulation Rate
- cashflowCurrencySet() - Method in class org.drip.product.rates.Stream
-
Retrieve the Cash Flow Currency Set
- CashFlowEstimator - Interface in org.drip.state.csa
-
CashFlowEstimator estimates the Cash Flow Rate to be applied between the specified Dates.
- cashFlowList() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityMetrics
-
Retrieve the List of Net Liability Cash Flows
- cashFlowPeriod() - Method in class org.drip.product.rates.Stream
-
Retrieve the Coupon Period List
- CashJacobianRegressorSet - Class in org.drip.regression.curvejacobian
-
CashJacobianRegressorSet implements the regression analysis set for the Cash product related Sensitivity
Jacobians.
- CashJacobianRegressorSet() - Constructor for class org.drip.regression.curvejacobian.CashJacobianRegressorSet
-
- cashPayDate() - Method in class org.drip.param.valuation.ValuationParams
-
Retrieve the Cash Pay Date
- cashQuote() - Method in class org.drip.service.api.DiscountCurveInputInstrument
-
Retrieve the Array of Cash Quotes
- cashSettleDate(int) - Method in class org.drip.param.valuation.CashSettleParams
-
Construct and return the cash settle date from the valuation date
- CashSettleParams - Class in org.drip.param.valuation
-
CashSettleParams is the place-holder for the cash settlement parameters for a given product.
- CashSettleParams(int, String, int) - Constructor for class org.drip.param.valuation.CashSettleParams
-
Construct the CashSettleParams object from the settle lag and the settle calendar objects
- cashSettleParams() - Method in class org.drip.product.credit.BondComponent
-
- cashSettleParams() - Method in class org.drip.product.credit.CDSComponent
-
- cashSettleParams() - Method in class org.drip.product.definition.Component
-
Get the Product's cash settlement parameters
- cashSettleParams() - Method in class org.drip.product.fx.FXForwardComponent
-
- cashSettleParams() - Method in class org.drip.product.govvie.TreasuryFutures
-
- cashSettleParams() - Method in class org.drip.product.option.OptionComponent
-
- cashSettleParams() - Method in class org.drip.product.params.QuoteConvention
-
Retrieve the Cash Settle Parameters
- cashSettleParams() - Method in class org.drip.product.rates.FixFloatComponent
-
- cashSettleParams() - Method in class org.drip.product.rates.FloatFloatComponent
-
- cashSettleParams() - Method in class org.drip.product.rates.RatesBasket
-
- cashSettleParams() - Method in class org.drip.product.rates.SingleStreamComponent
-
- cashTenor() - Method in class org.drip.service.api.DiscountCurveInputInstrument
-
Retrieve the Array of Cash Tenors
- category() - Method in class org.drip.portfolioconstruction.composite.Benchmark
-
Retrieve the Benchmark Category
- category() - Method in class org.drip.portfolioconstruction.optimizer.FormulationTerm
-
Retrieve the Objective Term Category
- category() - Method in class org.drip.simm.fx.FXRiskGroup
-
Retrieve the FX Risk Group Category
- CategoryDeltaMap() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer20
-
Retrieve the Category Delta Concentration Threshold Map
- CategoryDeltaMap() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer21
-
Retrieve the Category Delta Concentration Threshold Map
- CategoryDeltaThreshold(int) - Static method in class org.drip.simm.fx.FXRiskThresholdContainer20
-
Retrieve the Delta Threshold for the Category specified
- CategoryDeltaThreshold(int) - Static method in class org.drip.simm.fx.FXRiskThresholdContainer21
-
Retrieve the Delta Threshold for the Category specified
- CategorySet() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer20
-
Retrieve the Category Set
- CategorySet() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer21
-
Retrieve the Category Set
- CategoryVegaMap() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer20
-
Retrieve the Category Vega Concentration Threshold Map
- CategoryVegaMap() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer21
-
Retrieve the Category Vega Concentration Threshold Map
- CategoryVegaThreshold(int, int) - Static method in class org.drip.simm.fx.FXRiskThresholdContainer20
-
Retrieve the Vega Threshold for the Category Pair specified
- CategoryVegaThreshold(int, int) - Static method in class org.drip.simm.fx.FXRiskThresholdContainer21
-
Retrieve the Vega Threshold for the Category Pair specified
- cauchySchwarzAbsoluteBound() - Method in class org.drip.sequence.metrics.DualSequenceAgnosticMetrics
-
Retrieve the Cauchy-Schwarz Joint Expectation Bound
- CC_BASE - Static variable in class org.drip.param.market.CreditCurveScenarioContainer
-
CC Scenario Base
- CC_FLAT_DN - Static variable in class org.drip.param.market.CreditCurveScenarioContainer
-
CC Scenario Parallel Down
- CC_FLAT_UP - Static variable in class org.drip.param.market.CreditCurveScenarioContainer
-
CC Scenario Parallel Up
- CC_RR_FLAT_DN - Static variable in class org.drip.param.market.CreditCurveScenarioContainer
-
CC Scenario Recovery Parallel Down
- CC_RR_FLAT_UP - Static variable in class org.drip.param.market.CreditCurveScenarioContainer
-
CC Scenario Recovery Parallel Up
- CC_TENOR_DN - Static variable in class org.drip.param.market.CreditCurveScenarioContainer
-
CC Scenario Tenor Down
- CC_TENOR_UP - Static variable in class org.drip.param.market.CreditCurveScenarioContainer
-
CC Scenario Tenor Up
- CCBSDiscountCurve - Class in org.drip.sample.dual
-
CCBSDiscountCurve demonstrates the setup and construction of the Forward Curve from the CCBS Quotes.
- CCBSDiscountCurve() - Constructor for class org.drip.sample.dual.CCBSDiscountCurve
-
- CCBSForwardCurve - Class in org.drip.sample.dual
-
CCBSForwardCurve demonstrates the setup and construction of the Forward Curve from the CCBS Quotes.
- CCBSForwardCurve() - Constructor for class org.drip.sample.dual.CCBSForwardCurve
-
- cdf() - Method in class org.drip.exposure.regression.PykhtinPillar
-
Retrieve the Point Exposure CDF
- CDF(double) - Static method in class org.drip.measure.gaussian.NormalQuadrature
-
Compute the Cumulative Distribution Function up to the specified variate
- CDS(JulianDate, String, double, String, String) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Create an Instance of the OTC CDS.
- CDS(JulianDate, String[], double[], String, String) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Create an Array of the OTC CDS Instance.
- CDSBasket - Class in org.drip.product.credit
-
CDSBasket implements the basket default swap product contract details.
- CDSBasket(Component[], double[], String) - Constructor for class org.drip.product.credit.CDSBasket
-
Construct a CDS Basket from the components and their weights
- CDSBasketBuilder - Class in org.drip.product.creator
-
CDSBasketBuilder contains the suite of helper functions for creating the CDS Basket Product from different
kinds of inputs and byte streams.
- CDSBasketBuilder() - Constructor for class org.drip.product.creator.CDSBasketBuilder
-
- CDSBasketMeasures - Class in org.drip.sample.credit
-
CDSBasketMeasures contains a demo of the CDS Basket Measures Generation Sample.
- CDSBasketMeasures() - Constructor for class org.drip.sample.credit.CDSBasketMeasures
-
- CDSBuilder - Class in org.drip.product.creator
-
CDSBuilder contains the suite of helper functions for creating the CreditDefaultSwap product from the
parameters/byte array streams.
- CDSBuilder() - Constructor for class org.drip.product.creator.CDSBuilder
-
- CDSCashFlowMeasures - Class in org.drip.sample.credit
-
CDSCashFlowMeasures contains a demo of the CDS Measures and Cash flow Generation Sample.
- CDSCashFlowMeasures() - Constructor for class org.drip.sample.credit.CDSCashFlowMeasures
-
- CDSComponent - Class in org.drip.product.credit
-
CDSComponent implements the credit default swap product contract details.
- CDSComponent(int, int, double, int, String, String, String, boolean, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, Array2D, double, String, CreditSetting, String) - Constructor for class org.drip.product.credit.CDSComponent
-
CDSComponent constructor: Most generic CDS creation functionality
- CDSComponent.SpreadCalibOP - Class in org.drip.product.credit
-
CDS spread calibration output
- CDSComponent.SpreadCalibrator - Class in org.drip.product.credit
-
Implementation of the CDS spread calibrator
- cdsContractType() - Method in class org.drip.param.quoting.QuotedSpreadInterpreter
-
Retrieve the CDS Contract Type
- CDSEuropeanOption - Class in org.drip.product.option
-
CDSEuropeanOption implements the Payer/Receiver European Option on a CDS.
- CDSEuropeanOption(String, CreditDefaultSwap, String, boolean, double, LastTradingDateSetting, FokkerPlanckGenerator, CashSettleParams) - Constructor for class org.drip.product.option.CDSEuropeanOption
-
CDSEuropeanOption constructor
- CDSMarketSnap - Class in org.drip.historical.attribution
-
CDSMarketSnap contains the Metrics Snapshot associated with the relevant Manifest Measures for the given
Credit Default Swap Position.
- CDSMarketSnap(JulianDate, double) - Constructor for class org.drip.historical.attribution.CDSMarketSnap
-
CDSMarketSnap Constructor
- CDSO - Class in org.drip.sample.bloomberg
-
CDSO contains the sample demonstrating the replication of Bloomberg's CDSO functionality.
- CDSO() - Constructor for class org.drip.sample.bloomberg.CDSO
-
- CDSPayerReceiver - Class in org.drip.sample.creditoption
-
MultiCurvePayerReceiver contains the Demonstration of Valuing a Payer/Receiver CDS European Option Sample.
- CDSPayerReceiver() - Constructor for class org.drip.sample.creditoption.CDSPayerReceiver
-
- CDSPayerReceiverAnalysis - Class in org.drip.sample.creditoption
-
CDSPayerReceiverAnalysis carries out a Volatility Analysis of Payer/Receiver CDS European Option.
- CDSPayerReceiverAnalysis() - Constructor for class org.drip.sample.creditoption.CDSPayerReceiverAnalysis
-
- CDSValuationMetrics - Class in org.drip.sample.credit
-
CDSValuationMetrics contains the Demonstration of Valuing a Payer/Receiver CDS European Option
Sample.
- CDSValuationMetrics() - Constructor for class org.drip.sample.credit.CDSValuationMetrics
-
- CDSW - Class in org.drip.sample.bloomberg
-
CDSW contains the sample demonstrating the replication of Bloomberg's CDSW functionality.
- CDSW() - Constructor for class org.drip.sample.bloomberg.CDSW
-
- CDXCOB - Class in org.drip.service.api
-
CDXCOB contains the Name and the COB Price for a given CDX.
- CDXCOB(String, double) - Constructor for class org.drip.service.api.CDXCOB
-
CDXCOB constructor
- CDXIdentifier - Class in org.drip.product.params
-
CDXIdentifier implements the creation and the static details of the all the NA, EU, SovX, EMEA, and ASIA
standardized CDS indexes.
- CDXIdentifier(int, int, String, String) - Constructor for class org.drip.product.params.CDXIdentifier
-
Create the CDX identifier from the CDX index, series, tenor, and the version
- CDXNAIGS155YAttribution - Class in org.drip.sample.creditindexpnl
-
CDXNAIGS155YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S15
Index.
- CDXNAIGS155YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS155YAttribution
-
- CDXNAIGS155YMetrics - Class in org.drip.sample.credithistorical
-
CDXNAIGS155YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX
NA IG S15 5Y.
- CDXNAIGS155YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS155YMetrics
-
- CDXNAIGS155YReconstitutor - Class in org.drip.sample.creditfeed
-
CDXNAIGS155YReconstitutor Cleanses the Input CDX.NA.IG S15 5Y CDS Price Marks and saves them into a usable
and Process-able Format.
- CDXNAIGS155YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS155YReconstitutor
-
- CDXNAIGS165YAttribution - Class in org.drip.sample.creditindexpnl
-
CDXNAIGS165YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S16
Index.
- CDXNAIGS165YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS165YAttribution
-
- CDXNAIGS165YMetrics - Class in org.drip.sample.credithistorical
-
CDXNAIGS165YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX
NA IG S16 5Y.
- CDXNAIGS165YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS165YMetrics
-
- CDXNAIGS165YReconstitutor - Class in org.drip.sample.creditfeed
-
CDXNAIGS165YReconstitutor Cleanses the Input CDX.NA.IG S16 5Y CDS Price Marks and saves them into a usable
and Process-able Format.
- CDXNAIGS165YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS165YReconstitutor
-
- CDXNAIGS175YAttribution - Class in org.drip.sample.creditindexpnl
-
CDXNAIGS175YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S17
Index.
- CDXNAIGS175YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS175YAttribution
-
- CDXNAIGS175YMetrics - Class in org.drip.sample.credithistorical
-
CDXNAIGS175YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX
NA IG S17 5Y.
- CDXNAIGS175YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS175YMetrics
-
- CDXNAIGS175YReconstitutor - Class in org.drip.sample.creditfeed
-
CDXNAIGS175YReconstitutor Cleanses the Input CDX.NA.IG S17 5Y CDS Price Marks and saves them into a usable
and Process-able Format.
- CDXNAIGS175YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS175YReconstitutor
-
- CDXNAIGS185YAttribution - Class in org.drip.sample.creditindexpnl
-
CDXNAIGS185YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S18
Index.
- CDXNAIGS185YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS185YAttribution
-
- CDXNAIGS185YMetrics - Class in org.drip.sample.credithistorical
-
CDXNAIGS185YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX
NA IG S18 5Y.
- CDXNAIGS185YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS185YMetrics
-
- CDXNAIGS185YReconstitutor - Class in org.drip.sample.creditfeed
-
CDXNAIGS185YReconstitutor Cleanses the Input CDX.NA.IG S18 5Y CDS Price Marks and saves them into a usable
and Process-able Format.
- CDXNAIGS185YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS185YReconstitutor
-
- CDXNAIGS195YAttribution - Class in org.drip.sample.creditindexpnl
-
CDXNAIGS195YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S19
Index.
- CDXNAIGS195YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS195YAttribution
-
- CDXNAIGS195YMetrics - Class in org.drip.sample.credithistorical
-
CDXNAIGS195YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX
NA IG S19 5Y.
- CDXNAIGS195YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS195YMetrics
-
- CDXNAIGS195YReconstitutor - Class in org.drip.sample.creditfeed
-
CDXNAIGS195YReconstitutor Cleanses the Input CDX.NA.IG S19 5Y CDS Price Marks and saves them into a usable
and Process-able Format.
- CDXNAIGS195YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS195YReconstitutor
-
- CDXNAIGS205YAttribution - Class in org.drip.sample.creditindexpnl
-
CDXNAIGS205YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S20
Index.
- CDXNAIGS205YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS205YAttribution
-
- CDXNAIGS205YMetrics - Class in org.drip.sample.credithistorical
-
CDXNAIGS205YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX
NA IG S20 5Y.
- CDXNAIGS205YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS205YMetrics
-
- CDXNAIGS205YReconstitutor - Class in org.drip.sample.creditfeed
-
CDXNAIGS205YReconstitutor Cleanses the Input CDX.NA.IG S20 5Y CDS Price Marks and saves them into a usable
and Process-able Format.
- CDXNAIGS205YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS205YReconstitutor
-
- CDXNAIGS215YAttribution - Class in org.drip.sample.creditindexpnl
-
CDXNAIGS215YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S21
Index.
- CDXNAIGS215YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS215YAttribution
-
- CDXNAIGS215YMetrics - Class in org.drip.sample.credithistorical
-
CDXNAIGS215YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX
NA IG S21 5Y.
- CDXNAIGS215YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS215YMetrics
-
- CDXNAIGS215YReconstitutor - Class in org.drip.sample.creditfeed
-
CDXNAIGS215YReconstitutor Cleanses the Input CDX.NA.IG S21 5Y CDS Price Marks and saves them into a usable
and Process-able Format.
- CDXNAIGS215YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS215YReconstitutor
-
- CDXNAIGS225YAttribution - Class in org.drip.sample.creditindexpnl
-
CDXNAIGS225YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S22
Index.
- CDXNAIGS225YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS225YAttribution
-
- CDXNAIGS225YMetrics - Class in org.drip.sample.credithistorical
-
CDXNAIGS225YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX
NA IG S22 5Y.
- CDXNAIGS225YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS225YMetrics
-
- CDXNAIGS225YReconstitutor - Class in org.drip.sample.creditfeed
-
CDXNAIGS225YReconstitutor Cleanses the Input CDX.NA.IG S22 5Y CDS Price Marks and saves them into a usable
and Process-able Format.
- CDXNAIGS225YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS225YReconstitutor
-
- CDXNAIGS235YAttribution - Class in org.drip.sample.creditindexpnl
-
CDXNAIGS235YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S23
Index.
- CDXNAIGS235YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS235YAttribution
-
- CDXNAIGS235YMetrics - Class in org.drip.sample.credithistorical
-
CDXNAIGS235YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX
NA IG S23 5Y.
- CDXNAIGS235YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS235YMetrics
-
- CDXNAIGS235YReconstitutor - Class in org.drip.sample.creditfeed
-
CDXNAIGS235YReconstitutor Cleanses the Input CDX.NA.IG S23 5Y CDS Price Marks and saves them into a usable
and Process-able Format.
- CDXNAIGS235YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS235YReconstitutor
-
- CDXNAIGS245YAttribution - Class in org.drip.sample.creditindexpnl
-
CDXNAIGS245YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S24
Index.
- CDXNAIGS245YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS245YAttribution
-
- CDXNAIGS245YMetrics - Class in org.drip.sample.credithistorical
-
CDXNAIGS245YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX
NA IG S24 5Y.
- CDXNAIGS245YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS245YMetrics
-
- CDXNAIGS245YReconstitutor - Class in org.drip.sample.creditfeed
-
CDXNAIGS245YReconstitutor Cleanses the Input CDX.NA.IG S24 5Y CDS Price Marks and saves them into a usable
and Process-able Format.
- CDXNAIGS245YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS245YReconstitutor
-
- CDXNAIGS255YAttribution - Class in org.drip.sample.creditindexpnl
-
CDXNAIGS255YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S25
Index.
- CDXNAIGS255YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS255YAttribution
-
- CDXNAIGS255YMetrics - Class in org.drip.sample.credithistorical
-
CDXNAIGS255YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX
NA IG S25 5Y.
- CDXNAIGS255YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS255YMetrics
-
- CDXNAIGS255YReconstitutor - Class in org.drip.sample.creditfeed
-
CDXNAIGS255YReconstitutor Cleanses the Input CDX.NA.IG S25 5Y CDS Price Marks and saves them into a usable
and Process-able Format.
- CDXNAIGS255YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS255YReconstitutor
-
- CDXNAIGS265YAttribution - Class in org.drip.sample.creditindexpnl
-
CDXNAIGS265YAttribution contains the Functionality associated with the Attribution of the CDX NA IG 5Y S26
Index.
- CDXNAIGS265YAttribution() - Constructor for class org.drip.sample.creditindexpnl.CDXNAIGS265YAttribution
-
- CDXNAIGS265YMetrics - Class in org.drip.sample.credithistorical
-
CDXNAIGS265YMetrics generates the Historical Credit Survival/Recovery Metrics for the Index Contract CDX
NA IG S26 5Y.
- CDXNAIGS265YMetrics() - Constructor for class org.drip.sample.credithistorical.CDXNAIGS265YMetrics
-
- CDXNAIGS265YReconstitutor - Class in org.drip.sample.creditfeed
-
CDXNAIGS265YReconstitutor Cleanses the Input CDX.NA.IG S26 5Y CDS Price Marks and saves them into a usable
and Process-able Format.
- CDXNAIGS265YReconstitutor() - Constructor for class org.drip.sample.creditfeed.CDXNAIGS265YReconstitutor
-
- CDXRefData - Class in org.drip.feed.loader
-
CDXRefData contains the functionality to load the standard CDX reference data and definitions, and create
compile time static classes for these definitions.
- CDXRefData() - Constructor for class org.drip.feed.loader.CDXRefData
-
- CDXRefDataHolder - Class in org.drip.product.creator
-
- CDXRefDataHolder() - Constructor for class org.drip.product.creator.CDXRefDataHolder
-
- CDXRefDataParams - Class in org.drip.product.params
-
CDXRefDataParams contains the complete set of reference data that corresponds to the contract of a
standard CDX.
- CDXRefDataParams() - Constructor for class org.drip.product.params.CDXRefDataParams
-
Empty Default constructor
- centralMomentBound(double, int) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Retrieve the Mean Departure Bounds Using the Central Moment Bounding Inequality
- CERHoliday - Class in org.drip.analytics.holset
-
- CERHoliday() - Constructor for class org.drip.analytics.holset.CERHoliday
-
- cet1() - Method in class org.drip.xva.basel.BalanceSheetVertex
-
Estimate the Core Equity Tier I (CET1) Capital
- cet1Change() - Method in class org.drip.xva.basel.BalanceSheetEdge
-
Compute the CET1 Change
- cet1Change() - Method in class org.drip.xva.basel.OTCAccountingPolicy
-
Retrieve the CET1 Change
- CEV(ForwardLabel, double, double, UnivariateSequenceGenerator, UnivariateSequenceGenerator) - Static method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
-
Create a Constant Elasticity of Variance SABR Instance
- CF1() - Static method in class org.drip.xva.basel.ValueCategory
-
Retrieve an Instance of the CF1 Cash Flow
- CF2() - Static method in class org.drip.xva.basel.ValueCategory
-
Retrieve an Instance of the CF2 Cash Flow
- CF3() - Static method in class org.drip.xva.basel.ValueCategory
-
Retrieve an Instance of the CF3 Cash Flow
- CF4() - Static method in class org.drip.xva.basel.ValueCategory
-
Retrieve an Instance of the CF4 Cash Flow
- CF5() - Static method in class org.drip.xva.basel.ValueCategory
-
Retrieve an Instance of the CF5 Cash Flow
- CF6() - Static method in class org.drip.xva.basel.ValueCategory
-
Retrieve an Instance of the CF6 Cash Flow
- CFFHoliday - Class in org.drip.analytics.holset
-
- CFFHoliday() - Constructor for class org.drip.analytics.holset.CFFHoliday
-
- Chandigarh - Class in org.drip.sample.bondeos
-
Chandigarh demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Chandigarh.
- Chandigarh() - Constructor for class org.drip.sample.bondeos.Chandigarh
-
- Chandrapur - Class in org.drip.sample.loan
-
Chandrapur demonstrates the Analytics Calculation/Reconciliation for the Loan Chandrapur.
- Chandrapur() - Constructor for class org.drip.sample.loan.Chandrapur
-
- Changchun - Class in org.drip.sample.bondeos
-
Changchun demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Changchun.
- Changchun() - Constructor for class org.drip.sample.bondeos.Changchun
-
- Changde - Class in org.drip.sample.bondeos
-
Changde demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Changde.
- Changde() - Constructor for class org.drip.sample.bondeos.Changde
-
- change() - Method in class org.drip.measure.realization.StochasticEdgeDiffusion
-
Retrieve the Diffusion Stochastic Edge Change Amount
- changeTypeReturn() - Method in class org.drip.historical.attribution.PositionChangeComponents
-
Return the Position Change Type
- Changsha - Class in org.drip.sample.bondeos
-
Changsha demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Changsha.
- Changsha() - Constructor for class org.drip.sample.bondeos.Changsha
-
- Changshu - Class in org.drip.sample.bondeos
-
Changshu demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Changshu.
- Changshu() - Constructor for class org.drip.sample.bondeos.Changshu
-
- Changzhou - Class in org.drip.sample.bondeos
-
Changzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Changzhou.
- Changzhou() - Constructor for class org.drip.sample.bondeos.Changzhou
-
- Chaozhou - Class in org.drip.sample.bondeos
-
Chaozhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Chaozhou.
- Chaozhou() - Constructor for class org.drip.sample.bondeos.Chaozhou
-
- characteristicSize() - Method in class org.drip.execution.optimum.TradingEnhancedDiscrete
-
Retrieve the Optimal Trajectory Characteristic Size
- characteristicTime() - Method in class org.drip.execution.optimum.EfficientTradingTrajectoryContinuous
-
Retrieve the Optimal Trajectory Characteristic Time
- characteristicTime() - Method in class org.drip.execution.optimum.TradingEnhancedDiscrete
-
Retrieve the Optimal Trajectory Characteristic Time
- charArray() - Method in class org.drip.spaces.big.BigC1Array
-
Retrieve the Character Array
- Chargram - Class in org.drip.simm.common
-
Chargram contains the 2-4 Character Code that identifies a specific Risk Class.
- Chargram() - Constructor for class org.drip.simm.common.Chargram
-
- charm() - Method in class org.drip.pricer.option.Greeks
-
The Option Charm
- cheapestToDeliver(int, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double[], int) - Method in class org.drip.product.govvie.TreasuryFutures
-
Extract the Cheapest-to-deliver Entry in the Basket Using the Current Market Parameters
- cheapestToDeliverCreditBasis(int, CurveSurfaceQuoteContainer, double[]) - Method in class org.drip.product.govvie.TreasuryFutures
-
Extract the Cheapest-to-deliver Entry in the Basket Using Bond Credit Basis Metric
- cheapestToDeliverOAS(int, CurveSurfaceQuoteContainer, double[]) - Method in class org.drip.product.govvie.TreasuryFutures
-
Extract the Cheapest-to-deliver Entry in the Basket Using Bond OAS Metric
- cheapestToDeliverYield(int, double[]) - Method in class org.drip.product.govvie.TreasuryFutures
-
Extract the Cheapest-to-deliver Entry in the Basket Using the Current Market Prices Alone
- cheapestToDeliverZSpread(int, CurveSurfaceQuoteContainer, double[]) - Method in class org.drip.product.govvie.TreasuryFutures
-
Extract the Cheapest-to-deliver Entry in the Basket Using Bond Z Spread Metric
- chebyshevAssociationBound(R1ToR1, boolean, R1ToR1, boolean) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Retrieve the Chebyshev's Association Joint Expectation Bound
- chebyshevBound(double) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Retrieve the Mean Departure Bounds Using the Chebyshev's Inequality
- chebyshevCantelliBound(double) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Retrieve the Mean Departure Bounds Using the Chebyshev-Cantelli Inequality
- CheckForRepeatingIndex(int[]) - Static method in class org.drip.spaces.iterator.IterationHelper
-
Scan through the Integer Array looking for a repeating Index
- checkFroMinima() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions
-
Retrieve if the Check corresponds to Local Minima
- Chengdu - Class in org.drip.sample.bondeos
-
Chengdu demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Chengdu.
- Chengdu() - Constructor for class org.drip.sample.bondeos.Chengdu
-
- Chennai - Class in org.drip.sample.bondmetrics
-
Chennai generates the Full Suite of Replication Metrics for Bond Chennai.
- Chennai() - Constructor for class org.drip.sample.bondmetrics.Chennai
-
- chernoffBinomialUpperBound(double) - Method in class org.drip.sequence.metrics.UnitSequenceAgnosticMetrics
-
Compute the Chernoff Binomial Upper Bound
- chernoffHoeffdingAverageBounds(double) - Method in class org.drip.sequence.metrics.BoundedSequenceAgnosticMetrics
-
Estimate Mean Departure Bounds of the Average using the Chernoff-Hoeffding Bound
- chernoffPoissonUpperBound(double) - Method in class org.drip.sequence.metrics.UnitSequenceAgnosticMetrics
-
Compute the Chernoff-Poisson Binomial Upper Bound
- chernoffStirlingUpperBound(double) - Method in class org.drip.sequence.metrics.PoissonSequenceAgnosticMetrics
-
Compute the Chernoff-Stirling Upper Bound
- CHF - Class in org.drip.template.irs
-
CHF contains a Templated Pricing of the OTC Fix-Float CHF IRS Instrument.
- CHF() - Constructor for class org.drip.template.irs.CHF
-
- CHF3M6MUSD3M6M - Class in org.drip.sample.dual
-
CHF3M6MUSD3M6M demonstrates the setup and construction of the USD 3M Forward Curve from CHF3M6MUSD3M6M
CCBS, CHF 3M, CHF 6M, and USD 6M Quotes.
- CHF3M6MUSD3M6M() - Constructor for class org.drip.sample.dual.CHF3M6MUSD3M6M
-
- CHFHoliday - Class in org.drip.analytics.holset
-
- CHFHoliday() - Constructor for class org.drip.analytics.holset.CHFHoliday
-
- CHFIRSAttribution - Class in org.drip.sample.fixfloatpnl
-
CHFIRSAttribution generates the Historical PnL Attribution for CHF IRS.
- CHFIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.CHFIRSAttribution
-
- CHFLIBOR3M - Class in org.drip.template.forwardratefutures
-
CHFLIBOR3M contains a Templated Pricing of the LIBOR 3M CHF Futures Instrument.
- CHFLIBOR3M() - Constructor for class org.drip.template.forwardratefutures.CHFLIBOR3M
-
- CHFOISSmoothReconstitutor - Class in org.drip.sample.overnightfeed
-
CHFOISSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the CHF Input OIS
Marks.
- CHFOISSmoothReconstitutor() - Constructor for class org.drip.sample.overnightfeed.CHFOISSmoothReconstitutor
-
- CHFShapePreserving1YForward - Class in org.drip.sample.fundinghistorical
-
CHFShapePreserving1YForward Generates the Historical CHF Shape Preserving Funding Curve Native 1Y
Compounded Forward Rate.
- CHFShapePreserving1YForward() - Constructor for class org.drip.sample.fundinghistorical.CHFShapePreserving1YForward
-
- CHFShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
-
CHFShapePreserving1YStart Generates the Historical CHF Shape Preserving Funding Curve Native Compounded
Forward Rate starting at 1Y Tenor.
- CHFShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.CHFShapePreserving1YStart
-
- CHFShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
-
CHFShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the
CHF Input Marks.
- CHFShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.CHFShapePreservingReconstitutor
-
- CHFSmooth1MForward - Class in org.drip.sample.overnighthistorical
-
CHFSmooth1MForward Generates the Historical CHF Smoothened Overnight Curve Native 1M Compounded Forward
Rate.
- CHFSmooth1MForward() - Constructor for class org.drip.sample.overnighthistorical.CHFSmooth1MForward
-
- CHFSmooth1YForward - Class in org.drip.sample.fundinghistorical
-
CHFSmooth1YForward Generates the Historical CHF Smoothened Funding Curve Native 1Y Compounded Forward
Rate.
- CHFSmooth1YForward() - Constructor for class org.drip.sample.fundinghistorical.CHFSmooth1YForward
-
- CHFSmoothReconstitutor - Class in org.drip.sample.fundingfeed
-
CHFSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the CHF Input Marks.
- CHFSmoothReconstitutor() - Constructor for class org.drip.sample.fundingfeed.CHFSmoothReconstitutor
-
- chi() - Method in class org.drip.dynamics.sabr.ImpliedBlackVolatility
-
Retrieve Chi
- Chifeng - Class in org.drip.sample.bondeos
-
Chifeng demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Chifeng.
- Chifeng() - Constructor for class org.drip.sample.bondeos.Chifeng
-
- cholesky() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
-
Retrieve the Cholesky Matrix
- cholesky() - Method in class org.drip.sequence.random.MultivariateSequenceGenerator
-
Retrieve the Cholesky Factorial
- CholeskyBanachiewiczFactorization(double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Compute the Cholesky-Banachiewicz Factorization of the specified Matrix.
- CholeskyFactorization - Class in org.drip.sample.matrix
-
CholeskyFactorization demonstrates the Cholesky Factorization and Transpose Reconciliation of the Input
Matrix.
- CholeskyFactorization() - Constructor for class org.drip.sample.matrix.CholeskyFactorization
-
- Chongqing - Class in org.drip.sample.bondeos
-
Chongqing demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Chongqing.
- Chongqing() - Constructor for class org.drip.sample.bondeos.Chongqing
-
- Chuzhou - Class in org.drip.sample.bondeos
-
Chuzhou demonstrates EOS Fixed/Float Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Chuzhou.
- Chuzhou() - Constructor for class org.drip.sample.bondeos.Chuzhou
-
- Cixi - Class in org.drip.sample.bondeos
-
Cixi demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Cixi.
- Cixi() - Constructor for class org.drip.sample.bondeos.Cixi
-
- Ck() - Method in class org.drip.spline.params.PreceedingManifestSensitivityControl
-
Retrieve the Ck of DBasisCoeffDPreceedingManifest
- Ck() - Method in class org.drip.spline.params.SegmentInelasticDesignControl
-
Retrieve the Continuity Order
- CkSegmentSequenceBuilder - Class in org.drip.spline.stretch
-
CkSegmentSequenceBuilder implements the SegmentSequenceBuilder interface to customize segment sequence
construction.
- CkSegmentSequenceBuilder(SegmentResponseValueConstraint, SegmentResponseValueConstraint[], StretchBestFitResponse, BoundarySettings) - Constructor for class org.drip.spline.stretch.CkSegmentSequenceBuilder
-
CkSegmentSequenceBuilder constructor
- ClassicalMinus() - Static method in class org.drip.exposure.csatimeline.AndersenPykhtinSokolLag
-
Generate the "Classical-" Parameterization of AndersenPykhtinSokolLag
- ClassicalPlus() - Static method in class org.drip.exposure.csatimeline.AndersenPykhtinSokolLag
-
Generate the "Classical+" Parameterization of AndersenPykhtinSokolLag
- classify(double[]) - Method in class org.drip.learning.svm.RdDecisionFunction
-
Classify the Specified Multi-dimensional Point
- clean1DPnL() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Clean PnL
- clean1DPnLWithFixing() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Clean PnL With Fixing
- cleanDV01() - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Retrieve the Clean DV01
- cleanFixedDV01() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the Clean Fixed DV01
- cleanFloatDV01() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the Clean Float DV01
- cleanFloatDV01WithFixing() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the Clean Float DV01 With Fixing
- clear() - Method in class org.drip.json.simple.ItemList
-
- clearBuiltRange() - Method in class org.drip.state.estimator.CurveStretch
-
Clear the built range mark to signal the start of a fresh calibration run
- CLFHoliday - Class in org.drip.analytics.holset
-
- CLFHoliday() - Constructor for class org.drip.analytics.holset.CLFHoliday
-
- client() - Method in class org.drip.exposure.mpor.TradePayment
-
Retrieve the Client Trade Payment
- client() - Method in class org.drip.exposure.universe.MarketVertex
-
Retrieve the Realized Client Market Vertex
- client() - Method in class org.drip.xva.hypothecation.CollateralGroupVertexCloseOut
-
Retrieve the Client Close Out
- clientAccumulation() - Method in class org.drip.xva.derivative.CashAccountEdge
-
Retrieve the Incremental Amount added to the Cash Account coming from the Client Repo
- clientCollateralThreshold() - Method in class org.drip.exposure.mpor.CollateralAmountEstimatorOutput
-
Retrieve the Client Collateral Threshold
- clientDealerTradePaymentGap() - Method in class org.drip.exposure.mpor.VariationMarginTradeVertexExposure
-
Retrieve the Client-to-Dealer Net Trade Payment Gap
- clientDefault(double, double) - Method in class org.drip.xva.definition.CloseOut
-
Retrieve the Close-out from the Exposure on a specific Client Default
- clientDefault(double) - Method in class org.drip.xva.definition.CloseOut
-
Retrieve the Close-out from the Exposure on specific Client Default
- clientDefault(double, double) - Method in class org.drip.xva.definition.CloseOutBilateral
-
- clientDefaultCloseOut() - Method in class org.drip.xva.vertex.BurgardKjaer
-
Retrieve the Close Out on Client Default
- clientDefaultWindow() - Method in class org.drip.xva.proto.PositionGroupSpecification
-
Retrieve the Client Default Window
- clientFunding() - Method in class org.drip.exposure.evolver.PrimarySecurityDynamicsContainer
-
Retrieve the Client Funding Primary Security
- clientFundingLabel() - Method in class org.drip.xva.proto.FundingGroupSpecification
-
Retrieve the Client Funding Label
- clientFundingLabel() - Method in class org.drip.xva.topology.FundingGroup
-
Retrieve the Client Funding Label
- clientFundingLabelMap() - Method in class org.drip.xva.topology.Adiabat
-
Retrieve the Client Funding Label Map
- clientFundingLabelMap() - Method in class org.drip.xva.topology.AdiabatMarketParams
-
Retrieve the Map of Client Funding Labels
- clientHazardLabel() - Method in class org.drip.exposure.evolver.EntityDynamicsContainer
-
Retrieve the Client Hazard Label
- clientHazardLabel() - Method in class org.drip.xva.proto.CreditDebtGroupSpecification
-
Retrieve the Client Hazard Label
- clientHazardLabelMap() - Method in class org.drip.xva.topology.Adiabat
-
Retrieve the Client Hazard Label Map
- clientHazardLabelMap() - Method in class org.drip.xva.topology.AdiabatMarketParams
-
Retrieve the Map of Client Hazard Labels
- clientHazardLabelMap() - Method in class org.drip.xva.topology.FundingGroup
-
Retrieve the Client Hazard Label Map
- clientHazardRateEvolver() - Method in class org.drip.exposure.evolver.EntityDynamicsContainer
-
Retrieve the Client Hazard Rate Evolver
- clientMarginDate() - Method in class org.drip.exposure.mpor.CollateralAmountEstimatorOutput
-
Retrieve the Client Margin Date
- clientNumeraireHoldings() - Method in class org.drip.xva.derivative.ReplicationPortfolioVertex
-
Retrieve the Client Numeraire Holdings
- clientPartyHazardLabel() - Method in class org.drip.xva.topology.CreditDebtGroup
-
Retrieve the Client Hazard Label
- clientPostingRequirement(JulianDate) - Method in class org.drip.exposure.mpor.CollateralAmountEstimator
-
Calculate the Margin Amount Required to be Posted by the Client
- clientPostingRequirement() - Method in class org.drip.exposure.mpor.CollateralAmountEstimatorOutput
-
Retrieve the Client Posting Requirement
- clientRecovery() - Method in class org.drip.xva.definition.CloseOutBilateral
-
Retrieve the Client Recovery Rate
- clientRecoveryLabel() - Method in class org.drip.exposure.evolver.EntityDynamicsContainer
-
Retrieve the Client Recovery Label
- clientRecoveryLabel() - Method in class org.drip.xva.proto.CreditDebtGroupSpecification
-
Retrieve the Client Recovery Label
- clientRecoveryLabel() - Method in class org.drip.xva.topology.CreditDebtGroup
-
Retrieve the Client Senior Recovery Label
- clientRecoveryLabelMap() - Method in class org.drip.xva.topology.Adiabat
-
Retrieve the Client Recovery Label Map
- clientRecoveryLabelMap() - Method in class org.drip.xva.topology.AdiabatMarketParams
-
Retrieve the Map of Client Recovery Labels
- clientRecoveryLabelMap() - Method in class org.drip.xva.topology.FundingGroup
-
Retrieve the Client Recovery Label Map
- clientRecoveryRateEvolver() - Method in class org.drip.exposure.evolver.EntityDynamicsContainer
-
Retrieve the Client Recovery Rate Evolver
- clientThreshold(JulianDate) - Method in class org.drip.exposure.mpor.CollateralAmountEstimator
-
Calculate the Client Margin Threshold
- clientThresholdFunctionArray() - Method in class org.drip.xva.proto.PositionGroupSpecification
-
Retrieve the Array of the Collateral Group Client Threshold R^1 - R^1 Functions
- clientTradePayment() - Method in class org.drip.exposure.csatimeline.LastFlowDates
-
Retrieve the Last Client Trade Payment (Settlement) Date
- clientTradePaymentDelay() - Method in class org.drip.exposure.csatimeline.AndersenPykhtinSokolLag
-
Retrieve the Client Trade Payment Delay
- clientTradePaymentGap() - Method in class org.drip.exposure.mpor.VariationMarginTradeVertexExposure
-
Retrieve the Client Trade Payment Gap
- clientVariationMarginPosting() - Method in class org.drip.exposure.csatimeline.LastFlowDates
-
Retrieve the Last Client Variation Margin Posting (Observation) Date
- clientVariationMarginPostingDelay() - Method in class org.drip.exposure.csatimeline.AndersenPykhtinSokolLag
-
Retrieve the Client Variation Margin Posting Delay
- clientWindowMarginValue(JulianDate) - Method in class org.drip.exposure.mpor.CollateralAmountEstimator
-
Calculate the Margin Value at the Client Default Window
- clientWindowMarginValue() - Method in class org.drip.exposure.mpor.CollateralAmountEstimatorOutput
-
Retrieve the Margin Value at the Client Default Window
- clipLeft(String, double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- clipLeft(String, double) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Generate a new Stretch by clipping all the Segments to the Left of the specified Predictor Ordinate.
- clipLeftOfPredictorOrdinate(double) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Clip the part of the Segment to the Right of the specified Predictor Ordinate.
- clipRight(String, double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- clipRight(String, double) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Generate a new Stretch by clipping all the Segments to the Right of the specified Predictor Ordinate.
- clipRightOfPredictorOrdinate(double) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Clip the part of the Segment to the Right of the specified Predictor Ordinate.
- close() - Method in class org.drip.historical.state.CreditCurveMetrics
-
Retrieve the Closing Date
- close() - Method in class org.drip.historical.state.FundingCurveMetrics
-
Retrieve the Closing Date
- ClosedUnit(List<Double>, R1, int) - Static method in class org.drip.spaces.metric.R1CombinatorialBall
-
Construct a R1CombinatorialBall Instance of Unit Radius
- ClosedUnit(double, double, R1, int) - Static method in class org.drip.spaces.metric.R1ContinuousBall
-
Construct a R1ContinuousBall Instance of Unit Radius
- ClosedUnit(R1CombinatorialVector[], Rd, int) - Static method in class org.drip.spaces.metric.RdCombinatorialBall
-
Construct a RdCombinatorialBall Instance of Unit Radius
- ClosedUnit(R1ContinuousVector[], Rd, int) - Static method in class org.drip.spaces.metric.RdContinuousBall
-
Construct a Unit Radius RdContinuousBall Instance
- CloseOut - Class in org.drip.xva.definition
-
CloseOut exposes the General Close Out Amounts to be applied to the MTM Exposure at the Dealer/Client
Default.
- CloseOut() - Constructor for class org.drip.xva.definition.CloseOut
-
- CLOSEOUT_BURGARD_KJAER - Static variable in class org.drip.xva.definition.PDEEvolutionControl
-
Set the Close-out to the Derivative XVA MTM according to Burgard and Kjaer (2014)
- CLOSEOUT_GREGORY_LI_TANG - Static variable in class org.drip.xva.definition.PDEEvolutionControl
-
Set the Close-out to the Derivative MTM according to Li and Tang (2007) or Gregory (2009)
- CloseOutBilateral - Class in org.drip.xva.definition
-
CloseOutBilateral implements the (2002) ISDA Master Agreement Bilateral Close Out Scheme to be applied to
the MTM at the Dealer/Client Default.
- CloseOutBilateral(double, double) - Constructor for class org.drip.xva.definition.CloseOutBilateral
-
CloseOutBilateral Constructor
- closeOutScheme() - Method in class org.drip.xva.definition.PDEEvolutionControl
-
Retrieve the Close-out Scheme
- closeOutScheme() - Method in class org.drip.xva.proto.PositionGroupSpecification
-
Retrieve the Close Out Scheme
- CloseOutScheme - Class in org.drip.xva.settings
-
CloseOutScheme carries the Close Out Specification Schemes for the Simulation.
- CloseOutScheme() - Constructor for class org.drip.xva.settings.CloseOutScheme
-
- CLUHoliday - Class in org.drip.analytics.holset
-
- CLUHoliday() - Constructor for class org.drip.analytics.holset.CLUHoliday
-
- CMEFixFloat - Class in org.drip.sample.securitysuite
-
CMEFixFloat demonstrates the Analytics Calculation/Reconciliation for the CME Cleared Fix-Float IRS.
- CMEFixFloat() - Constructor for class org.drip.sample.securitysuite.CMEFixFloat
-
- CMVMonthlyReconciler01 - Class in org.drip.sample.assetallocationexcel
-
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance
against an XL-based Monthly Series Implementation for Portfolio Design Returns #1.
- CMVMonthlyReconciler01() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler01
-
- CMVMonthlyReconciler02 - Class in org.drip.sample.assetallocationexcel
-
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance
against an XL-based Monthly Series Implementation for Portfolio Design Returns #2.
- CMVMonthlyReconciler02() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler02
-
- CMVMonthlyReconciler03 - Class in org.drip.sample.assetallocationexcel
-
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance
against an XL-based Monthly Series Implementation for Portfolio Design Returns #3.
- CMVMonthlyReconciler03() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler03
-
- CMVMonthlyReconciler04 - Class in org.drip.sample.assetallocationexcel
-
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance
against an XL-based Monthly Series Implementation for Portfolio Design Returns #4.
- CMVMonthlyReconciler04() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler04
-
- CMVMonthlyReconciler05 - Class in org.drip.sample.assetallocationexcel
-
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance
against an XL-based Monthly Series Implementation for Portfolio Design Returns #5.
- CMVMonthlyReconciler05() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler05
-
- CMVMonthlyReconciler06 - Class in org.drip.sample.assetallocationexcel
-
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance
against an XL-based Monthly Series Implementation for Portfolio Design Returns #6.
- CMVMonthlyReconciler06() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler06
-
- CMVMonthlyReconciler07 - Class in org.drip.sample.assetallocationexcel
-
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance
against an XL-based Monthly Series Implementation for Portfolio Design Returns #7.
- CMVMonthlyReconciler07() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler07
-
- CMVMonthlyReconciler08 - Class in org.drip.sample.assetallocationexcel
-
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance
against an XL-based Monthly Series Implementation for Portfolio Design Returns #8.
- CMVMonthlyReconciler08() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler08
-
- CMVMonthlyReconciler09 - Class in org.drip.sample.assetallocationexcel
-
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance
against an XL-based Monthly Series Implementation for Portfolio Design Returns #9.
- CMVMonthlyReconciler09() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler09
-
- CMVMonthlyReconciler10 - Class in org.drip.sample.assetallocationexcel
-
CMV Monthly Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance
against an XL-based Monthly Series Implementation for Portfolio Design Returns #10.
- CMVMonthlyReconciler10() - Constructor for class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler10
-
- CMVReconciler1 - Class in org.drip.sample.assetallocationexcel
-
CMV Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against
an XL-based Implementation for Portfolio Design Returns #1.
- CMVReconciler1() - Constructor for class org.drip.sample.assetallocationexcel.CMVReconciler1
-
- CMVReconciler2 - Class in org.drip.sample.assetallocationexcel
-
CMVReconciler2 demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against
an XL-based Implementation for Portfolio Design Returns #2.
- CMVReconciler2() - Constructor for class org.drip.sample.assetallocationexcel.CMVReconciler2
-
- CMVReconciler3 - Class in org.drip.sample.assetallocationexcel
-
CMV Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against
an XL-based Implementation for Portfolio Design Returns #3.
- CMVReconciler3() - Constructor for class org.drip.sample.assetallocationexcel.CMVReconciler3
-
- CMVReconciler4 - Class in org.drip.sample.assetallocationexcel
-
CMV Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against
an XL-based Implementation for Portfolio Design Returns #4.
- CMVReconciler4() - Constructor for class org.drip.sample.assetallocationexcel.CMVReconciler4
-
- CMVReconciler5 - Class in org.drip.sample.assetallocationexcel
-
CMV Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against
an XL-based Implementation for Portfolio Design Returns #5.
- CMVReconciler5() - Constructor for class org.drip.sample.assetallocationexcel.CMVReconciler5
-
- CMVReconciler6 - Class in org.drip.sample.assetallocationexcel
-
CMV Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against
an XL-based Implementation for Portfolio Design Returns #6.
- CMVReconciler6() - Constructor for class org.drip.sample.assetallocationexcel.CMVReconciler6
-
- CMVReconciler7 - Class in org.drip.sample.assetallocationexcel
-
CMV Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against
an XL-based Implementation for Portfolio Design Returns #7.
- CMVReconciler7() - Constructor for class org.drip.sample.assetallocationexcel.CMVReconciler7
-
- CMVReconciler8 - Class in org.drip.sample.assetallocationexcel
-
CMV Reconciler demonstrates the Execution and Reconciliation of the Dual Constrained Mean Variance against
an XL-based Implementation for Portfolio Design Returns #8.
- CMVReconciler8() - Constructor for class org.drip.sample.assetallocationexcel.CMVReconciler8
-
- CN1 - Class in org.drip.sample.treasuryfuturesapi
-
CN1 demonstrates the Invocation and Examination of the CN1 10Y CAN Treasury Futures.
- CN1() - Constructor for class org.drip.sample.treasuryfuturesapi.CN1
-
- CN1Attribution - Class in org.drip.sample.treasuryfuturespnl
-
CN1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
CN1 Series.
- CN1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.CN1Attribution
-
- CN1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
-
CN1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated CN1 Closes Feed.
- CN1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.CN1ClosesReconstitutor
-
- CN1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
-
CN1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the CN1 Treasury Futures.
- CN1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.CN1KeyRateDuration
-
- CNRQ_CNQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Credit Qualifying and Credit Non-Qualifying Risk Classes
- CNRQ_CNQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Credit Qualifying and Credit Non-Qualifying Risk Classes
- CNRQ_CT() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Credit Non Qualifying and Commodity Risk Classes
- CNRQ_CT() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Credit Non Qualifying and Commodity Risk Classes
- CNRQ_EQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Credit Non Qualifying and Equity Risk Classes
- CNRQ_EQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Credit Non Qualifying and Equity Risk Classes
- CNY - Class in org.drip.template.irs
-
CNY contains a Templated Pricing of the OTC Fix-Float CNY IRS Instrument.
- CNY() - Constructor for class org.drip.template.irs.CNY
-
- CNYHoliday - Class in org.drip.analytics.holset
-
- CNYHoliday() - Constructor for class org.drip.analytics.holset.CNYHoliday
-
- coalesce(LatentStateMergeSubStretch) - Method in class org.drip.state.representation.LatentStateMergeSubStretch
-
Coalesce the supplied Merge Stretch with the current one (if possible) to create a new Merge Stretch
- code() - Method in class org.drip.market.exchange.TreasuryFuturesContract
-
Retrieve the Underlying Treasury Code
- code() - Method in class org.drip.market.issue.TreasurySetting
-
Retrieve the Treasury Code
- code() - Method in class org.drip.optimization.regularity.ConstraintQualifier
-
Retrieve the Constraint Qualifier Code
- code() - Method in class org.drip.product.govvie.TreasuryComponent
-
Retrieve the Treasury Code
- code() - Method in class org.drip.product.params.CurrencyPair
-
Get the currency pair code
- code() - Method in class org.drip.state.identifier.RatingLabel
-
Retrieve the Rated Code
- code() - Method in class org.drip.state.sequence.GovvieBuilderSettings
-
Retrieve the Treasury Code
- CodeFromMonth(int) - Static method in class org.drip.analytics.date.DateUtil
-
Retrieve the Digit Code corresponding to the Month
- codes() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
-
Retrieve the Treasury Futures Code Array
- codes() - Method in class org.drip.market.exchange.TreasuryFuturesOptionConvention
-
Retrieve the Array of the Exchange Codes
- coefficient() - Method in class org.drip.portfolioconstruction.cost.TransactionChargeMarketImpact
-
Retrieve the Transaction Charge Coefficient
- coefficients() - Method in class org.drip.function.rdtor1.AffineMultivariate
-
Retrieve the Array of the Coefficients
- COFHoliday - Class in org.drip.analytics.holset
-
- COFHoliday() - Constructor for class org.drip.analytics.holset.COFHoliday
-
- Coimbatore - Class in org.drip.sample.bondmetrics
-
Coimbatore generates the Full Suite of Replication Metrics for Bond Coimbatore.
- Coimbatore() - Constructor for class org.drip.sample.bondmetrics.Coimbatore
-
- collateral(CollateralLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Collateral Latent State
- collateral() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve the Collateral Latent State Node Container
- collateral(CollateralLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve of Labeled Collateral
- collateral() - Method in class org.drip.xva.derivative.EvolutionTrajectoryVertex
-
Retrieve the Collateral
- collateralAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
-
- collateralAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
-
- collateralAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
-
Compute Path Collateral Adjustment
- CollateralAmountEstimator - Class in org.drip.exposure.mpor
-
CollateralAmountEstimator estimates the Amount of Collateral Hypothecation that is to be Posted during a
Single Run of a Collateral Hypothecation Group Valuation.
- CollateralAmountEstimator(PositionGroupSpecification, BrokenDateInterpolator, double) - Constructor for class org.drip.exposure.mpor.CollateralAmountEstimator
-
CollateralAmountEstimator Constructor
- CollateralAmountEstimatorOutput - Class in org.drip.exposure.mpor
-
CollateralAmountEstimatorOutput contains the Estimation Output of the Hypothecation Collateral that is to
be Posted during a Single Run of a Collateral Hypothecation Group Valuation.
- CollateralAmountEstimatorOutput(JulianDate, JulianDate, double, double, double, double, double, double, double) - Constructor for class org.drip.exposure.mpor.CollateralAmountEstimatorOutput
-
CollateralAmountEstimatorOutput Constructor
- collateralChoiceDiscountCurve(String) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Collateral Choice Discount Curve for the specified Pay Currency
- collateralCollateralCorrelation(String, String) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Collateral Currency Pair
- collateralCredit() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
Retrieve the Collateral/Credit Convexity Adjustment
- collateralCredit() - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Retrieve the Collateral/Credit Convexity Adjustment
- collateralCreditCorrelation(String, EntityCDSLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Collateral and the Credit Latent States
- collateralCustomCorrelation(String, CustomLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Collateral and the Custom Metric Latent States
- collateralEquityCorrelation(String, EntityEquityLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Collateral and the Equity Latent States
- collateralExists(CollateralLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Indicate if the Collateral Latent State Exists
- collateralForward() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
Retrieve the Collateral/Forward Convexity Adjustment
- collateralForward() - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Retrieve the Collateral/Forward Convexity Adjustment
- collateralForwardCorrelation(String, ForwardLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Collateral and the Forward Latent States
- collateralFunding() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
Retrieve the Collateral/Funding Convexity Adjustment
- collateralFunding() - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Retrieve the Collateral/Funding Convexity Adjustment
- collateralFundingCorrelation(String, FundingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Collateral and the Funding Latent States
- collateralFX() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
Retrieve the Collateral/FX Convexity Adjustment
- collateralFX() - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Retrieve the Collateral/FX Convexity Adjustment
- collateralFXCorrelation(String, FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Collateral and the FX Latent State Label
- collateralGovvieCorrelation(String, GovvieLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Collateral and Govvie Latent State Labels
- CollateralGroup - Class in org.drip.xva.topology
-
CollateralGroup represents an Aggregation of Position Groups over a common Collateral Specification.
- CollateralGroup(String, String, CollateralGroupSpecification) - Constructor for class org.drip.xva.topology.CollateralGroup
-
CollateralGroup Constructor
- collateralGroup(String) - Method in class org.drip.xva.topology.CreditDebtGroup
-
Retrieve the Collateral Group identified by the specified ID
- collateralGroupMap() - Method in class org.drip.xva.topology.CreditDebtGroup
-
Retrieve the Collateral Group Map
- collateralGroupPath() - Method in class org.drip.exposure.holdings.PositionGroup
-
Retrieve the Collateral Group Path
- CollateralGroupPath - Class in org.drip.xva.netting
-
CollateralGroupPath accumulates the Vertex Realizations of the Sequence in a Single Path Projection Run
along the Granularity of a Regular Collateral Hypothecation Group.
- CollateralGroupPath(CollateralGroupVertex[], MarketPath) - Constructor for class org.drip.xva.netting.CollateralGroupPath
-
CollateralGroupPath Constructor
- collateralGroupPathArray() - Method in class org.drip.exposure.holdings.PositionGroupSegment
-
Retrieve the Position Group Collateral Path Array
- collateralGroupPaths() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Retrieve the Array of the Position Hypothecation Group Trajectory Paths
- CollateralGroupSpecification - Class in org.drip.xva.proto
-
CollateralGroupSpecification contains the Specifications of a Collateral Group.
- CollateralGroupSpecification(String, String, OvernightLabel, CSALabel) - Constructor for class org.drip.xva.proto.CollateralGroupSpecification
-
CollateralGroupSpecification Constructor
- collateralGroupSpecification() - Method in class org.drip.xva.proto.PositionSchemaSpecification
-
Retrieve the Collateral Group Specification
- collateralGroupSpecification() - Method in class org.drip.xva.topology.CollateralGroup
-
Retrieve the Collateral Group Specification
- CollateralGroupVertex - Class in org.drip.xva.hypothecation
-
CollateralGroupVertex holds the Vertex Exposures of a Projected Path of a Simulation Run of a Collateral
Hypothecation Group.
- CollateralGroupVertex(JulianDate, double, double, double) - Constructor for class org.drip.xva.hypothecation.CollateralGroupVertex
-
- collateralGroupVertex() - Method in class org.drip.xva.netting.CollateralGroupPath
-
Retrieve the Array of Collateral Group Trajectory Vertexes
- CollateralGroupVertexCloseOut - Class in org.drip.xva.hypothecation
-
CollateralGroupVertexCloseOut holds the Dealer and the Client Close Outs at each Re-hypothecation
Collateral Group.
- CollateralGroupVertexCloseOut(double, double) - Constructor for class org.drip.xva.hypothecation.CollateralGroupVertexCloseOut
-
CollateralGroupVertexCloseOut Constructor
- CollateralGroupVertexExposure - Class in org.drip.xva.hypothecation
-
CollateralGroupVertexExposure holds the Uncollateralized Exposure and the Collateral Balances at each
Re-hypothecation Collateral Group.
- CollateralGroupVertexExposure(double, double) - Constructor for class org.drip.xva.hypothecation.CollateralGroupVertexExposure
-
CollateralGroupVertexExposure Constructor
- CollateralGroupVertexExposureComponent - Interface in org.drip.xva.hypothecation
-
CollateralGroupVertexExposureComponent holds the Credit, the Debt, and the Funding Exposures, as well as
the Collateral Balances at each Re-hypothecation Collateral Group.
- Collateralized(double) - Static method in class org.drip.xva.basel.ValueAdjustment
-
Construct the Collateralized Transaction Value Adjustment Instance
- collateralized() - Method in class org.drip.xva.hypothecation.CollateralGroupVertex
-
Retrieve the Total Collateralized Exposure at the Path Vertex Time Node
- CollateralizedCollateralGroup - Class in org.drip.sample.xva
-
CollateralizedCollateralGroup illustrates the Sample Run of a Single Partially Collateralized Collateral
Group under Non-Zero Bank/Counter Party Threshold with several Fix-Float Swaps.
- CollateralizedCollateralGroup() - Constructor for class org.drip.sample.xva.CollateralizedCollateralGroup
-
- CollateralizedCollateralGroupCorrelated - Class in org.drip.sample.xva
-
CollateralizedCollateralGroupCorrelated illustrates the Sample Run of a Single Partially Collateralized
Collateral Group under Non-Zero Bank/Counter Party Threshold with several Fix-Float Swaps, and with built
in Factor Correlations across the Numeraires.
- CollateralizedCollateralGroupCorrelated() - Constructor for class org.drip.sample.xva.CollateralizedCollateralGroupCorrelated
-
- CollateralizedCollateralNeutral - Class in org.drip.sample.xvabasel
-
CollateralizedCollateralNeutral examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10
Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
- CollateralizedCollateralNeutral() - Constructor for class org.drip.sample.xvabasel.CollateralizedCollateralNeutral
-
- CollateralizedCollateralNeutralStochastic - Class in org.drip.sample.xvabasel
-
CollateralizedCollateralNeutralStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a
Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA
Schemes.
- CollateralizedCollateralNeutralStochastic() - Constructor for class org.drip.sample.xvabasel.CollateralizedCollateralNeutralStochastic
-
- CollateralizedCollateralPayable - Class in org.drip.sample.xvabasel
-
CollateralizedCollateralPayable examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10
Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
- CollateralizedCollateralPayable() - Constructor for class org.drip.sample.xvabasel.CollateralizedCollateralPayable
-
- CollateralizedCollateralPayableStochastic - Class in org.drip.sample.xvabasel
-
CollateralizedCollateralPayableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a
Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA
Schemes.
- CollateralizedCollateralPayableStochastic() - Constructor for class org.drip.sample.xvabasel.CollateralizedCollateralPayableStochastic
-
- CollateralizedCollateralReceivable - Class in org.drip.sample.xvabasel
-
CollateralizedCollateralReceivable examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10
Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
- CollateralizedCollateralReceivable() - Constructor for class org.drip.sample.xvabasel.CollateralizedCollateralReceivable
-
- CollateralizedCollateralReceivableStochastic - Class in org.drip.sample.xvabasel
-
CollateralizedCollateralReceivableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a
Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA
Schemes.
- CollateralizedCollateralReceivableStochastic() - Constructor for class org.drip.sample.xvabasel.CollateralizedCollateralReceivableStochastic
-
- collateralizedExposure() - Method in class org.drip.exposure.mpor.VariationMarginTradeVertexExposure
-
Retrieve the Collateralized Exposure
- collateralizedExposure() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
-
Retrieve the Array of Collateralized Exposures
- collateralizedExposure() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
-
Retrieve the Univariate Thin Statistics for the Collateralized Exposure
- collateralizedExposurePV() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
-
Retrieve the Array of Collateralized Exposure PV's
- collateralizedExposurePV() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
-
Retrieve the Univariate Thin Statistics for the Collateralized Exposure PV
- collateralizedExposureSegmentBuilderControl() - Method in class org.drip.xva.settings.StandardizedExposureGeneratorScheme
-
Retrieve the Collateralized Exposure Segment Builder Control
- CollateralizedFundingNeutral - Class in org.drip.sample.xvabasel
-
CollateralizedFundingNeutral examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10
Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
- CollateralizedFundingNeutral() - Constructor for class org.drip.sample.xvabasel.CollateralizedFundingNeutral
-
- CollateralizedFundingNeutralStochastic - Class in org.drip.sample.xvabasel
-
CollateralizedFundingNeutralStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio
of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
- CollateralizedFundingNeutralStochastic() - Constructor for class org.drip.sample.xvabasel.CollateralizedFundingNeutralStochastic
-
- CollateralizedFundingPayable - Class in org.drip.sample.xvabasel
-
CollateralizedFundingPayable examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps
resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
- CollateralizedFundingPayable() - Constructor for class org.drip.sample.xvabasel.CollateralizedFundingPayable
-
- CollateralizedFundingPayableStochastic - Class in org.drip.sample.xvabasel
-
CollateralizedFundingPayableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio
of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
- CollateralizedFundingPayableStochastic() - Constructor for class org.drip.sample.xvabasel.CollateralizedFundingPayableStochastic
-
- CollateralizedFundingReceivable - Class in org.drip.sample.xvabasel
-
CollateralizedFundingReceivable examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10
Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
- CollateralizedFundingReceivable() - Constructor for class org.drip.sample.xvabasel.CollateralizedFundingReceivable
-
- CollateralizedFundingReceivableStochastic - Class in org.drip.sample.xvabasel
-
CollateralizedFundingReceivableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a
Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA
Schemes.
- CollateralizedFundingReceivableStochastic() - Constructor for class org.drip.sample.xvabasel.CollateralizedFundingReceivableStochastic
-
- collateralizedNegativeExposure() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
-
Retrieve the Array of Collateralized Negative Exposures
- collateralizedNegativeExposure() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
-
Retrieve the Univariate Thin Statistics for the Collateralized Negative Exposure
- collateralizedNegativeExposurePV() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
-
Retrieve the Array of Collateralized Negative Exposure PV
- collateralizedNegativeExposurePV() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
-
Retrieve the Univariate Thin Statistics for the Collateralized Negative Exposure PV
- CollateralizedNettingNeutral - Class in org.drip.sample.xvabasel
-
CollateralizedNettingNeutral examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10
Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
- CollateralizedNettingNeutral() - Constructor for class org.drip.sample.xvabasel.CollateralizedNettingNeutral
-
- CollateralizedNettingNeutralStochastic - Class in org.drip.sample.xvabasel
-
CollateralizedNettingNeutralStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a
Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA
Schemes.
- CollateralizedNettingNeutralStochastic() - Constructor for class org.drip.sample.xvabasel.CollateralizedNettingNeutralStochastic
-
- CollateralizedNettingPayable - Class in org.drip.sample.xvabasel
-
CollateralizedNettingPayable examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10
Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
- CollateralizedNettingPayable() - Constructor for class org.drip.sample.xvabasel.CollateralizedNettingPayable
-
- CollateralizedNettingPayableStochastic - Class in org.drip.sample.xvabasel
-
CollateralizedNettingPayableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a
Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA
Schemes.
- CollateralizedNettingPayableStochastic() - Constructor for class org.drip.sample.xvabasel.CollateralizedNettingPayableStochastic
-
- CollateralizedNettingReceivable - Class in org.drip.sample.xvabasel
-
CollateralizedNettingReceivable examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10
Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
- CollateralizedNettingReceivable() - Constructor for class org.drip.sample.xvabasel.CollateralizedNettingReceivable
-
- CollateralizedNettingReceivableStochastic - Class in org.drip.sample.xvabasel
-
CollateralizedNettingReceivableStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a
Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA
Schemes.
- CollateralizedNettingReceivableStochastic() - Constructor for class org.drip.sample.xvabasel.CollateralizedNettingReceivableStochastic
-
- collateralizedPositiveExposure() - Method in class org.drip.exposure.mpor.VariationMarginTradeVertexExposure
-
Retrieve the Collateralized Positive Exposure
- collateralizedPositiveExposure() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
-
Retrieve the Array of Collateralized Positive Exposures
- collateralizedPositiveExposure() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
-
Retrieve the Univariate Thin Statistics for the Collateralized Positive Exposure
- collateralizedPositiveExposurePV() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
-
Retrieve the Array of Collateralized Positive Exposure PV
- collateralizedPositiveExposurePV() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
-
Retrieve the Univariate Thin Statistics for the Collateralized Positive Exposure PV
- collateralizedPositiveExposureSegmentBuilderControl() - Method in class org.drip.xva.settings.StandardizedExposureGeneratorScheme
-
Retrieve the Collateralized Positive Exposure Segment Builder Control
- collateralLabel() - Method in class org.drip.analytics.cashflow.Bullet
-
Return the Collateral Label
- CollateralLabel - Class in org.drip.state.identifier
-
CollateralLabel contains the Identifier Parameters referencing the Latent State of the named Collateral
Discount Curve.
- collateralMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Collateral Evolver Map
- collateralOvernightCorrelation(String, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Collateral and the Overnight Latent States
- collateralPaydownCorrelation(String, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Collateral and Pay-down Latent State Labels
- collateralRatingCorrelation(String, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Collateral and Rating Latent State Labels
- collateralRecoveryCorrelation(String, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Collateral and Recovery Latent State Labels
- collateralRepoCorrelation(String, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Collateral and Repo Latent State Labels
- CollateralTransferInitiation(JulianDate) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
-
Construct the Collateral Transfer Initiation CSA Event Date
- collateralTransferInitiation() - Method in class org.drip.exposure.csatimeline.EventSequence
-
Retrieve the Collateral Transfer Initiation Event Date
- collateralValueAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Compute Path Collateral Value Adjustment
- collateralVolatility(CollateralLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Volatility Curve for the specified Collateral Label
- CollectionUtil - Class in org.drip.quant.common
-
The CollectionUtil class implements generic utility functions used in DRIP modules.
- CollectionUtil() - Constructor for class org.drip.quant.common.CollectionUtil
-
- color() - Method in class org.drip.pricer.option.Greeks
-
The Option Color
- COLVA(double) - Static method in class org.drip.xva.basel.ValueAdjustment
-
Construct the COLVA Value Adjustment Instance
- colva() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
-
Retrieve the Expected Collateral VA
- combinationMetrics() - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanCustomConfidenceOutput
-
Retrieve the Bayesian Joint/Posterior Metrics
- combinationPortfolioExpectedReturn(double) - Method in class org.drip.portfolioconstruction.mpt.CapitalAllocationLine
-
Calculate the Combination Portfolio's Expected Returns from the corresponding Standard Deviation
- combinationPortfolioStandardDeviation(double) - Method in class org.drip.portfolioconstruction.mpt.CapitalAllocationLine
-
Compute the Combination Portfolio's Standard Deviation
- combiner() - Method in class org.drip.execution.cost.LinearTemporaryImpact
-
Retrieve the Prior/Conditional Distributions Combiner
- CommodityClassMargin20 - Class in org.drip.sample.simmct
-
CommodityClassMargin20 illustrates the Computation of the ISDA 2.0 Aggregate Margin for across a Group of
Commodity Bucket Exposure Sensitivities.
- CommodityClassMargin20() - Constructor for class org.drip.sample.simmct.CommodityClassMargin20
-
- CommodityClassMargin21 - Class in org.drip.sample.simmct
-
CommodityClassMargin21 illustrates the Computation of the ISDA 2.1 Aggregate Margin for across a Group of
Commodity Bucket Exposure Sensitivities.
- CommodityClassMargin21() - Constructor for class org.drip.sample.simmct.CommodityClassMargin21
-
- CommodityCurvatureMargin20 - Class in org.drip.sample.simmct
-
CommodityCurvatureMargin20 illustrates the Computation of the SIMM 2.0 Curvature Margin for across a Group
of Commodity Bucket Exposure Sensitivities.
- CommodityCurvatureMargin20() - Constructor for class org.drip.sample.simmct.CommodityCurvatureMargin20
-
- CommodityCurvatureMargin21 - Class in org.drip.sample.simmct
-
CommodityCurvatureMargin21 illustrates the Computation of the SIMM 2.1 Curvature Margin for across a Group
of Commodity Bucket Exposure Sensitivities.
- CommodityCurvatureMargin21() - Constructor for class org.drip.sample.simmct.CommodityCurvatureMargin21
-
- CommodityDeltaMargin20 - Class in org.drip.sample.simmct
-
CommodityDeltaMargin20 illustrates the Computation of the ISDA 2.0 Delta Margin for across a Group of
Commodity Bucket Exposure Sensitivities.
- CommodityDeltaMargin20() - Constructor for class org.drip.sample.simmct.CommodityDeltaMargin20
-
- CommodityDeltaMargin21 - Class in org.drip.sample.simmct
-
CommodityDeltaMargin21 illustrates the Computation of the ISDA 2.1 Delta Margin for across a Group of
Commodity Bucket Exposure Sensitivities.
- CommodityDeltaMargin21() - Constructor for class org.drip.sample.simmct.CommodityDeltaMargin21
-
- commodityMultiplicativeScale() - Method in class org.drip.simm.estimator.AdditionalInitialMargin
-
Retrieve the Commodity Multiplicative Scale
- CommodityParameters20 - Class in org.drip.sample.simmsettings
-
CommodityParameters20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Single/Cross Currency
Commodity Bucket Risk Weights, Correlations, and Systemics.
- CommodityParameters20() - Constructor for class org.drip.sample.simmsettings.CommodityParameters20
-
- CommodityParameters21 - Class in org.drip.sample.simmsettings
-
CommodityParameters21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Single/Cross Currency
Commodity Bucket Risk Weights, Correlations, and Systemics.
- CommodityParameters21() - Constructor for class org.drip.sample.simmsettings.CommodityParameters21
-
- commodityRiskClassAggregate() - Method in class org.drip.simm.estimator.ProductClassMargin
-
Retrieve the Commodity Risk Class Aggregate
- commodityRiskClassSensitivity() - Method in class org.drip.simm.estimator.ProductClassSensitivity
-
Retrieve the Commodity Risk Class Sensitivity
- commodityRiskClassSensitivitySettings() - Method in class org.drip.simm.estimator.ProductClassSettings
-
Retrieve the Commodity Risk Class Sensitivity Settings
- CommodityRiskConcentrationThreshold20 - Class in org.drip.sample.simmsettings
-
CommodityRiskConcentrationThreshold20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Commodity
Risk Concentration Thresholds.
- CommodityRiskConcentrationThreshold20() - Constructor for class org.drip.sample.simmsettings.CommodityRiskConcentrationThreshold20
-
- CommodityRiskConcentrationThreshold21 - Class in org.drip.sample.simmsettings
-
CommodityRiskConcentrationThreshold21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Commodity
Risk Concentration Thresholds.
- CommodityRiskConcentrationThreshold21() - Constructor for class org.drip.sample.simmsettings.CommodityRiskConcentrationThreshold21
-
- CommodityVegaMargin20 - Class in org.drip.sample.simmct
-
CommodityVegaMargin20 illustrates the Computation of the SIMM 2.0 Vega Margin for across a Group of
Commodity Bucket Exposure Sensitivities.
- CommodityVegaMargin20() - Constructor for class org.drip.sample.simmct.CommodityVegaMargin20
-
- CommodityVegaMargin21 - Class in org.drip.sample.simmct
-
CommodityVegaMargin21 illustrates the Computation of the SIMM 2.1 Vega Margin for across a Group of
Commodity Bucket Exposure Sensitivities.
- CommodityVegaMargin21() - Constructor for class org.drip.sample.simmct.CommodityVegaMargin21
-
- common() - Method in class org.drip.execution.latent.MarketStateSystemic
-
Retrieve the Common Systemic Market State
- Compare(VariateInequalityConstraintMultiplier, VariateInequalityConstraintMultiplier, double, double, int) - Static method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
-
Compare the Specified VICM Instances
- compareTo(JulianDate) - Method in class org.drip.analytics.date.JulianDate
-
- compareTo(LatentStateInelastic) - Method in class org.drip.spline.segment.LatentStateInelastic
-
- compJackDPVDManifestMeasure(int) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
Calculate the Jacobian of PV at the given date to the Manifest Measure of each component in the
calibration set to the DF
- compJackDPVDManifestMeasure(JulianDate) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
Calculate the Jacobian of PV at the given date to the Manifest Measure of each component in the
calibration set to the DF
- complementarySlackness() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions
-
Retrieve the Complementary Slackness Necessary Condition
- complementarySlacknessCheck(FritzJohnMultipliers, double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Check for Complementary Slackness across the Inequality Constraints
- ComplexNumber - Class in org.drip.quant.fourier
-
ComplexNumber implements the functionality for dealing with Complex Numbers.
- ComplexNumber(double, double) - Constructor for class org.drip.quant.fourier.ComplexNumber
-
ComplexNumber constructor
- component() - Method in class org.drip.function.definition.UnitVector
-
Retrieve the Unit Vector's Component Array
- component() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
-
Retrieve the Component
- Component - Class in org.drip.product.definition
-
Component abstract class extends the ComponentMarketParamRef and provides the following methods:
- Get the product's initial notional, notional, and coupon.
- Component() - Constructor for class org.drip.product.definition.Component
-
- component() - Method in class org.drip.state.inference.LatentStateSegmentSpec
-
Retrieve the Calibration Component
- component() - Method in class org.drip.state.repo.RepoCurve
-
- component() - Method in interface org.drip.state.repo.RepoEstimator
-
Retrieve the Repo-able Component
- componentArray() - Method in class org.drip.simm.rates.CurrencyRiskGroup
-
Retrieve the Component Currency Array
- componentCreditDeltaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
-
Retrieve the Component Credit Delta Double Measure Map
- componentCreditGammaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
-
Retrieve the Component Credit Gamma Double Measure Map
- componentCurvatureMarginCovariance(BucketSensitivitySettingsCR, String, String) - Method in class org.drip.simm.margin.RiskFactorAggregateCR
-
Compute the Component Pair Curvature Margin Covariance
- componentCustomMeasures() - Method in class org.drip.analytics.output.BasketMeasures
-
Retrieve the Component Custom Double Measure Map
- ComponentExtractor - Interface in org.drip.quant.eigen
-
ComponentExtractor Interface exposes the Methods that extract the Linear System Components using the Power
Iteration Method.
- componentIRDeltaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
-
Retrieve the Component IR Delta Double Measure Map
- componentIRGammaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
-
Retrieve the Component IR Gamma Double Measure Map
- componentLinearMarginCovariance(BucketSensitivitySettingsCR, String, String) - Method in class org.drip.simm.margin.RiskFactorAggregateCR
-
Compute the Component Pair Linear Margin Covariance
- componentMarginCovarianceMap() - Method in class org.drip.simm.margin.SensitivityAggregateCR
-
Retrieve the Component Margin Covariance Map
- ComponentMarketParamRef - Interface in org.drip.product.definition
-
ComponentMarketParamRef interface provides stubs for name, IR curve, forward curve, credit curve, TSY
curve, and needed to value the component.
- ComponentMeasures - Class in org.drip.analytics.output
-
ComponentMeasures is the place holder for analytical single component output measures, optionally across
scenarios.
- ComponentMeasures() - Constructor for class org.drip.analytics.output.ComponentMeasures
-
Empty constructor - all members initialized to NaN or null
- componentMPoRList() - Method in class org.drip.exposure.generator.PortfolioMPoR
-
Retrieve the List of Component MPoR's
- componentPair() - Method in class org.drip.market.otc.FloatFloatSwapConvention
-
Retrieve the Flag indicating whether the Float-Float Swap is a Component Pair of 2 Fix-Float Swaps
- ComponentPair - Class in org.drip.product.fx
-
ComponentPair contains the implementation of the dual cross currency components.
- ComponentPair(String, CalibratableComponent, CalibratableComponent, FixingSetting) - Constructor for class org.drip.product.fx.ComponentPair
-
ComponentPair constructor
- ComponentPairDiscountStretch(String, ComponentPair[], ValuationParams, CurveSurfaceQuoteContainer, double[], double[], boolean) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
-
Construct an instance of LatentStateStretchSpec for the Construction of the Discount Curve from the
specified Inputs
- ComponentPairForwardStretch(String, ComponentPair[], ValuationParams, CurveSurfaceQuoteContainer, double[], boolean, boolean) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
-
Construct an instance of LatentStateStretchSpec for the Construction of the Forward Curve from the
specified Inputs
- componentQuote(String) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Retrieve the quote for the given component
- componentQuote(String) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- componentQuotes() - Method in class org.drip.param.definition.ScenarioMarketParams
-
Retrieve the full map of component quotes
- componentQuotes() - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- componentRRDeltaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
-
Retrieve the Component RR Delta Double Measure Map
- componentRRGammaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
-
Retrieve the Component RR Gamma Double Measure Map
- components() - Method in class org.drip.analytics.input.BootCurveConstructionInput
-
- components() - Method in interface org.drip.analytics.input.CurveConstructionInputSet
-
Retrieve the Array of the Calibration Components
- components() - Method in class org.drip.analytics.input.LatentStateShapePreservingCCIS
-
- components() - Method in class org.drip.product.credit.BondBasket
-
- components() - Method in class org.drip.product.credit.CDSBasket
-
- components() - Method in class org.drip.product.definition.BasketProduct
-
Return the Components in the Basket
- components() - Method in class org.drip.product.fx.ComponentPair
-
- components() - Method in class org.drip.sequence.metrics.DualSequenceAgnosticMetrics
-
Retrieve the Array of the Component Single Sequences
- componentSensitivityMargin(String) - Method in class org.drip.simm.margin.RiskFactorAggregateCR
-
Retrieve the Component Tenor Sensitivity Margin
- componentSensitivityMarginMap() - Method in class org.drip.simm.margin.RiskFactorAggregateCR
-
Retrieve the Component Tenor Sensitivity Margin Map
- componentTenorCreditDeltaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
-
Retrieve the Component/Tenor Credit Delta Triple Measure Map
- componentTenorCreditGammaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
-
Retrieve the Component/Tenor Credit Gamma Triple Measure Map
- componentTenorIRDeltaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
-
Retrieve the Component/Tenor IR Delta Triple Measure Map
- componentTenorIRGammaMeasures() - Method in class org.drip.analytics.output.BasketMeasures
-
Retrieve the Component/Tenor IR Gamma Triple Measure Map
- ComposableFixedUnitSetting - Class in org.drip.param.period
-
ComposableFixedUnitSetting contains the fixed unit details.
- ComposableFixedUnitSetting(String, int, DateAdjustParams, double, double, String) - Constructor for class org.drip.param.period.ComposableFixedUnitSetting
-
ComposableFixedUnitSetting constructor
- ComposableFloatingUnitSetting - Class in org.drip.param.period
-
ComposableFloatingUnitSetting contains the cash flow periods' composable sub period details.
- ComposableFloatingUnitSetting(String, int, DateAdjustParams, FloaterLabel, int, double) - Constructor for class org.drip.param.period.ComposableFloatingUnitSetting
-
ComposableFloatingUnitSetting constructor
- ComposableUnitBuilderSetting - Class in org.drip.param.period
-
ComposableUnitBuilderSetting contains the composable unit builder details.
- ComposableUnitBuilderSetting(String, int, DateAdjustParams) - Constructor for class org.drip.param.period.ComposableUnitBuilderSetting
-
- ComposableUnitFixedPeriod - Class in org.drip.analytics.cashflow
-
ComposableUnitFixedPeriod represents the Fixed Cash Flow Periods' Composable Period Details.
- ComposableUnitFixedPeriod(int, int, UnitCouponAccrualSetting, ComposableFixedUnitSetting) - Constructor for class org.drip.analytics.cashflow.ComposableUnitFixedPeriod
-
The ComposableUnitFixedPeriod constructor
- ComposableUnitFloatingPeriod - Class in org.drip.analytics.cashflow
-
ComposableUnitFloatingPeriod contains the Cash Flow Periods' Composable Period Details.
- ComposableUnitFloatingPeriod(int, int, String, ReferenceIndexPeriod, double) - Constructor for class org.drip.analytics.cashflow.ComposableUnitFloatingPeriod
-
The ComposableUnitFloatingPeriod Constructor
- ComposableUnitPeriod - Class in org.drip.analytics.cashflow
-
ComposableUnitPeriod represents the Cash Flow Periods' Composable Unit Period Details.
- ComposableUnitPeriod(int, int, String, UnitCouponAccrualSetting) - Constructor for class org.drip.analytics.cashflow.ComposableUnitPeriod
-
- ComposeFromIndex(String, int[]) - Static method in class org.drip.spaces.iterator.IterationHelper
-
Compose a String constructed from the specified Array Index
- compositeConfidenceCovariance() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionExposure
-
Retrieve the Composite Confidence Co-variance
- CompositeFedFundLIBORSwap - Class in org.drip.sample.fedfund
-
CompositeFedFundLIBORSwap demonstrates the Construction, the Valuation, and Bloomberg Metrics Analysis for
the Composite Fed Fund vs.
- CompositeFedFundLIBORSwap() - Constructor for class org.drip.sample.fedfund.CompositeFedFundLIBORSwap
-
- CompositeFixedPeriod - Class in org.drip.analytics.cashflow
-
CompositeFixedPeriod implements the composed fixed coupon period functionality.
- CompositeFixedPeriod(CompositePeriodSetting, List<ComposableUnitPeriod>) - Constructor for class org.drip.analytics.cashflow.CompositeFixedPeriod
-
CompositeFixedPeriod Constructor
- CompositeFloatingPeriod - Class in org.drip.analytics.cashflow
-
CompositeFloatingPeriod implements the Composite Floating Coupon Period Functionality.
- CompositeFloatingPeriod(CompositePeriodSetting, List<ComposableUnitPeriod>) - Constructor for class org.drip.analytics.cashflow.CompositeFloatingPeriod
-
CompositeFloatingPeriod Constructor
- CompositePeriod - Class in org.drip.analytics.cashflow
-
CompositePeriod implements the Composite Coupon Period Functionality.
- CompositePeriod(CompositePeriodSetting, List<ComposableUnitPeriod>) - Constructor for class org.drip.analytics.cashflow.CompositePeriod
-
- CompositePeriodAccrualMetrics - Class in org.drip.analytics.output
-
CompositePeriodAccrualMetrics holds the results of the compounded Composed period Accrual Metrics Estimate
Output.
- CompositePeriodAccrualMetrics(int, List<UnitPeriodMetrics>) - Constructor for class org.drip.analytics.output.CompositePeriodAccrualMetrics
-
- CompositePeriodBuilder - Class in org.drip.analytics.support
-
CompositePeriodBuilder exposes the composite period construction functionality.
- CompositePeriodBuilder() - Constructor for class org.drip.analytics.support.CompositePeriodBuilder
-
- CompositePeriodCouponMetrics - Class in org.drip.analytics.output
-
CompositePeriodCouponMetrics holds the results of the compounded Composed period Full Coupon Metrics
Estimate Output.
- CompositePeriodCouponMetrics(List<UnitPeriodMetrics>) - Constructor for class org.drip.analytics.output.CompositePeriodCouponMetrics
-
- CompositePeriodQuoteSet - Class in org.drip.product.calib
-
CompositePeriodQuoteSet implements the composite period's calibration quote set functionality.
- CompositePeriodQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.CompositePeriodQuoteSet
-
CompositePeriodQuoteSet constructor
- CompositePeriodSetting - Class in org.drip.param.period
-
CompositePeriodSetting implements the custom setting parameters for the composite coupon period.
- CompositePeriodSetting(int, String, String, DateAdjustParams, double, Array2D, Array2D, FixingSetting, EntityCDSLabel) - Constructor for class org.drip.param.period.CompositePeriodSetting
-
CompositePeriodSetting Constructor
- compositePeriodTenor() - Method in class org.drip.market.otc.FixedStreamConvention
-
Retrieve the Composite Period Tenor
- compositePeriodTenor() - Method in class org.drip.market.otc.FloatStreamConvention
-
Retrieve the Composite Period Tenor
- compositePriceIncrement() - Method in class org.drip.execution.discrete.ShortfallIncrement
-
Retrieve the Composite Price Increment Instance
- CompositeValue(double[][]) - Static method in class org.drip.spaces.big.SubMatrixSetExtractor
-
Compute the Aggregate Composite Value of the Supplied Matrix
- CompoundBracketingRegressorSet - Class in org.drip.regression.fixedpointfinder
-
CompoundBracketingRegressorSet implements regression run for the Compound Bracketing Fixed Point Search
Method.
- CompoundBracketingRegressorSet() - Constructor for class org.drip.regression.fixedpointfinder.CompoundBracketingRegressorSet
-
- compoundedShortRate() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
-
Retrieve the Compounded Short Rate
- compoundedShortRateIncrement(int, int, int, double, double, int) - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
-
Compute the Continuously Compounded Short Rate Increment given the Spot Date, the View Date, the
Target Date, the Continuously Compounded Short Rate, the Current Short Rate, and the View Time
Increment.
- compoundedShortRateIncrement() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
-
Retrieve the Compounded Short Rate Increment
- compounding() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
Retrieve the Compounding Convexity Correction
- compoundingDayCount() - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
-
Retrieve the Compounding Day Count
- compoundingFrequency() - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
-
Retrieve the Compounding Frequency
- CompoundingRun(ForwardLabel) - Static method in class org.drip.sample.ois.CrossOvernightFloatingStream
-
- computeATMBlackVolatility(double, double, double) - Method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
-
Compute the Implied ATM Black Volatility for the ATM Forward Rate and the TTE
- computeBlackVolatility(double, double, double, double) - Method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
-
Compute the Implied Black Volatility for the Specified Strike, the ATM Forward Rate, and the TTE
- ComputeClient - Class in org.drip.service.engine
-
ComputeClient contains the Functionality behind the DRIP API Compute Service Client.
- ComputeClient(String, int) - Constructor for class org.drip.service.engine.ComputeClient
-
ComputeClient Constructor
- computeOperatorIntegral(double[]) - Method in class org.drip.learning.kernel.IntegralOperator
-
Compute the Operator's Kernel Integral across the specified X Variate Instance
- ComputeServer - Class in org.drip.service.engine
-
ComputeServer contains the Functionality behind the DRIP API Compute Service Engine.
- ComputeServer(int) - Constructor for class org.drip.service.engine.ComputeServer
-
ComputServer Constructor
- computeServerHost() - Method in class org.drip.service.engine.ComputeClient
-
Retrieve the Compute Server Host
- computeServerPort() - Method in class org.drip.service.engine.ComputeClient
-
Retrieve the Compute Server Port
- ConcaveImpactNoDrift - Class in org.drip.sample.execution
-
ConcaveImpactNoDrift generates the Trade/Holdings List of Optimal Execution Schedule based on the Concave
Power Law Evolution Walk Parameters specified.
- ConcaveImpactNoDrift() - Constructor for class org.drip.sample.execution.ConcaveImpactNoDrift
-
- concentrationLossBoundEvaluator() - Method in class org.drip.learning.rxtor1.L1LossLearner
-
Retrieve the Concentration of Measure based Loss Expectation Upper Bound Evaluator Instance
- concentrationRiskFactor() - Method in class org.drip.simm.margin.RiskFactorAggregate
-
Retrieve the Bucket Concentration Risk Factor
- concentrationRiskFactor() - Method in class org.drip.simm.margin.RiskFactorAggregateCR
-
Retrieve the Bucket Concentration Risk Factor
- concentrationRiskFactor() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Retrieve the Bucket Concentration Risk Factor
- concentrationThreshold() - Method in class org.drip.simm.parameters.LiquiditySettings
-
Retrieve the Concentration Threshold
- conditional() - Method in class org.drip.execution.bayesian.PriorConditionalCombiner
-
Retrieve the Conditional Price Distribution Instance
- conditional() - Method in class org.drip.measure.bayesian.JointPosteriorMetrics
-
Retrieve the Conditional Distribution
- conditionalDrift() - Method in class org.drip.execution.bayesian.ConditionalPriceDistribution
-
Retrieve the Distribution Conditional Drift
- ConditionalPriceDistribution - Class in org.drip.execution.bayesian
-
ConditionalPriceDistribution holds the Price Distribution Conditional on a given Drift.
- ConditionalPriceDistribution(double, double, double) - Constructor for class org.drip.execution.bayesian.ConditionalPriceDistribution
-
ConditionalPriceDistribution Constructor
- conditionalTargetVariateMetrics(double[], int, SingleSequenceAgnosticMetrics) - Method in class org.drip.sequence.functional.MultivariateRandom
-
Compute the Target Variate Function Metrics Conditional on the specified Input Non-Target Variate
Parameter Sequence
- conditionalTargetVariateMetrics(SingleSequenceAgnosticMetrics[], int[], int) - Method in class org.drip.sequence.functional.MultivariateRandom
-
Compute the Target Variate Function Metrics Conditional on the specified Input Non-target Variate
Parameter Sequence
- conditionOrder() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions
-
Retrieve the Array of Condition Orders
- ConditionQualifier - Class in org.drip.optimization.necessary
-
ConditionQualifier holds the Condition Name, the Condition Order, and the Condition Validity Flag that
correspond to the Necessary and the Sufficient Conditions.
- ConditionQualifier(String, int, boolean) - Constructor for class org.drip.optimization.necessary.ConditionQualifier
-
ConditionQualifier Constructor
- ConditionQualifierComplementarySlackness - Class in org.drip.optimization.necessary
-
ConditionQualifierComplementarySlackness holds the Zero Order Necessary Complementary Slackness Condition.
- ConditionQualifierComplementarySlackness(boolean) - Constructor for class org.drip.optimization.necessary.ConditionQualifierComplementarySlackness
-
ConditionQualifierComplementarySlackness Constructor
- ConditionQualifierDualFeasibility - Class in org.drip.optimization.necessary
-
ConditionQualifierDualFeasibility holds the Zero Order Necessary Dual Feasibility Condition.
- ConditionQualifierDualFeasibility(boolean) - Constructor for class org.drip.optimization.necessary.ConditionQualifierDualFeasibility
-
ConditionQualifierDualFeasibility Constructor
- ConditionQualifierFONC - Class in org.drip.optimization.necessary
-
ConditionQualifierFONC holds the First Order Necessary Condition.
- ConditionQualifierFONC(boolean) - Constructor for class org.drip.optimization.necessary.ConditionQualifierFONC
-
ConditionQualifierFONC Constructor
- ConditionQualifierPrimalFeasibility - Class in org.drip.optimization.necessary
-
ConditionQualifierPrimalFeasibility holds the Zero Order Necessary Primal Feasibility Condition.
- ConditionQualifierPrimalFeasibility(boolean) - Constructor for class org.drip.optimization.necessary.ConditionQualifierPrimalFeasibility
-
ConditionQualifierPrimalFeasibility Constructor
- ConditionQualifierSOSC - Class in org.drip.optimization.necessary
-
ConditionQualifierSOSC holds the Second Order Sufficiency Condition.
- ConditionQualifierSOSC(boolean) - Constructor for class org.drip.optimization.necessary.ConditionQualifierSOSC
-
ConditionQualifierSOSC Constructor
- confidence() - Method in class org.drip.execution.bayesian.PriorDriftDistribution
-
Retrieve the Confidence of the Prior Drift Distribution
- confidence(double) - Method in class org.drip.measure.gaussian.R1UnivariateNormal
-
Compute the Confidence given the Width around the Mean
- confidenceInterval(double) - Method in class org.drip.measure.gaussian.R1UnivariateNormal
-
Compute the Width around the Mean given the Confidence Level
- confidenceLevel() - Method in class org.drip.portfolioconstruction.objective.RobustErrorTerm
-
Retrieve the Confidence Level (i.e., Eta)
- ConfigLoader - Class in org.drip.param.config
-
ConfigLoader implements the configuration functionality.
- ConfigLoader() - Constructor for class org.drip.param.config.ConfigLoader
-
- CONHoliday - Class in org.drip.analytics.holset
-
- CONHoliday() - Constructor for class org.drip.analytics.holset.CONHoliday
-
- connectionMap() - Method in class org.drip.spaces.graph.Topography
-
Generate the Connection Map between valid Pairs of Source and Destination
- ConnectToAnalServer(String) - Static method in class org.drip.param.config.ConfigLoader
-
Connect to the analytics server from the connection parameters set in the XML Configuration file
- Conservative() - Static method in class org.drip.exposure.csatimeline.AndersenPykhtinSokolLag
-
Generate the "Conservative" Parameterization of AndersenPykhtinSokolLag
- Conservative(JulianDate, String) - Static method in class org.drip.exposure.csatimeline.EventSequence
-
Construct an Instance of Conservative EventSequence
- ConservativeTimeline - Class in org.drip.sample.csaevents
-
ConservativeTimeline describes CSA mandated Events Time-line occurring Margin Period, as enforced by an
"Conservative" Dealer.
- ConservativeTimeline() - Constructor for class org.drip.sample.csaevents.ConservativeTimeline
-
- constant() - Method in class org.drip.execution.athl.PermanentImpactQuasiArbitrage
-
- constant() - Method in class org.drip.execution.athl.TemporaryImpact
-
- constant() - Method in class org.drip.execution.impact.ParticipationRatePower
-
- constant() - Method in class org.drip.execution.impact.TransactionFunctionPower
-
Retrieve the Constant Market Impact Parameter
- constant() - Method in class org.drip.execution.principal.OptimalMeasureDependence
-
Retrieve the Constant
- constant() - Method in class org.drip.function.rdtor1.AffineMultivariate
-
Retrieve the Constant
- constant() - Method in class org.drip.learning.bound.MeasureConcentrationExpectationBound
-
Retrieve the Asymptote Constant
- ConstantLiquidityVolatility - Class in org.drip.sample.almgren2003
-
ConstantLiquidityVolatility demonstrates the Dependence of the Optimal Trading Trajectory as a Function of
Constant Trading Enhanced Volatilities.
- ConstantLiquidityVolatility() - Constructor for class org.drip.sample.almgren2003.ConstantLiquidityVolatility
-
- ConstantPaymentBond - Class in org.drip.sample.assetbacked
-
ConstantPaymentBond demonstrates the Construction and Valuation of a Custom Constant Payment Mortgage
Bond.
- ConstantPaymentBond() - Constructor for class org.drip.sample.assetbacked.ConstantPaymentBond
-
- ConstantPaymentBondBuilder - Class in org.drip.product.creator
-
ConstantPaymentBondBuilder contains the Suite of Helper Functions for creating Constant Payments Based
Bonds.
- ConstantPaymentBondBuilder() - Constructor for class org.drip.product.creator.ConstantPaymentBondBuilder
-
- ConstantTradingEnhancedVolatility - Class in org.drip.sample.almgren2003
-
ConstantTradingEnhancedVolatility demonstrates the Generation of the Optimal Trading Trajectory under the
Condition of Constant Trading Enhanced Volatility.
- ConstantTradingEnhancedVolatility() - Constructor for class org.drip.sample.almgren2003.ConstantTradingEnhancedVolatility
-
- ConstantUniformPaymentAmount(double, double, int) - Static method in class org.drip.product.creator.ConstantPaymentBondBuilder
-
Compute the Constant Uniform Payment Amount for the Parameters of the Specified Mortgage Bond
- ConstantYield(int, String, String, double) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
-
Construct a Govvie Curve from the Specified Date and Yield
- ConstrainedCovarianceEllipsoid - Class in org.drip.sample.rdtor1
-
ConstrainedCovarianceEllipsoid demonstrates the Construction and Usage of a Co-variance Ellipsoid with
Linear Constraints.
- ConstrainedCovarianceEllipsoid() - Constructor for class org.drip.sample.rdtor1.ConstrainedCovarianceEllipsoid
-
- ConstrainedLinearTemporaryImpact - Class in org.drip.execution.cost
-
ConstrainedLinearTemporaryImpact computes and holds the Optimal Trajectory under Trading Rate Sign
Constraints using Linear Temporary Impact Function for the given set of Inputs.
- ConstrainedLinearTemporaryImpact(double, double, double, PriorConditionalCombiner, double, TransactionFunctionLinear, R1ToR1, double, double, double, double) - Constructor for class org.drip.execution.cost.ConstrainedLinearTemporaryImpact
-
- ConstrainedMeanVarianceOptimizer - Class in org.drip.portfolioconstruction.allocator
-
ConstrainedMeanVarianceOptimizer builds an Optimal Portfolio Based on MPT Using the Asset Pool Statistical
Properties with the Specified Lower/Upper Bounds on the Component Assets.
- ConstrainedMeanVarianceOptimizer(InteriorPointBarrierControl, LineStepEvolutionControl) - Constructor for class org.drip.portfolioconstruction.allocator.ConstrainedMeanVarianceOptimizer
-
ConstrainedMeanVarianceOptimizer Constructor
- constrainedPCP(PortfolioConstructionParameters, double) - Method in class org.drip.portfolioconstruction.allocator.ConstrainedMeanVarianceOptimizer
-
- constrainedPCP(PortfolioConstructionParameters, double) - Method in class org.drip.portfolioconstruction.allocator.MeanVarianceOptimizer
-
- constrainedPCP(PortfolioConstructionParameters, double) - Method in class org.drip.portfolioconstruction.allocator.QuadraticMeanVarianceOptimizer
-
- constraintAttributes() - Method in class org.drip.portfolioconstruction.optimizer.Strategy
-
Retrieve the Array of Constraint Attributes
- constraintFunctionDimension() - Method in class org.drip.function.rdtor1.LagrangianMultivariate
-
Retrieve the Constraint Function Dimension
- ConstraintFunctionPointMetrics - Class in org.drip.function.rdtor1solver
-
ConstraintFunctionPointMetrics holds the R^d Point Base and Sensitivity Metrics of the Constraint
Function.
- ConstraintFunctionPointMetrics(double[], double[][], double[]) - Constructor for class org.drip.function.rdtor1solver.ConstraintFunctionPointMetrics
-
ConstraintFunctionPointMetrics Constructor
- constraintFunctions() - Method in class org.drip.function.rdtor1.LagrangianMultivariate
-
Retrieve the Array of the Constraint R^d To R^1 Function Instances
- ConstraintHierarchy - Class in org.drip.portfolioconstruction.optimizer
-
ConstraintHierarchy holds the Details of a given set of Constraint Terms.
- ConstraintHierarchy(ConstraintTerm[], int[]) - Constructor for class org.drip.portfolioconstruction.optimizer.ConstraintHierarchy
-
ConstraintHierarchy Constructor
- constraintHierarchy() - Method in class org.drip.portfolioconstruction.optimizer.Strategy
-
Retrieve the Constraint Hierarchy
- constraintMultipliers() - Method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
-
Retrieve the Constraint Multipliers
- ConstraintQualifier - Class in org.drip.optimization.regularity
-
ConstraintQualifier holds the Constraint Name, the Constraint Code, and the Constraint Validity Flag that
correspond to the Regularity Conditions.
- ConstraintQualifier(String, String, boolean) - Constructor for class org.drip.optimization.regularity.ConstraintQualifier
-
ConstraintQualifier Constructor
- ConstraintQualifierCPLDCQ - Class in org.drip.optimization.regularity
-
ConstraintQualifierCPLDCQ holds the Constant Positive Linear Dependence Constraint Qualifier (CPLDCQ).
- ConstraintQualifierCPLDCQ(boolean) - Constructor for class org.drip.optimization.regularity.ConstraintQualifierCPLDCQ
-
ConstraintQualifierCPLDCQ Constructor
- ConstraintQualifierCRCQ - Class in org.drip.optimization.regularity
-
ConstraintQualifierCRCQ holds the Constant Rank Constraint Qualifier (CRCQ).
- ConstraintQualifierCRCQ(boolean) - Constructor for class org.drip.optimization.regularity.ConstraintQualifierCRCQ
-
ConstraintQualifierCRCQ Constructor
- ConstraintQualifierLCQ - Class in org.drip.optimization.regularity
-
ConstraintQualifierLCQ holds the Linear Constraint Qualifier (LCQ).
- ConstraintQualifierLCQ(boolean) - Constructor for class org.drip.optimization.regularity.ConstraintQualifierLCQ
-
ConstraintQualifierLCQ Constructor
- ConstraintQualifierLICQ - Class in org.drip.optimization.regularity
-
ConstraintQualifierLICQ holds the Linear Independence Constraint Qualifier (LICQ).
- ConstraintQualifierLICQ(boolean) - Constructor for class org.drip.optimization.regularity.ConstraintQualifierLICQ
-
ConstraintQualifierLICQ Constructor
- ConstraintQualifierMFCQ - Class in org.drip.optimization.regularity
-
ConstraintQualifierMFCQ holds the Mangasarian-Fromovitz Constraint Qualifier (MFCQ).
- ConstraintQualifierMFCQ(boolean) - Constructor for class org.drip.optimization.regularity.ConstraintQualifierMFCQ
-
ConstraintQualifierMFCQ Constructor
- ConstraintQualifierQNCQ - Class in org.drip.optimization.regularity
-
ConstraintQualifierQNCQ holds the Quasi Normal Constraint Qualifier (QNCQ).
- ConstraintQualifierQNCQ(boolean) - Constructor for class org.drip.optimization.regularity.ConstraintQualifierQNCQ
-
ConstraintQualifierQNCQ Constructor
- ConstraintQualifierSCCQ - Class in org.drip.optimization.regularity
-
ConstraintQualifierSCCQ holds the Slater Condition Constraint Qualifier (SCCQ).
- ConstraintQualifierSCCQ(boolean) - Constructor for class org.drip.optimization.regularity.ConstraintQualifierSCCQ
-
ConstraintQualifierSCCQ Constructor
- ConstraintRealization - Class in org.drip.portfolioconstruction.optimizer
-
ConstraintRealization holds the Realized Set of Values coming out of an Optimizer Run, along with the
Bounds.
- ConstraintRealization(double, double, double) - Constructor for class org.drip.portfolioconstruction.optimizer.ConstraintRealization
-
ConstraintRealization Constructor
- constraintRealizaton() - Method in class org.drip.portfolioconstruction.optimizer.RebalancerAnalytics
-
Retrieve the Map of Constraint Realizations
- constraints() - Method in class org.drip.portfolioconstruction.optimizer.ConstraintHierarchy
-
Retrieve the Array of Constraint Terms
- constraintSettings() - Method in class org.drip.portfolioconstruction.allocator.PortfolioConstructionParameters
-
Retrieve the Instance of the Portfolio Equality Constraint Settings
- ConstraintTerm - Class in org.drip.portfolioconstruction.optimizer
-
ConstraintTerm holds the Details of a given Constraint Term.
- ConstraintTerm(String, String, String, String, Scope, Unit, double, double) - Constructor for class org.drip.portfolioconstruction.optimizer.ConstraintTerm
-
- constraintType() - Method in class org.drip.portfolioconstruction.allocator.PortfolioEqualityConstraintSettings
-
Retrieve the Constraint Type
- constraintValue() - Method in class org.drip.spline.params.SegmentResponseValueConstraint
-
Retrieve the Constraint Value
- constraintVariates() - Method in class org.drip.function.rdtor1.ObjectiveConstraintVariateSet
-
Retrieve the Array of the Constraint Function Variates
- constrict(Holdings) - Method in class org.drip.portfolioconstruction.composite.BlockAttribute
-
Constrict the Attribute Values to those of the Holdings
- constrict(Holdings) - Method in class org.drip.portfolioconstruction.composite.BlockClassification
-
Constrict the Classification Values to those of the Holdings
- constrict(Holdings) - Method in class org.drip.portfolioconstruction.composite.Holdings
-
Constrict "This" Holdings to those of the Assets in the "Other" Holdings
- constrict(Holdings) - Method in class org.drip.portfolioconstruction.composite.TransactionChargeGroup
-
Constrict the Transaction Charge Array to those of the Holdings
- constrict(Holdings) - Method in interface org.drip.portfolioconstruction.risk.AssetCovariance
-
Constrict the Co-variance Matrix to those of the Holdings
- constrict(Holdings) - Method in class org.drip.portfolioconstruction.risk.AssetCovarianceDense
-
- constrict(Holdings) - Method in class org.drip.portfolioconstruction.risk.AssetCovarianceFactor
-
- CONSUMER - Static variable in class org.drip.simm.credit.SectorSystemics
-
The Consumer Sector
- CONSUMER_SERVICES - Static variable in class org.drip.simm.credit.SectorSystemics
-
The Consumer Services Sector
- ContainerFactory - Interface in org.drip.json.parser
-
ContainerFactory is an Adaptation of the ContainerFactory Interface from the RFC4627 compliant JSON Simple
(https://code.google.com/p/json-simple/).
- containingIndex(double, boolean, boolean) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- containingIndex(double, boolean, boolean) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Return the Index for the Segment containing specified Predictor Ordinate
- containingPeriod(int) - Method in class org.drip.product.rates.Stream
-
Retrieve the Period Instance enveloping the specified Date
- contains(int) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Check whether the supplied Date is inside the Period specified
- contains(String) - Method in class org.drip.portfolioconstruction.composite.BlockAttribute
-
Indicates if an Asset exists in the Holdings
- contains(String) - Method in class org.drip.portfolioconstruction.composite.Holdings
-
Indicates if an Asset exists in the Holdings
- contains(String) - Method in class org.drip.portfolioconstruction.composite.TransactionChargeGroup
-
Indicate if the Asset's Transaction Charge is Available
- contains(Asset) - Method in class org.drip.portfolioconstruction.core.LocalUniverse
-
Indicate if the Asset is contained in the Local Universe
- contains(String) - Method in class org.drip.portfolioconstruction.core.LocalUniverse
-
Indicate if the Asset is contained in the Local Universe
- contains(String, String, LatentStateLabel) - Method in class org.drip.product.calib.ProductQuoteSet
-
Indicate if the Specified External Latent State Specification is contained in the Array
- contains(String) - Method in class org.drip.product.calib.ProductQuoteSet
-
Indicate if the Manifest Measure is available
- Contains(String) - Static method in class org.drip.service.env.CacheManager
-
The Contains Method checks the Presence of the specified Key
- containsAsset(String) - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
-
Check if the Asset is represented
- containsBaseRate() - Method in class org.drip.product.calib.CompositePeriodQuoteSet
-
Indicate if the Base Rate Field exists
- containsBasis() - Method in class org.drip.product.calib.CompositePeriodQuoteSet
-
Indicate if the Basis Field exists
- containsBasis() - Method in class org.drip.product.calib.StreamQuoteSet
-
Indicate if the Basis Field exists
- ContainsBucket(int) - Static method in class org.drip.simm.commodity.CTRiskThresholdContainer20
-
Indicate if the Bucket Number is available in the Commodity Risk Threshold Container
- ContainsBucket(int) - Static method in class org.drip.simm.commodity.CTRiskThresholdContainer21
-
Indicate if the Bucket Number is available in the Commodity Risk Threshold Container
- ContainsBucket(int) - Static method in class org.drip.simm.commodity.CTSettingsContainer20
-
Indicate if the Bucket denoted by the Number is available
- ContainsBucket(int) - Static method in class org.drip.simm.commodity.CTSettingsContainer21
-
Indicate if the Bucket denoted by the Number is available
- ContainsBucket(int) - Static method in class org.drip.simm.credit.CRNQSettingsContainer20
-
Indicate if the Bucket denoted by the Number is available
- ContainsBucket(int) - Static method in class org.drip.simm.credit.CRNQSettingsContainer21
-
Indicate if the Bucket denoted by the Number is available
- ContainsBucket(int) - Static method in class org.drip.simm.credit.CRQSettingsContainer20
-
Indicate if the Bucket denoted by the Number is available
- ContainsBucket(int) - Static method in class org.drip.simm.credit.CRQSettingsContainer21
-
Indicate if the Bucket denoted by the Number is available
- ContainsBucket(int) - Static method in class org.drip.simm.equity.EQRiskThresholdContainer20
-
Indicate if the Bucket is contained the Threshold Container
- ContainsBucket(int) - Static method in class org.drip.simm.equity.EQRiskThresholdContainer21
-
Indicate if the Bucket is contained the Threshold Container
- ContainsBucket(int) - Static method in class org.drip.simm.equity.EQSettingsContainer20
-
Indicate if the Bucket denoted by the Number is available
- ContainsBucket(int) - Static method in class org.drip.simm.equity.EQSettingsContainer21
-
Indicate if the Bucket denoted by the Number is available
- ContainsCategory(int) - Static method in class org.drip.simm.fx.FXRiskThresholdContainer20
-
Indicate if the Category identified by the Number is available in the Map
- ContainsCategory(int) - Static method in class org.drip.simm.fx.FXRiskThresholdContainer21
-
Indicate if the Category identified by the Number is available in the Map
- containsCollateralGroup(String) - Method in class org.drip.xva.topology.CreditDebtGroup
-
Indicates if the Collateral Group identified by the specified ID
- containsCoupon() - Method in class org.drip.product.calib.FixedStreamQuoteSet
-
Indicate if the Coupon Field exists
- containsCouponBasis() - Method in class org.drip.product.calib.FixedStreamQuoteSet
-
Indicate if the Coupon Basis Field exists
- containsCouponSpread() - Method in class org.drip.product.calib.StreamQuoteSet
-
Indicate if the Coupon/Spread Field exists
- containsCreditDebtGroup(String) - Method in class org.drip.xva.topology.FundingGroup
-
Indicate the specified CreditDebtGroup ID is available
- containsDate(int) - Method in class org.drip.exposure.universe.MarketPath
-
Indicate if the Market Vertex is available for the Specified Date
- containsDerivedParBasisSpread() - Method in class org.drip.product.calib.FixFloatQuoteSet
-
Indicate if the Derived Par Basis Spread Field exists
- containsDerivedParBasisSpread() - Method in class org.drip.product.calib.FloatFloatQuoteSet
-
Indicate if the Derived Par Basis Spread Field exists
- containsFactor(String) - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
-
Check if the Factor is available
- ContainsFeb29(int, int, int) - Static method in class org.drip.analytics.date.DateUtil
-
Indicate whether there is at least One Leap Day between 2 given Dates
- containsForwardRate() - Method in class org.drip.product.calib.DepositComponentQuoteSet
-
Indicate if the Forward Rate Field exists
- containsForwardRate() - Method in class org.drip.product.calib.FloatingStreamQuoteSet
-
Indicate if the Forward Rate Field exists
- containsFRARate() - Method in class org.drip.product.calib.FRAComponentQuoteSet
-
Indicate if the FRA Rate Field exists
- containsFundingGroup(String) - Method in class org.drip.xva.topology.Adiabat
-
Indicate if the Funding Group identified by the ID exists
- containsKey(Object) - Method in class org.drip.analytics.support.CaseInsensitiveHashMap
-
- containsKey(Object) - Method in class org.drip.analytics.support.CaseInsensitiveTreeMap
-
- containsLatentState(LatentStateLabel) - Method in class org.drip.dynamics.evolution.LSQMCurveIncrement
-
Indicate if Quantification Metrics are available for the specified Latent State
- containsLatentState(LatentStateLabel) - Method in class org.drip.dynamics.evolution.LSQMCurveSnapshot
-
Indicate if Quantification Metrics are available for the specified Latent State
- containsLatentState(LatentStateLabel) - Method in class org.drip.dynamics.evolution.LSQMPointRecord
-
Indicate if Quantification Metrics are available for the specified Latent State
- containsLatentState(LatentStateLabel) - Method in class org.drip.exposure.universe.LatentStateWeiner
-
Indicate if the specified Latent State is available in the Weiner Increment Map
- containsLatentStateQuantificationMetric(String) - Method in class org.drip.product.calib.ProductQuoteSet
-
Indicate if the requested Latent State Quantification Metric is contained in the Quote Set
- containsLatentStateType(String) - Method in class org.drip.product.calib.ProductQuoteSet
-
Indicate if the requested Latent State Type is contained in the Quote Set
- ContainsNonQualifyingBucket(int) - Static method in class org.drip.simm.credit.CRThresholdContainer20
-
Indicate if the Non-Qualifying Bucket specified by the Number is available
- ContainsNonQualifyingBucket(int) - Static method in class org.drip.simm.credit.CRThresholdContainer21
-
Indicate if the Non-Qualifying Bucket specified by the Number is available
- containsOptionPV() - Method in class org.drip.product.calib.VolatilityProductQuoteSet
-
Indicate if the PV of an Option on the Product Field exists
- containsOutright() - Method in class org.drip.product.calib.FXForwardQuoteSet
-
Indicate if the Terminal FX Forward Outright Field exists
- containsParForwardRate() - Method in class org.drip.product.calib.FRAComponentQuoteSet
-
Indicate if the Par Forward Rate Field exists
- containsPIP() - Method in class org.drip.product.calib.FXForwardQuoteSet
-
Indicate if the Terminal FX Forward PIP Field exists
- containsPositionGroup(String) - Method in class org.drip.xva.topology.CollateralGroup
-
Indicates if the Position Group identified by the specified ID
- containsPrice() - Method in class org.drip.product.calib.FuturesComponentQuoteSet
-
Indicate if the Price Field exists
- containsPV() - Method in class org.drip.product.calib.DepositComponentQuoteSet
-
Indicate if the PV Field exists
- containsPV() - Method in class org.drip.product.calib.FixedStreamQuoteSet
-
Indicate if the PV Field exists
- containsPV() - Method in class org.drip.product.calib.FixFloatQuoteSet
-
Indicate if the PV Field exists
- containsPV() - Method in class org.drip.product.calib.FloatFloatQuoteSet
-
Indicate if the PV Field exists
- containsPV() - Method in class org.drip.product.calib.FloatingStreamQuoteSet
-
Indicate if the PV Field exists
- containsPV() - Method in class org.drip.product.calib.StreamQuoteSet
-
Indicate if the PV Field exists
- containsQM(LatentStateLabel, String) - Method in class org.drip.dynamics.evolution.LSQMCurveIncrement
-
Indicate if the Value for the specified Quantification Metric is available
- containsQM(LatentStateLabel, String) - Method in class org.drip.dynamics.evolution.LSQMCurveSnapshot
-
Indicate if the Value for the specified Quantification Metric is available
- containsQM(LatentStateLabel, String) - Method in class org.drip.dynamics.evolution.LSQMPointRecord
-
Indicate if the Value for the specified Quantification Metric is available
- ContainsQualifyingBucket(int) - Static method in class org.drip.simm.credit.CRThresholdContainer20
-
Indicate if the Qualifying Bucket specified by the Number is available
- ContainsQualifyingBucket(int) - Static method in class org.drip.simm.credit.CRThresholdContainer21
-
Indicate if the Qualifying Bucket specified by the Number is available
- containsQuote(String) - Method in class org.drip.param.definition.ProductQuote
-
Indicate if the named quote is available
- containsQuote(String) - Method in class org.drip.param.quote.ProductMultiMeasure
-
- containsRate() - Method in class org.drip.product.calib.DepositComponentQuoteSet
-
Indicate if the Rate Field exists
- containsRate() - Method in class org.drip.product.calib.FixFloatQuoteSet
-
Indicate if the Rate Field exists
- containsRate() - Method in class org.drip.product.calib.FuturesComponentQuoteSet
-
Indicate if the Rate Field exists
- containsReferenceParBasisSpread() - Method in class org.drip.product.calib.FixFloatQuoteSet
-
Indicate if the Reference Par Basis Spread Field exists
- containsReferenceParBasisSpread() - Method in class org.drip.product.calib.FloatFloatQuoteSet
-
Indicate if the Reference Par Basis Spread Field exists
- ContainsRiskWeight(String) - Static method in class org.drip.simm.rates.IRSettingsContainer20
-
Indicate if the IR Risk Weight is available for the specified Currency
- ContainsRiskWeight(String, String) - Static method in class org.drip.simm.rates.IRSettingsContainer20
-
Indicate if the IR Risk Weight is available for the specified Currency
- ContainsRiskWeight(String) - Static method in class org.drip.simm.rates.IRSettingsContainer21
-
Indicate if the IR Risk Weight is available for the specified Currency
- ContainsRiskWeight(String, String) - Static method in class org.drip.simm.rates.IRSettingsContainer21
-
Indicate if the IR Risk Weight is available for the specified Currency
- containsRoot() - Method in class org.drip.function.r1tor1solver.FixedPointFinderOutput
-
Indicate whether the root is present in the output, i.e., if the finder has successfully completed.
- containsSpread() - Method in class org.drip.product.calib.FloatingStreamQuoteSet
-
Indicate if the Spread Field exists
- containsSwapRate() - Method in class org.drip.product.calib.FixFloatQuoteSet
-
Indicate if the Swap Rate Field exists
- ContainsThreshold(int) - Static method in class org.drip.simm.rates.IRThresholdContainer20
-
Indicate if the Entry denoted by the Number is available as an Interest Rate Threshold
- ContainsThreshold(String) - Static method in class org.drip.simm.rates.IRThresholdContainer20
-
Indicate if the Currency is available as an Interest Rate Threshold
- ContainsThreshold(int) - Static method in class org.drip.simm.rates.IRThresholdContainer21
-
Indicate if the Entry denoted by the Number is available as an Interest Rate Threshold
- ContainsThreshold(String) - Static method in class org.drip.simm.rates.IRThresholdContainer21
-
Indicate if the Currency is available as an Interest Rate Threshold
- containsValue(double) - Method in class org.drip.spaces.graph.SinglyLinkedNode
-
Check if the Node that containing the specified Value Exists
- containsVertex(String) - Method in class org.drip.spaces.graph.ShortestPathTree
-
Indicate of the Vertex is available in the Periphery Map
- containsYield() - Method in class org.drip.product.calib.TreasuryBondQuoteSet
-
Indicate if the Yield Field exists
- content() - Method in class org.drip.historical.attribution.PositionChangeComponents
-
Retrieve the Row of Content Fields
- content() - Method in class org.drip.historical.attribution.PositionMarketSnap
-
Retrieve the Row of Content Fields
- ContentHandler - Interface in org.drip.json.parser
-
ContentHandler is an Adaptation of the ContentHandler Interface from the RFC4627 compliant JSON Simple
(https://code.google.com/p/json-simple/).
- Contiguous(String) - Static method in class org.drip.spaces.big.SubStringSetExtractor
-
Extract all the Contiguous Strings available inside the specified Master String
- ContinuousAlmgrenChriss - Class in org.drip.execution.nonadaptive
-
ContinuousAlmgrenChriss contains the Continuous Version of the Discrete Trading Trajectory generated by
the Almgren and Chriss (2000) Scheme under the Criterion of No-Drift.
- ContinuousAlmgrenChriss(OrderSpecification, LinearPermanentExpectationParameters, MeanVarianceObjectiveUtility) - Constructor for class org.drip.execution.nonadaptive.ContinuousAlmgrenChriss
-
ContinuousAlmgrenChriss Constructor
- ContinuousConstantTradingEnhanced - Class in org.drip.execution.nonadaptive
-
ContinuousConstantTradingEnhanced contains the Constant Volatility Trading Trajectory generated by the
Almgren and Chriss (2003) Scheme under the Criterion of No-Drift AND Constant Temporary Impact
Volatility.
- ContinuousCoordinatedVariationDeterministic - Class in org.drip.execution.nonadaptive
-
ContinuousCoordinatedVariationDeterministic uses the Coordinated Variation Version of the Linear
Participation Rate Transaction Function as described in the "Trading Time" Model to construct an Optimal
Trading Trajectory.
- ContinuousCoordinatedVariationStochastic - Class in org.drip.execution.nonadaptive
-
ContinuousCoordinatedVariationStochastic uses the Coordinated Variation Version of the Linear
Participation Rate Transaction Function as described in the "Trading Time" Model to construct an Optimal
Trading Trajectory in the T To Infinite Limit.
- continuousForwardRate() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
-
Retrieve the Continuously Compounded Forward Rate
- continuousForwardRate() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateUpdate
-
Retrieve the Continuously Compounded Forward Rate
- ContinuousForwardRateEvolver - Class in org.drip.dynamics.lmm
-
ContinuousForwardRateEvolver sets up and implements the Multi-Factor No-arbitrage Dynamics of the Rates
State Quantifiers traced from the Evolution of the Continuously Compounded Forward Rate as formulated in:
1) Goldys, B., M.
- ContinuousForwardRateEvolver(FundingLabel, ForwardLabel, MultiFactorVolatility, R1ToR1) - Constructor for class org.drip.dynamics.lmm.ContinuousForwardRateEvolver
-
ContinuousForwardRateEvolver Constructor
- continuousForwardRateIncrement() - Method in class org.drip.dynamics.lmm.BGMCurveUpdate
-
Retrieve the Instantaneous Continuously Compounded Forward Curve Increment Span
- continuousForwardRateIncrement() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
-
Retrieve the Continuously Compounded Forward Rate Increment
- continuousForwardRateIncrement() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateUpdate
-
Retrieve the Continuously Compounded Forward Rate Increment
- continuousForwardRateIncrements() - Method in class org.drip.dynamics.lmm.BGMTenorNodeSequence
-
Retrieve the Array of Tenor Instantaneous Continuously Compounded Forward Rate Increments
- ContinuousForwardRateUpdate - Class in org.drip.dynamics.lmm
-
ContinuousForwardRateUpdate contains the Instantaneous Snapshot of the Evolving Discount Latent State
Quantification Metrics Updated using the Continuously Compounded Forward Rate Dynamics.
- ContinuousForwardRateVolatility - Class in org.drip.sample.lmm
-
ContinuousForwardRateVolatility demonstrates the Implying of the Volatility of the Continuously
Compounded Forward Rate from the Corresponding LIBOR Forward Rate Volatility.
- ContinuousForwardRateVolatility() - Constructor for class org.drip.sample.lmm.ContinuousForwardRateVolatility
-
- continuousForwardVolatility(int, ForwardCurve) - Method in class org.drip.dynamics.lmm.LognormalLIBORVolatility
-
Compute the Volatility of the Continuously Compounded Forward Rate Up to the Target Date
- continuousForwardVolatility(int, MergedDiscountForwardCurve) - Method in class org.drip.dynamics.lmm.LognormalLIBORVolatility
-
Compute the Volatility of the Continuously Compounded Forward Rate Up to the Target Date
- continuousForwardVolatilityConstraint(ForwardCurve, int) - Method in class org.drip.dynamics.lmm.LognormalLIBORVolatility
-
Compute the Constraint in the Difference in the Volatility of the Continuously Compounded Forward Rate
between the Target Date and the Target Date + Forward Tenor
- ContinuousHighUrgencyAsymptote - Class in org.drip.execution.nonadaptive
-
ContinuousHighUrgencyAsymptote contains the High Urgency Asymptote of the Static Continuous Trading
Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of No-Drift.
- ContinuousLowUrgencyAsymptote - Class in org.drip.execution.nonadaptive
-
ContinuousLowUrgencyAsymptote contains the Low Urgency Asymptote of the Static Continuous Trading
Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of No-Drift.
- continuouslyCompoundedForwardIncrement() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
-
Retrieve the Continuously Compounded Forward Rate Increment
- ContinuouslyCompoundedForwardProcess - Class in org.drip.dynamics.lmm
-
ContinuouslyCompoundedForwardProcess implements the Continuously Compounded Forward Rate Process defined
in the LIBOR Market Model.
- ContinuouslyCompoundedForwardProcess(int, R1R1ToR1) - Constructor for class org.drip.dynamics.lmm.ContinuouslyCompoundedForwardProcess
-
ContinuouslyCompoundedForwardProcess Constructor
- continuouslyCompoundedForwardVolatility() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
-
Retrieve the Continuously Compounded Forward Rate Volatility
- continuouslyCompoundedForwardVolatility() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
-
Retrieve the Continuously Compounded Forward Rate Volatility
- continuouslyReinvestedAccrualFactor(int) - Method in class org.drip.dynamics.lmm.ShortRateProcess
-
Retrieve the Continuously Re-invested Accruing Bank Account
- ContinuousPowerImpact - Class in org.drip.execution.nonadaptive
-
ContinuousPowerImpact contains the Temporary Impact Power Law Trading Trajectory generated by the Almgren
and Chriss (2003) Scheme under the Criterion of No-Drift.
- ContinuousTradingTrajectory - Class in org.drip.execution.strategy
-
ContinuousTradingTrajectory holds the Continuous Trajectory of a Trading Block that is to be executed over
the Specified Horizon.
- ContinuousTradingTrajectory(double, R1ToR1, R1ToR1, R1ToR1, R1ToR1) - Constructor for class org.drip.execution.strategy.ContinuousTradingTrajectory
-
ContinuousTradingTrajectory Constructor
- ContinuousTrajectoryConcaveImpact - Class in org.drip.sample.almgren2003
-
ContinuousTrajectoryConcaveImpact reconciles the Characteristic Times of the Optimal Continuous Trading
Trajectory resulting from the Application of the Almgren (2003) Scheme to a Concave Power Law Temporary
Market Impact Function.
- ContinuousTrajectoryConcaveImpact() - Constructor for class org.drip.sample.almgren2003.ContinuousTrajectoryConcaveImpact
-
- ContinuousTrajectoryConvexImpact - Class in org.drip.sample.almgren2003
-
ContinuousTrajectoryConvexImpact reconciles the Characteristic Times of the Optimal Continuous Trading
Trajectory resulting from the Application of the Almgren (2003) Scheme to a Convex Power Law Temporary
Market Impact Function.
- ContinuousTrajectoryConvexImpact() - Constructor for class org.drip.sample.almgren2003.ContinuousTrajectoryConvexImpact
-
- ContinuousTrajectoryLinearImpact - Class in org.drip.sample.almgren2003
-
ContinuousTrajectoryLinearImpact reconciles the Characteristic Times of the Optimal Continuous Trading
Trajectory resulting from the Application of the Almgren (2003) Scheme to a Linear Power Law Temporary
Market Impact Function.
- ContinuousTrajectoryLinearImpact() - Constructor for class org.drip.sample.almgren2003.ContinuousTrajectoryLinearImpact
-
- contraAsset() - Method in class org.drip.xva.basel.BalanceSheetVertex
-
Retrieve the Contra Asset Account
- contraAssetAdjustment() - Method in class org.drip.xva.basel.OTCAccountingModus
-
Compute the Contra-Asset Adjustment
- contraAssetAdjustment() - Method in class org.drip.xva.basel.OTCAccountingModusFCAFBA
-
- contraAssetAdjustment() - Method in class org.drip.xva.basel.OTCAccountingModusFVAFDA
-
- contraAssetDebtAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
-
- contraAssetDebtAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
-
- contraAssetDebtAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
-
Compute Path Contra-Asset Debt Adjustment
- contraAssetDebtAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Compute Path Contra-Asset Debt Adjustment
- contraAssetDebtAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Path Contra-Asset Debt Adjustment
- ContractDefinitions - Class in org.drip.sample.treasuryfutures
-
ContractDefinitions contains all the pre-fixed Definitions of Exchange-traded Treasury Futures Contracts.
- ContractDefinitions() - Constructor for class org.drip.sample.treasuryfutures.ContractDefinitions
-
- ContractEligibilitySettlementDefinitions - Class in org.drip.sample.treasuryfutures
-
ContractEligibilitySettlementDefinitions contains all the pre-fixed Definitions of the Bond Futures
Contracts.
- ContractEligibilitySettlementDefinitions() - Constructor for class org.drip.sample.treasuryfutures.ContractEligibilitySettlementDefinitions
-
- contractual() - Method in class org.drip.xva.proto.CreditDebtGroupSpecification
-
Indicate if the Netting allowed is Contractual
- contraintValue() - Method in class org.drip.spline.params.SegmentBasisFlexureConstraint
-
Retrieve the Constraint Value
- contraLiability() - Method in class org.drip.xva.basel.BalanceSheetVertex
-
Retrieve the Contra Liability Account
- contraLiabilityAdjustment() - Method in class org.drip.xva.basel.OTCAccountingModus
-
Compute the Contra-Liability Adjustment
- contraLiabilityAdjustment() - Method in class org.drip.xva.basel.OTCAccountingModusFCAFBA
-
- contraLiabilityAdjustment() - Method in class org.drip.xva.basel.OTCAccountingModusFVAFDA
-
- contraLiabilityChange() - Method in class org.drip.xva.basel.OTCAccountingPolicy
-
Retrieve the Contra-Liability Change
- contraLiabilityCreditAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
-
- contraLiabilityCreditAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
-
- contraLiabilityCreditAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
-
Compute Path Contra-Liability Credit Adjustment
- contraLiabilityCreditAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Compute Path Contra-Liability Credit Adjustment
- contraLiabilityCreditAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Path Contra-Liability Credit Adjustment
- control() - Method in class org.drip.execution.nonadaptive.StaticOptimalSchemeDiscrete
-
Retrieve the Discrete Trajectory Control Settings
- control() - Method in class org.drip.function.rdtor1solver.BarrierFixedPointFinder
-
Retrieve the Interior Point Barrier Strength Control Parameters
- control() - Method in class org.drip.function.rdtor1solver.FixedRdFinder
-
Retrieve the Convergence Control Parameters
- ControlNodesGreek - Class in org.drip.execution.sensitivity
-
ControlNodesGreek holds the Point Value, the Jacobian, and the Hessian for a Trajectory/Slice to the
Holdings Control Nodes.
- ControlNodesGreek(double, double[], double[][]) - Constructor for class org.drip.execution.sensitivity.ControlNodesGreek
-
ControlNodesGreek Constructor
- ControlNodesGreekGenerator - Interface in org.drip.execution.sensitivity
-
ControlNodesGreekGenerator exposes the Functionality to compute the Base Value, the Jacobian, and the
Hessian Sensitivities of the Mean and the Variance Contributions to the Permanent Impact, Temporary
Impact, and the Market Core Components.
- CONV_CDS - Static variable in class org.drip.param.quoting.QuotedSpreadInterpreter
-
Conventional CDS Contract
- convAdj() - Method in class org.drip.analytics.output.UnitPeriodConvexityMetrics
-
Retrieve the Convexity Adjustment
- Convention - Class in org.drip.analytics.daycount
-
This class contains flags that indicate where the holidays are loaded from, as well as the holiday types
and load rules.
- Convention() - Constructor for class org.drip.analytics.daycount.Convention
-
- ConventionFromFullName(String) - Static method in class org.drip.market.otc.CreditIndexConventionContainer
-
Retrieve the OTC Credit Index Convention Instance from the Full Index Name
- ConventionFromJurisdiction(String) - Static method in class org.drip.market.otc.CrossFloatConventionContainer
-
Retrieve the Cross-Currency Float-Float Convention Instance from the Jurisdiction Name
- ConventionFromJurisdiction(String, String) - Static method in class org.drip.market.otc.CrossFloatConventionContainer
-
Retrieve the Cross-Currency Float-Float Convention Instance from the Reference/Derived Jurisdiction
Names
- ConventionFromJurisdiction(String) - Static method in class org.drip.market.otc.IBORFixedFloatContainer
-
Retrieve the Fix-Float Convention for the specified Jurisdiction
- ConventionFromJurisdiction(String, String, String, String) - Static method in class org.drip.market.otc.IBORFixedFloatContainer
-
Retrieve the Fix-Float Convention for the specified Jurisdiction for the specified Index, Location,
and Maturity Tenor
- ConventionFromJurisdiction(String) - Static method in class org.drip.market.otc.IBORFloatFloatContainer
-
Retrieve the Float-Float Convention Instance from the Jurisdiction Name
- ConventionFromJurisdiction(String) - Static method in class org.drip.market.otc.SwapOptionSettlementContainer
-
Retrieve the Swap Option Settlement Convention for the specified Jurisdiction
- ConventionFromJurisdictionIndex(String, String) - Static method in class org.drip.market.otc.IBORFixedFloatContainer
-
Retrieve the Fix-Float Convention for the specified Jurisdiction for the specified Index
- ConventionFromJurisdictionLocation(String, String) - Static method in class org.drip.market.otc.IBORFixedFloatContainer
-
Retrieve the Fix-Float Convention for the specified Jurisdiction for the specified Location
- ConventionFromJurisdictionMaturity(String, String) - Static method in class org.drip.market.otc.IBORFixedFloatContainer
-
Retrieve the Fix-Float Convention for the specified Jurisdiction for the specified Maturity Tenor
- ConvergenceControl - Class in org.drip.function.rdtor1solver
-
ConvergenceControl contains the R^d To R^1 Convergence Control/Tuning Parameters.
- ConvergenceControl(int, double, double, int) - Constructor for class org.drip.function.rdtor1solver.ConvergenceControl
-
ConvergenceControl Constructor
- ConvergenceControlParams - Class in org.drip.function.r1tor1solver
-
ConvergenceControlParams holds the fields needed for the controlling the execution of Newton's method.
- ConvergenceControlParams() - Constructor for class org.drip.function.r1tor1solver.ConvergenceControlParams
-
Default Convergence Control Parameters constructor
- ConvergenceControlParams(int, double, double, double) - Constructor for class org.drip.function.r1tor1solver.ConvergenceControlParams
-
ConvergenceControlParams constructor
- ConvergenceOutput - Class in org.drip.function.r1tor1solver
-
ConvergenceOutput extends the ExecutionInitializationOutput by retaining the starting variate that
results from the convergence zone search.
- ConvergenceOutput() - Constructor for class org.drip.function.r1tor1solver.ConvergenceOutput
-
Default ConvergenceOutput constructor: Initializes the output object
- ConvergenceOutput(ExecutionInitializationOutput) - Constructor for class org.drip.function.r1tor1solver.ConvergenceOutput
-
Initialize off of an existing EIOP
- convergenceType() - Method in class org.drip.function.rdtor1solver.ConvergenceControl
-
Retrieve the Convergence Type
- convergeObjectiveFunction(VariateInequalityConstraintMultiplier) - Method in class org.drip.function.rdtor1solver.FixedRdFinder
-
Solve for the Optimal Variate-Inequality Constraint Multiplier Tuple Using the Objective Function
Convergence
- convergeVariate(VariateInequalityConstraintMultiplier) - Method in class org.drip.function.rdtor1solver.FixedRdFinder
-
Solve for the Optimal Variate-Inequality Constraint Multiplier Tuple Using the Variate/Inequality
Constraint Tuple Convergence
- conversionFactor() - Method in class org.drip.historical.attribution.TreasuryFuturesMarketSnap
-
Retrieve the CTD Conversion Factor at Expiry
- conversionFactor() - Method in class org.drip.product.govvie.TreasuryFutures
-
Retrieve the Conversion Factor Array
- conversionFactor() - Method in class org.drip.product.params.CTDEntry
-
Retrieve the CTD Conversion Factor
- Converter - Class in org.drip.json.parser
-
TypeConverter transforms the JSON Object to certain Primitive/Simple Data Type Arrays, i.e., double,
integer, String, or JulianDate Arrays.
- Converter() - Constructor for class org.drip.json.parser.Converter
-
- convexity() - Method in class org.drip.analytics.output.BondRVMeasures
-
Retrieve the Convexity
- convexityAdjustment() - Method in class org.drip.analytics.output.BulletMetrics
-
Retrieve the Terminal Convexity Adjustment
- ConvexityAdjustment - Class in org.drip.analytics.output
-
ConvexityAdjustment holds the dynamical convexity Adjustments between the Latent States.
- ConvexityAdjustment() - Constructor for class org.drip.analytics.output.ConvexityAdjustment
-
Empty ConvexityAdjustment Constructor
- convexityFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from ASW to Work-out
- convexityFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from ASW to Maturity
- convexityFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from ASW to Optimal Exercise
- convexityFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Bond Basis to Work-out
- convexityFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Bond Basis to Maturity
- convexityFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Bond Basis to Optimal Exercise
- convexityFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Credit Basis to Work-out
- convexityFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Credit Basis to Maturity
- convexityFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Credit Basis to Optimal Exercise
- convexityFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Discount Margin to Work-out
- convexityFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Discount Margin to Maturity
- convexityFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Discount Margin to Optimal Exercise
- convexityFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from E Spread to Work-out
- convexityFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from E Spread to Maturity
- convexityFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from E Spread to Optimal Exercise
- convexityFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from G Spread to Work-out
- convexityFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from G Spread to Maturity
- convexityFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from G Spread to Optimal Exercise
- convexityFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from I Spread to Work-out
- convexityFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from I Spread to Maturity
- convexityFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from I Spread to Optimal Exercise
- convexityFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from J Spread to Work-out
- convexityFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from J Spread to Maturity
- convexityFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from J Spread to Optimal Exercise
- convexityFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from N Spread to Work-out
- convexityFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from N Spread to Maturity
- convexityFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from N Spread to Optimal Exercise
- convexityFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from OAS to Work-out
- convexityFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from OAS to Maturity
- convexityFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from OAS to Optimal Exercise
- convexityFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from PECS to Work-out
- convexityFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from PECS to Maturity
- convexityFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from PECS to Optimal Exercise
- convexityFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Price to Work-out
- convexityFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Price to Maturity
- convexityFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Price to Optimal Exercise
- convexityFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from TSY Spread to Work-out
- convexityFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from TSY Spread to Maturity
- convexityFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from TSY Spread to Optimal Exercise
- convexityFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Yield to Work-out
- convexityFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Yield to Maturity
- convexityFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Yield Spread to Work-out
- convexityFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Yield Spread to Maturity
- convexityFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Yield Spread to Optimal Exercise
- convexityFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Yield to Optimal Exercise
- convexityFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Z Spread to Work-out
- convexityFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Z Spread to Maturity
- convexityFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- convexityFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Convexity from Z Spread to Optimal Exercise
- ConvexMultivariate - Interface in org.drip.function.rdtor1
-
ConvexMultivariate is a Shell Interface that "typifies" a Convex R^d To R^1.
- cookCustomCC(String, String, ValuationParams, MergedDiscountForwardCurve, GovvieCurve, String[], double[], double, LatentStateFixingsContainer, ValuationCustomizationParams, boolean, ManifestMeasureTweak, ManifestMeasureTweak, ManifestMeasureTweak) - Method in class org.drip.param.market.CreditCurveScenarioContainer
-
Cook the credit curve according to the desired tweak parameters
- cookScenarioCC(String, ValuationParams, MergedDiscountForwardCurve, GovvieCurve, String[], double[], double, LatentStateFixingsContainer, ValuationCustomizationParams, boolean, int) - Method in class org.drip.param.market.CreditCurveScenarioContainer
-
Cook and save the credit curves corresponding to the scenario specified
- cookScenarioDC(ValuationParams, GovvieCurve, double[], String[], double, LatentStateFixingsContainer, ValuationCustomizationParams, int) - Method in class org.drip.param.market.DiscountCurveScenarioContainer
-
Generate the set of discount curves from the scenario specified, and the instrument quotes
- CoordinatedMarketState - Class in org.drip.execution.tradingtime
-
CoordinatedMarketState implements the Coordinated Variation Version of the Volatility and the Linear
Transaction Function arising from the Realization of the Market State Variable as described in the
"Trading Time" Model.
- CoordinatedMarketState(CoordinatedVariation) - Constructor for class org.drip.execution.tradingtime.CoordinatedMarketState
-
CoordinatedParticipationRateLinear Constructor
- CoordinatedMarketStateTrajectory - Class in org.drip.sample.almgren2009
-
CoordinatedMarketStateTrajectory traces a Sample Realization of the Market State Trajectory the follows
the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
- CoordinatedMarketStateTrajectory() - Constructor for class org.drip.sample.almgren2009.CoordinatedMarketStateTrajectory
-
- CoordinatedParticipationRateLinear - Class in org.drip.execution.tradingtime
-
CoordinatedParticipationRateLinear implements the Coordinated Variation Version of the Linear
Participation Rate Transaction Function as described in the "Trading Time" Model.
- CoordinatedParticipationRateLinear(CoordinatedVariation, R1ToR1) - Constructor for class org.drip.execution.tradingtime.CoordinatedParticipationRateLinear
-
CoordinatedParticipationRateLinear Constructor
- CoordinatedVariation(R1ToR1, CoordinatedVariation) - Static method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParametersBuilder
-
Construct a Arithmetic Price Evolution Parameters from Coordinated Variation Instance
- CoordinatedVariation - Class in org.drip.execution.tradingtime
-
CoordinatedVariation implements the Coordinated Variation of the Volatility and Liquidity as described in
the "Trading Time" Model.
- CoordinatedVariation(double, double) - Constructor for class org.drip.execution.tradingtime.CoordinatedVariation
-
CoordinatedVariation Constructor
- coordinatedVariationConstraint() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
-
Retrieve the Coordinated Variation Instance
- CoordinatedVariationDynamic - Class in org.drip.execution.adaptive
-
CoordinatedVariationDynamic implements the HJB-based Single Step Optimal Cost Dynamic Trajectory using the
Coordinated Variation Version of the Stochastic Volatility and the Transaction Function arising from the
Realization of the Market State Variable as described in the "Trading Time" Model.
- CoordinatedVariationDynamic(CoordinatedVariationTrajectoryDeterminant, double[], double[], NonDimensionalCost[]) - Constructor for class org.drip.execution.adaptive.CoordinatedVariationDynamic
-
CoordinatedVariationDynamic Constructor
- CoordinatedVariationRollingHorizon - Class in org.drip.execution.adaptive
-
CoordinatedVariationRollingHorizon implements the "Rolling Horizon" Approximation of the Optimal Cost
Dynamic Trajectory arising from the Coordinated Variation Version of the Stochastic Volatility and the
Transaction Function arising from the Realization of the Market State Variable as described in the
"Trading Time" Model.
- CoordinatedVariationRollingHorizon(CoordinatedVariationTrajectoryDeterminant, double[], double[], double[]) - Constructor for class org.drip.execution.adaptive.CoordinatedVariationRollingHorizon
-
CoordinatedVariationRollingHorizon Constructor
- CoordinatedVariationStatic - Class in org.drip.execution.adaptive
-
CoordinatedVariationStatic implements the Static Trajectory based on the "Mean Equilibrium Market State"
of the Coordinated Variation Version of the Stochastic Volatility and the Transaction Function arising
from the Realization of the Market State Variable as described in the "Trading Time" Model.
- CoordinatedVariationStatic(CoordinatedVariationTrajectoryDeterminant, EfficientTradingTrajectoryContinuous) - Constructor for class org.drip.execution.adaptive.CoordinatedVariationStatic
-
CoordinatedVariationStatic Constructor
- CoordinatedVariationTrajectory - Class in org.drip.execution.adaptive
-
CoordinatedVariationTrajectory holds the "Common" Measures generated from the HJB-based MultiStep Optimal
Cost Dynamic Trajectory Generation using the Coordinated Variation Version of the Stochastic Volatility
and the Transaction Function arising from the Realization of the Market State Variable as described in
the "Trading Time" Model.
- CoordinatedVariationTrajectory(CoordinatedVariationTrajectoryDeterminant) - Constructor for class org.drip.execution.adaptive.CoordinatedVariationTrajectory
-
CoordinatedVariationTrajectory Constructor
- CoordinatedVariationTrajectoryDeterminant - Class in org.drip.execution.adaptive
-
CoordinatedVariationTrajectoryDeterminant contains the HJB-based MultiStep Optimal Cost Dynamic Trajectory
Generation Metrics using the Coordinated Variation Version of the Stochastic Volatility and the
Transaction Function arising from the Realization of the Market State Variable as described in the
"Trading Time" Model.
- CoordinatedVariationTrajectoryDeterminant(double, double, double, double, double, double, double) - Constructor for class org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant
-
CoordinatedVariationTrajectoryDeterminant Constructor
- CoordinatedVariationTrajectoryGenerator - Class in org.drip.execution.adaptive
-
CoordinatedVariationTrajectoryGenerator implements the Continuous HJB-based Single Step Optimal Cost
Trajectory using the Coordinated Variation Version of the Stochastic Volatility and the Transaction
Function arising from the Realization of the Market State Variable as described in the "Trading Time"
Model.
- CoordinatedVariationTrajectoryGenerator(OrderSpecification, CoordinatedVariation, MeanVarianceObjectiveUtility, NonDimensionalCostEvolver, int) - Constructor for class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
-
CoordinatedVariationTrajectoryGenerator Constructor
- CoordinatedVariationTrajectoryState - Class in org.drip.execution.adaptive
-
CoordinatedVariationTrajectoryState holds the HJB-based Multi Step Optimal Trajectory State at each Step
of the Evolution using the Coordinated Variation Version of the Stochastic Volatility and the Transaction
Function arising from the Realization of the Market State Variable as described in the "Trading Time"
Model.
- CoordinatedVariationTrajectoryState(double, double, double, double, double) - Constructor for class org.drip.execution.adaptive.CoordinatedVariationTrajectoryState
-
CoordinatedVariationTrajectoryState Constructor
- COPHoliday - Class in org.drip.analytics.holset
-
- COPHoliday() - Constructor for class org.drip.analytics.holset.COPHoliday
-
- CoreCashFlowMeasures - Class in org.drip.sample.bond
-
CoreCashFlowMeasures contains a demo of the Bond Core Measures and the Cash Flow Sample.
- CoreCashFlowMeasures() - Constructor for class org.drip.sample.bond.CoreCashFlowMeasures
-
- coreSBAVariance() - Method in class org.drip.simm.margin.RiskMeasureAggregate
-
Retrieve the Core SBA Variance
- coreSBAVariance() - Method in class org.drip.simm.margin.RiskMeasureAggregateCR
-
Retrieve the Core SBA Variance
- coreSBAVariance() - Method in class org.drip.simm.margin.RiskMeasureAggregateIR
-
Retrieve the Core SBA Variance
- CornishFischer() - Static method in class org.drip.simm.foundation.CurvatureEstimatorResponseFunction
-
Construct the Cornish Fischer Instance of the Curvature Estimator
- CornishFischer(String) - Static method in class org.drip.simm.parameters.MarginEstimationSettings
-
Generate a Cornish-Fischer Instance of MarginEstimationSettings
- CORPORATE_LOAN_RECOVERY_RATE - Static variable in class org.drip.service.scenario.BondReplicator
-
Loan Corporate Recovery Rate
- CORPORATE_SENIOR_RECOVERY_RATE - Static variable in class org.drip.service.scenario.BondReplicator
-
Senior Corporate Recovery Rate
- CORPORATE_SUBORDINATE_RECOVERY_RATE - Static variable in class org.drip.service.scenario.BondReplicator
-
Subordinate Corporate Recovery Rate
- CorporateIssueMetrics - Class in org.drip.sample.bond
-
CorporateIssueMetrics demonstrates the Corporate Bond Pricing and Relative Value Measure Generation
Functionality.
- CorporateIssueMetrics() - Constructor for class org.drip.sample.bond.CorporateIssueMetrics
-
- CorporateLoan(double, double, double, JulianDate, String[], double[], double[], String[], double[], double, double, String, String[], double[], String[], double[], double, double, int, BondComponent) - Static method in class org.drip.service.scenario.BondReplicator
-
Generate a Standard Corporate Loan BondReplicator Instance
- CorporateSenior(double, double, double, JulianDate, String[], double[], double[], String[], double[], double, double, String, String[], double[], String[], double[], double, double, int, BondComponent) - Static method in class org.drip.service.scenario.BondReplicator
-
Generate a Standard Senior Corporate BondReplicator Instance
- CorporateSubordinate(double, double, double, JulianDate, String[], double[], double[], String[], double[], double, double, String, String[], double[], String[], double[], double, double, int, BondComponent) - Static method in class org.drip.service.scenario.BondReplicator
-
Generate a Standard Subordinate Corporate BondReplicator Instance
- Correlated(OrnsteinUhlenbeckPair, double, double, double, int) - Static method in class org.drip.execution.latent.OrnsteinUhlenbeckSequence
-
Construct a Standard Correlated Instance of OrnsteinUhlenbeckSequence
- CorrelatedNumeraireXVAAttribution - Class in org.drip.sample.burgard2011
-
CorrelatedNumeraireXVAAttribution constructs the XVA PnL Attribution arising out of the Joint Evolution of
Numeraires - the Continuous Asset, the Collateral, the Bank, and the Counter-Party Numeraires involved in
the Dynamic XVA Replication Portfolio of the Burgard and Kjaer (2011) Methodology.
- CorrelatedNumeraireXVAAttribution() - Constructor for class org.drip.sample.burgard2011.CorrelatedNumeraireXVAAttribution
-
- CorrelatedNumeraireXVAExplain - Class in org.drip.sample.burgard2011
-
CorrelatedNumeraireXVAExplain constructs the XVA PnL Explain arising out of the Joint Evolution of
Numeraires - the Continuous Asset, the Collateral, the Bank, and the Counter-Party Numeraires involved in
the Dynamic XVA Replication Portfolio of the Burgard and Kjaer (2011) Methodology.
- CorrelatedNumeraireXVAExplain() - Constructor for class org.drip.sample.burgard2011.CorrelatedNumeraireXVAExplain
-
- CorrelatedNumeraireXVAGreeks - Class in org.drip.sample.burgard2011
-
CorrelatedNumeraireXVAGreeks constructs the XVA Greeks arising out of the Joint Evolution of Numeraires -
the Continuous Asset, the Collateral, the Bank, and the Counter-Party Numeraires involved in the Dynamic
XVA Replication Portfolio of the Burgard and Kjaer (2011) Methodology.
- CorrelatedNumeraireXVAGreeks() - Constructor for class org.drip.sample.burgard2011.CorrelatedNumeraireXVAGreeks
-
- CorrelatedNumeraireXVAReplicationPortfolio - Class in org.drip.sample.burgard2011
-
CorrelatedNumeraireXVAReplicationPortfolio calculates the XVA Replication Portfolio arising out of the
Joint Evolution of Numeraires - the Continuous Asset, the Collateral, the Bank, and the Counter-Party
Numeraires involved in the Dynamic XVA Replication Portfolio of the Burgard and Kjaer (2011) Methodology.
- CorrelatedNumeraireXVAReplicationPortfolio() - Constructor for class org.drip.sample.burgard2011.CorrelatedNumeraireXVAReplicationPortfolio
-
- CorrelatedPathVertexDimension - Class in org.drip.measure.discrete
-
CorrelatedPathVertexDimension generates Correlated R^d Random Numbers at the specified Vertexes, over the
Specified Paths.
- CorrelatedPathVertexDimension(RandomNumberGenerator, double[][], int, int, boolean, QuadraticResampler) - Constructor for class org.drip.measure.discrete.CorrelatedPathVertexDimension
-
CorrelatedPathVertexDimension Constructor
- CorrelatedRdSequence - Class in org.drip.sample.statistics
-
CorrelatedRdSequence demonstrates the Generation of the Statistical Measures for the Input Correlated
Sequence Set created using the Multi-Path Correlated Random Variable Generator without Quadratic
Re-sampling or Antithetic Variables.
- CorrelatedRdSequence() - Constructor for class org.drip.sample.statistics.CorrelatedRdSequence
-
- CorrelatedRdSequenceAntithetic - Class in org.drip.sample.statistics
-
CorrelatedRdSequenceAntithetic demonstrates the Generation of the Statistical Measures for the Input
Correlated Sequence Set created using the Multi-Path Correlated Random Variable Generator without
Quadratic Re-sampling, but with Antithetic Variables.
- CorrelatedRdSequenceAntithetic() - Constructor for class org.drip.sample.statistics.CorrelatedRdSequenceAntithetic
-
- CorrelatedRdSequenceQR - Class in org.drip.sample.statistics
-
CorrelatedRdSequenceQR demonstrates the Generation of the Statistical Measures for the Input Correlated
Sequence Set created using the Multi-Path Correlated Random Variable Generator using Quadratic
Re-sampling but without Antithetic Variables.
- CorrelatedRdSequenceQR() - Constructor for class org.drip.sample.statistics.CorrelatedRdSequenceQR
-
- CorrelatedRdSequenceQRUnbiased - Class in org.drip.sample.statistics
-
CorrelatedRdSequenceQRUnbiased demonstrates the Generation of the Statistical Measures for the Input
Correlated Sequence Set created using the Multi-Path Correlated Random Variable Generator using Unbiased
Quadratic Re-sampling but without Antithetic Variables.
- CorrelatedRdSequenceQRUnbiased() - Constructor for class org.drip.sample.statistics.CorrelatedRdSequenceQRUnbiased
-
- correlation() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
-
Retrieve the Correlation Matrix
- correlation() - Method in class org.drip.measure.joint.Evolver
-
Retrieve the Correlation Matrix
- correlation() - Method in class org.drip.measure.process.OrnsteinUhlenbeckPair
-
Retrieve the Correlation between the Ornstein-Uhlenbeck Processes
- correlation() - Method in class org.drip.measure.statistics.MultivariateDiscrete
-
Retrieve the Multivariate Correlation
- correlation(String, String) - Method in class org.drip.measure.statistics.MultivariateMoments
-
Retrieve the Correlation between the Named Variate Pair
- correlation(String, String) - Method in class org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
-
Retrieve the Correlation between the Specified Assets
- correlation() - Method in class org.drip.sequence.random.MultivariateSequenceGenerator
-
Retrieve the Correlation Matrix
- CORRELATION - Static variable in class org.drip.simm.fx.FXSystemics20
-
FX Risk Class Correlation
- CORRELATION - Static variable in class org.drip.simm.fx.FXSystemics21
-
FX Risk Class Correlation
- correlationMatrix() - Method in class org.drip.measure.gaussian.Covariance
-
Retrieve the Correlation Matrix
- COSH - Static variable in class org.drip.function.r1tor1.HyperbolicTension
-
Hyperbolic Tension Function Type - cosh
- cost() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryState
-
Retrieve the Trajectory State Time Node Cost
- costIncrementDistribution(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
-
Generate the R^1 Normal Cost Increment Distribution
- costIncrementRealization(double, WalkSuite, ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
-
Generate the Cost Evolution Increment Unit Realization given the Walk Realization
- costScale() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant
-
Retrieve the Cost Scale
- count() - Method in class org.drip.assetbacked.borrower.DelinquentAccountsLast2Years
-
Retrieve the Count of the Delinquent Borrower Accounts over the last Two Years
- count() - Method in class org.drip.assetbacked.borrower.TotalAccounts
-
Retrieve the Borrower's Current Count of the Total Number of Accounts
- count() - Method in class org.drip.assetbacked.loan.InquiriesLast6Months
-
Retrieve the Total Number of Inquiries for the Loan over the Last 6 Months
- count() - Method in class org.drip.execution.latent.OrnsteinUhlenbeckSequence
-
Retrieve the Total Count of States realized
- count() - Method in class org.drip.exposure.holdings.PositionGroupContainer
-
Retrieve the Number of the Positions in the Container
- count() - Method in class org.drip.function.rdtor1solver.ConstraintFunctionPointMetrics
-
Retrieve the Constraint Count
- count() - Method in class org.drip.spaces.big.BinaryTree
-
Retrieve the Node Instance Count
- count() - Method in class org.drip.xva.dynamics.PathSimulator
-
Retrieve the Path Count
- CountablyFinite(double) - Static method in class org.drip.spaces.tensor.Cardinality
-
Countably Finite Cardinality
- CountablyInfinite() - Static method in class org.drip.spaces.tensor.Cardinality
-
Countably Infinite Cardinality
- counterParty() - Method in class org.drip.param.quote.ProductTick
-
Retrieve the Counter Party
- CounterPartyHazardHigh - Class in org.drip.sample.burgard2012
-
CounterPartyHazardHigh estimates the CVA Relative to V for a Call Option bought by the Bank for different
Close Outs and Funding Spreads using the Burgard and Kjaer (2011) Methodology for the Case where the
Counter Party Hazard is High (5%).
- CounterPartyHazardHigh() - Constructor for class org.drip.sample.burgard2012.CounterPartyHazardHigh
-
- CounterPartyHazardLow - Class in org.drip.sample.burgard2012
-
CounterPartyHazardLow estimates the CVA Relative to V for a Call Option bought by the Bank for different
Close Outs and Funding Spreads using the Burgard and Kjaer (2011) Methodology for the Case where the
Counter Party Hazard is Low (Zero).
- CounterPartyHazardLow() - Constructor for class org.drip.sample.burgard2012.CounterPartyHazardLow
-
- CounterPartyHazardMedium - Class in org.drip.sample.burgard2012
-
CounterPartyHazardMedium estimates the CVA Relative to V for a Call Option bought by the Bank for
different Close Outs and Funding Spreads using the Burgard and Kjaer (2011) Methodology for the Case
where the Counter Party Hazard is Medium (2.5%).
- CounterPartyHazardMedium() - Constructor for class org.drip.sample.burgard2012.CounterPartyHazardMedium
-
- Coupon - Class in org.drip.assetbacked.loan
-
Coupon contains the current Loan Annualized Coupon Rate and Frequency
- Coupon(double, int) - Constructor for class org.drip.assetbacked.loan.Coupon
-
Coupon Constructor
- coupon() - Method in class org.drip.product.calib.FixedStreamQuoteSet
-
Retrieve the Coupon
- coupon(int, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.BasketProduct
-
Retrieve the basket product's coupon amount at the given date
- coupon(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.rates.Stream
-
Get the Coupon Metrics for the period corresponding to the specified accrual end date
- coupon() - Method in class org.drip.state.sequence.GovvieBuilderSettings
-
Retrieve the Calibration Treasury Coupon Array
- couponBasis() - Method in class org.drip.product.calib.FixedStreamQuoteSet
-
Retrieve the Coupon Basis
- couponCeilingRate() - Method in class org.drip.product.params.CouponSetting
-
Retrieve the Coupon Ceiling Rate
- couponCurrency() - Method in class org.drip.analytics.cashflow.Bullet
-
Retrieve the Coupon Currency
- couponCurrency() - Method in class org.drip.analytics.cashflow.ComposableUnitFixedPeriod
-
- couponCurrency() - Method in class org.drip.analytics.cashflow.ComposableUnitFloatingPeriod
-
- couponCurrency() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
-
Get the Period Coupon Currency
- couponCurrency() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Retrieve the Coupon Currency
- couponCurrency() - Method in class org.drip.param.period.ComposableFixedUnitSetting
-
Retrieve the Fixed Coupon Currency
- couponCurrency() - Method in class org.drip.product.credit.BondComponent
-
- couponCurrency() - Method in class org.drip.product.credit.CDSComponent
-
- couponCurrency() - Method in interface org.drip.product.definition.BasketMarketParamRef
-
Get the Coupon Currency
- couponCurrency() - Method in class org.drip.product.definition.BasketProduct
-
- couponCurrency() - Method in interface org.drip.product.definition.ComponentMarketParamRef
-
Get the Map of Coupon Currencies
- couponCurrency() - Method in class org.drip.product.fx.FXForwardComponent
-
- couponCurrency() - Method in class org.drip.product.govvie.TreasuryFutures
-
- couponCurrency() - Method in class org.drip.product.option.CDSEuropeanOption
-
- couponCurrency() - Method in class org.drip.product.option.FixFloatEuropeanOption
-
- couponCurrency() - Method in class org.drip.product.option.OptionComponent
-
- couponCurrency() - Method in class org.drip.product.rates.FixFloatComponent
-
- couponCurrency() - Method in class org.drip.product.rates.FloatFloatComponent
-
- couponCurrency() - Method in class org.drip.product.rates.RatesBasket
-
- couponCurrency() - Method in class org.drip.product.rates.SingleStreamComponent
-
- couponCurrency() - Method in class org.drip.product.rates.Stream
-
Retrieve the Coupon Currency
- couponDC() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
-
Retrieve the Coupon Day Count
- couponDC() - Method in class org.drip.param.period.UnitCouponAccrualSetting
-
Retrieve the Coupon Day Count
- couponDC() - Method in class org.drip.product.credit.BondComponent
-
- couponDC() - Method in class org.drip.product.definition.Bond
-
Return the bond's coupon day count
- couponDC() - Method in class org.drip.product.rates.Stream
-
Retrieve the Coupon Day Count
- couponDCF() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Compute the Full Coupon DCF
- couponDCFOffOfFreq() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
-
Retrieve the Flag indicating whether Coupon DCF is computed off of the DCF Flag
- couponDCFOffOfFreq() - Method in class org.drip.param.period.UnitCouponAccrualSetting
-
Retrieve the Flag indicating whether Coupon DCF is computed off of the DCF Flag
- couponEOMAdjustment() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
-
Retrieve the Coupon EOM Adjustment Flag
- couponEOMAdjustment() - Method in class org.drip.param.period.UnitCouponAccrualSetting
-
Retrieve the Coupon EOM Adjustment Flag
- couponEOMAdjustment() - Method in class org.drip.product.rates.Stream
-
Retrieve the Coupon EOM Adjustment
- couponFactor(int) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Retrieve the Period Coupon Schedule Factor Corresponding to the specified Date
- couponFactor(int, int) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Retrieve the Period Coupon Schedule Factor Aggregated over the specified Dates
- couponFactor(int) - Method in class org.drip.product.credit.BondComponent
-
- couponFloorRate() - Method in class org.drip.product.params.CouponSetting
-
Retrieve the Coupon Floor Rate
- couponMetrics(int, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Compute the Full Period Coupon Measures
- couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.BondComponent
-
- couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.CDSComponent
-
- couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.Component
-
Get the Product's coupon Metrics at the specified accrual date
- couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.fx.FXForwardComponent
-
- couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.govvie.TreasuryFutures
-
- couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.option.OptionComponent
-
- couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.rates.FixFloatComponent
-
- couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.rates.FloatFloatComponent
-
- couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.rates.RatesBasket
-
- couponMetrics(int, ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.rates.SingleStreamComponent
-
- couponPeriod() - Method in class org.drip.product.definition.BasketProduct
-
Get the basket product's coupon periods
- couponPeriods() - Method in class org.drip.product.credit.BondComponent
-
- couponPeriods() - Method in class org.drip.product.credit.CDSComponent
-
- couponPeriods() - Method in class org.drip.product.definition.Component
-
Get the Product's Cash Flow Periods
- couponPeriods() - Method in class org.drip.product.fx.FXForwardComponent
-
- couponPeriods() - Method in class org.drip.product.govvie.TreasuryFutures
-
- couponPeriods() - Method in class org.drip.product.option.OptionComponent
-
- couponPeriods() - Method in class org.drip.product.rates.FixFloatComponent
-
- couponPeriods() - Method in class org.drip.product.rates.FloatFloatComponent
-
- couponPeriods() - Method in class org.drip.product.rates.RatesBasket
-
- couponPeriods() - Method in class org.drip.product.rates.SingleStreamComponent
-
- couponPV() - Method in class org.drip.analytics.output.BondCouponMeasures
-
Retrieve the Coupon PV
- couponPV() - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Retrieve the Coupon PV
- couponRate() - Method in class org.drip.product.params.CouponSetting
-
Retrieve the Coupon Rate
- couponRateExtension() - Method in class org.drip.product.params.CouponSetting
-
Retrieve the Coupon Rate Extension
- couponSchedule() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Get the Period Coupon Schedule
- couponSchedule() - Method in class org.drip.param.period.CompositePeriodSetting
-
Retrieve the Coupon Schedule
- couponSetting() - Method in class org.drip.product.credit.BondComponent
-
- couponSetting() - Method in interface org.drip.product.definition.BondProduct
-
Retrieve the bond coupon setting
- CouponSetting - Class in org.drip.product.params
-
CouponSetting contains the coupon type, schedule, and the coupon amount for the component.
- CouponSetting(Array2D, String, double, double, double) - Constructor for class org.drip.product.params.CouponSetting
-
Construct the CouponSetting from the coupon schedule, coupon type, and the coupon amount
- CouponSetting(Array2D, String, double, double, double, double) - Constructor for class org.drip.product.params.CouponSetting
-
Construct the CouponSetting from the coupon schedule, coupon type, the coupon rate, and its extension
- couponSpread() - Method in class org.drip.product.calib.StreamQuoteSet
-
Retrieve the Coupon/Spread
- couponStrike() - Method in class org.drip.param.quoting.QuotedSpreadInterpreter
-
Retrieve the Coupon Strike
- couponType() - Method in class org.drip.product.credit.BondComponent
-
- couponType() - Method in class org.drip.product.definition.Bond
-
Return the bond's coupon type
- couponType() - Method in class org.drip.product.params.CouponSetting
-
Retrieve the Coupon Type
- covariance() - Method in class org.drip.function.rdtor1.CovarianceEllipsoidMultivariate
-
Retrieve the Co-variance Matrix
- covariance() - Method in class org.drip.function.rdtor1.RiskObjectiveUtilityMultivariate
-
Retrieve the Co-variance Matrix
- Covariance - Class in org.drip.measure.gaussian
-
Covariance holds the Standard Covariance Matrix, and provides functions to manipulate it.
- Covariance(double[][]) - Constructor for class org.drip.measure.gaussian.Covariance
-
Covariance Constructor
- covariance() - Method in class org.drip.measure.gaussian.R1MultivariateNormal
-
Compute the Co-variance of the Distribution
- covariance() - Method in class org.drip.measure.statistics.MultivariateDiscrete
-
Retrieve the Multivariate Covariance
- covariance(String, String) - Method in class org.drip.measure.statistics.MultivariateMoments
-
Retrieve the Co-variance of the Named Variate Pair
- covariance(String[]) - Method in class org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
-
Retrieve the Asset Covariance Matrix
- CovarianceEllipsoidMultivariate - Class in org.drip.function.rdtor1
-
CovarianceEllipsoidMultivariate implements an R^d To R^1 Co-variance Estimate of the specified
Distribution.
- CovarianceEllipsoidMultivariate(double[][]) - Constructor for class org.drip.function.rdtor1.CovarianceEllipsoidMultivariate
-
CovarianceEllipsoidMultivariate Constructor
- covarianceMatrix() - Method in class org.drip.measure.gaussian.Covariance
-
Retrieve the Covariance Matrix
- CoveringBoundsHelper - Class in org.drip.spaces.cover
-
CoveringBoundsHelper contains the assortment of Utilities used in the Computation of Upper Bounds for
Normed Single Function Spaces and Function Space Products.
- CoveringBoundsHelper() - Constructor for class org.drip.spaces.cover.CoveringBoundsHelper
-
- coveringLossBoundEvaluator() - Method in class org.drip.learning.rxtor1.GeneralizedLearner
-
Retrieve the Covering Number based Deviation Upper Probability Bound Generator
- CoveringNumberBoundBuilder - Class in org.drip.learning.bound
-
CoveringNumberBoundBuilder constructs the CoveringNumberProbabilityBound Instances for specific Learning
Situations.
- CoveringNumberBoundBuilder() - Constructor for class org.drip.learning.bound.CoveringNumberBoundBuilder
-
- CoveringNumberLossBound - Class in org.drip.learning.bound
-
CoveringNumberLossBound provides the Upper Probability Bound that the Loss/Deviation of the Empirical from
the Actual Mean of the given Learner Class exceeds 'epsilon', using the Covering Number Generalization
Bounds.
- CoveringNumberLossBound(R1ToR1, double, double) - Constructor for class org.drip.learning.bound.CoveringNumberLossBound
-
CoveringNumberLossBound Constructor
- CPGACollateralized - Class in org.drip.sample.xvadigest
-
CPGACollateralized illustrates the Counter Party Aggregation over Netting Groups based Collateralized
Collateral Groups with several Fix-Float Swaps.
- CPGACollateralized() - Constructor for class org.drip.sample.xvadigest.CPGACollateralized
-
- CPGACollateralizedCorrelated - Class in org.drip.sample.xvadigest
-
CPGACollateralizedCorrelated illustrates the Counter Party Aggregation over Netting Groups based
Collateralized Collateral Groups with several Fix-Float Swaps where the Market Numeraires have
Correlated Realizations.
- CPGACollateralizedCorrelated() - Constructor for class org.drip.sample.xvadigest.CPGACollateralizedCorrelated
-
- CPGAUncollateralized - Class in org.drip.sample.xvadigest
-
CPGAUncollateralized illustrates the Counter Party Aggregation over Netting Groups based Uncollateralized
Collateral Groups with several Fix-Float Swaps.
- CPGAUncollateralized() - Constructor for class org.drip.sample.xvadigest.CPGAUncollateralized
-
- CPGAUncollateralizedCorrelated - Class in org.drip.sample.xvadigest
-
CPGAUncollateralizedCorrelated illustrates the Counter Party Aggregation over Netting Groups based
Uncollateralized Collateral Groups with several Fix-Float Swaps where the Market Numeraires have
Correlated Realizations.
- CPGAUncollateralizedCorrelated() - Constructor for class org.drip.sample.xvadigest.CPGAUncollateralizedCorrelated
-
- CPGAZeroThreshold - Class in org.drip.sample.xvadigest
-
CPGAZeroThreshold illustrates the Counter Party Aggregation over Netting Groups based Collateralized
Collateral Groups with several Fix-Float Swaps under Zero Collateral Threshold.
- CPGAZeroThreshold() - Constructor for class org.drip.sample.xvadigest.CPGAZeroThreshold
-
- CPGAZeroThresholdCorrelated - Class in org.drip.sample.xvadigest
-
CPGAZeroThresholdCorrelated illustrates the Counter Party Aggregation over Netting Groups based
Collateralized Collateral Groups with several Fix-Float Swaps under Zero Collateral Threshold, and with
built in Factor Correlations across the Numeraires.
- CPGAZeroThresholdCorrelated() - Constructor for class org.drip.sample.xvadigest.CPGAZeroThresholdCorrelated
-
- cpldcq() - Method in class org.drip.optimization.constrained.RegularityConditions
-
Retrieve the CPLDCQ Constraint Qualifier
- cpvd() - Method in class org.drip.state.sequence.PathVertexRd
-
Retrieve the Latent State Evolver CPVD Instance
- CRBucket - Class in org.drip.simm.credit
-
CRBucket holds the ISDA SIMM Credit Quality, Sector List, and Risk Weights for a given Credit
Qualifying/Non-Qualifying Issuer Exposure Bucket.
- CRBucket(int, String, String[], double) - Constructor for class org.drip.simm.credit.CRBucket
-
CRBucket Constructor
- CRCHoliday - Class in org.drip.analytics.holset
-
- CRCHoliday() - Constructor for class org.drip.analytics.holset.CRCHoliday
-
- crcq() - Method in class org.drip.optimization.constrained.RegularityConditions
-
Retrieve the CRCQ Constraint Qualifier
- creatArrayContainer() - Method in interface org.drip.json.parser.ContainerFactory
-
- Create(ValuationParams, ValuationCustomizationParams, CalibratableComponent[], double[], String[], LatentStateFixingsContainer) - Static method in class org.drip.analytics.input.BootCurveConstructionInput
-
Create an Instance of BootCurveConstructionInput from the given Calibration Inputs
- Create(int, List<UnitPeriodMetrics>) - Static method in class org.drip.analytics.output.CompositePeriodAccrualMetrics
-
CompositePeriodAccrualMetrics Instance from the list of the composite period metrics
- Create(List<UnitPeriodMetrics>) - Static method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
CompositePeriodCouponMetrics Instance from the list of the composite period metrics
- Create(FundingLabel, ForwardLabel, int, int, int, double, double, double, double, double, double, double, double, double, double, double, double) - Static method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
-
Construct an Instance of ShortForwardRateUpdate
- Create(FundingLabel, int, int, int, double, double, double, double, double) - Static method in class org.drip.dynamics.hullwhite.ShortRateUpdate
-
Construct an Instance of ShortRateUpdate
- Create(FundingLabel, ForwardLabel, int, int, ForwardCurve, Span, MergedDiscountForwardCurve, Span, Span, Span, Span, Span, LognormalLIBORVolatility) - Static method in class org.drip.dynamics.lmm.BGMCurveUpdate
-
Construct an Instance of BGMCurveUpdate
- Create(FundingLabel, ForwardLabel, int, int, int, double, double, double, double, double, double, double, double, double, double, double, double) - Static method in class org.drip.dynamics.lmm.BGMPointUpdate
-
Construct an Instance of BGMPointUpdate
- Create(FundingLabel, ForwardLabel, int, int, int, double, double, double, double, double, double, double, double) - Static method in class org.drip.dynamics.lmm.ContinuousForwardRateUpdate
-
Construct an Instance of ContinuousForwardRateUpdate
- Create(FundingLabel, ForwardLabel, int, SegmentCustomBuilderControl) - Static method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
-
Create a LognormalLIBORCurveEvolver Instance
- Create(ForwardLabel, int, int, int, double, double, double, double) - Static method in class org.drip.dynamics.sabr.ForwardRateUpdate
-
ForwardRateUpdate Creator
- Create(JulianDate, double) - Method in class org.drip.market.exchange.DeliverableSwapFutures
-
Create an Instance of the Deliverable Swaps Futures
- Create(MergedDiscountForwardCurve, ForwardCurve, GovvieCurve, CreditCurve, String, ProductQuote, CaseInsensitiveTreeMap<ProductQuote>, LatentStateFixingsContainer) - Static method in class org.drip.param.creator.MarketParamsBuilder
-
Create a Market Parameters instance with the funding discount curve, the forward discount curve, the
govvie curve, the credit curve, the component quote, the map of treasury benchmark quotes, and the
Latent State Fixings Instance.
- Create(MergedDiscountForwardCurve, GovvieCurve, CreditCurve, String, ProductQuote, CaseInsensitiveTreeMap<ProductQuote>, LatentStateFixingsContainer) - Static method in class org.drip.param.creator.MarketParamsBuilder
-
Create a Market Parameters Instance with the Funding Curve, the Govvie Curve, the Credit Curve, the
component quote, the map of treasury benchmark quotes, and the Latent State Fixings Container
- Create(AssetComponent[], AssetUniverseStatisticalProperties) - Static method in class org.drip.portfolioconstruction.allocator.OptimizationOutput
-
Create an Instance of the Optimal Portfolio
- Create(int, int, int, int, int, int, double, String, String, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, String, boolean, String, String, FloaterLabel, EntityCDSLabel) - Static method in class org.drip.product.params.BondStream
-
Construct and Instance of BondStream from the specified Parameters
- Create(FunctionSupremumUnivariateRandom, int) - Static method in class org.drip.sequence.custom.GlivenkoCantelliFunctionSupremum
-
Construct an Instance of GlivenkoCantelliFunctionSupremum from the Sample
- Create(BoundedIdempotentUnivariateRandom, int) - Static method in class org.drip.sequence.custom.GlivenkoCantelliUniformDeviation
-
GlivenkoCantelliUniformDeviation Constructor
- Create(double[], double[], double[]) - Static method in class org.drip.spline.params.SegmentBestFitResponse
-
Construct the SegmentBestFitResponse Instance from the given Inputs
- Create(double[], double[]) - Static method in class org.drip.spline.params.SegmentBestFitResponse
-
Construct the SegmentBestFitResponse Instance from the given Predictor Ordinate/Response Pairs, using
Uniform Weightings.
- Create(int, int) - Static method in class org.drip.spline.params.SegmentInelasticDesignControl
-
Create the Inelastic Design Parameters for the desired Ck Criterion and the Roughness Penalty Order
- Create(double[], double[], double[]) - Static method in class org.drip.spline.params.StretchBestFitResponse
-
Construct the StretchBestFitResponse Instance from the given Inputs
- Create(int[], double[], double[]) - Static method in class org.drip.spline.params.StretchBestFitResponse
-
Construct the StretchBestFitResponse Instance from the given Inputs
- Create(double[], double[]) - Static method in class org.drip.spline.params.StretchBestFitResponse
-
Construct the StretchBestFitResponse Instance from the given Predictor Ordinate/Response Pairs, using
Uniform Weightings.
- Create(double[], double[]) - Static method in class org.drip.spline.pchip.AkimaLocalC1Generator
-
Construct an Instance of AkimaLocalC1Generator from the Array of the supplied Predictor Ordinates
and the Response Values
- Create(double[], double[], String, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
Generate the Local Control Stretch in accordance with the desired Customization Parameters
- Create(int[], double[], String, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
Generate the Local Control Stretch in accordance with the desired Customization Parameters
- Create(double[], double[], double) - Static method in class org.drip.spline.pchip.MinimalQuadraticHaganWest
-
Create an instance of MinimalQuadraticHaganWest
- Create(double[], double[], boolean) - Static method in class org.drip.spline.pchip.MonotoneConvexHaganWest
-
Create an instance of MonotoneConvexHaganWest
- Create(double, double, FunctionSet, ResponseScalingShapeControl, SegmentInelasticDesignControl) - Static method in class org.drip.spline.segment.LatentStateResponseModel
-
Build the LatentStateResponseModel instance from the Basis Function/Shape Controller Set
- Create(double, double, BasisEvaluator, SegmentInelasticDesignControl) - Static method in class org.drip.spline.segment.LatentStateResponseModel
-
Build the LatentStateResponseModel instance from the Basis Evaluator Set
- Create(FloaterIndex, String) - Static method in class org.drip.state.identifier.ForwardLabel
-
Construct a ForwardLabel from the tenor and the index
- Create(String, String) - Static method in class org.drip.state.identifier.ForwardLabel
-
Create from the Currency and the Tenor
- Create(String) - Static method in class org.drip.state.identifier.OvernightLabel
-
Construct an OvernightLabel from the Jurisdiction
- Create(OvernightIndex) - Static method in class org.drip.state.identifier.OvernightLabel
-
Construct an OvernightLabel from the Index
- CreateAkimaStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
-
Generate the local control C1 Slope using the Akima Cubic Algorithm.
- createBasisRateShiftedCurve(int[], double[]) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
-
- createBasisRateShiftedCurve(int[], double[]) - Method in class org.drip.state.discount.ExplicitBootDiscountCurve
-
Create a shifted curve from an array of basis shifts
- createBasisRateShiftedCurve(int[], double[]) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
-
- CreateBernsteinPolynomialSplineRegressor(String, String, int, int) - Static method in class org.drip.regression.spline.BasisSplineRegressor
-
Create an instance of Bernstein Polynomial BasisSplineRegressor
- CreateBesselCubicSplineStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
-
Create Hermite/Bessel C1 Cubic Spline Stretch
- CreateBondBasket(String, Bond[], double[]) - Static method in class org.drip.product.creator.BondBasketBuilder
-
BondBasket constructor
- CreateBondFromCF(String, JulianDate, String, String, String, double, double, int, JulianDate[], double[], double[], boolean) - Static method in class org.drip.product.creator.BondBuilder
-
Create a bond from custom/user-defined cash flows and coupon conventions
- CreateBondFromParams(TreasuryBenchmarks, IdentifierSet, CouponSetting, FloaterSetting, QuoteConvention, CreditSetting, TerminationSetting, BondStream, NotionalSetting) - Static method in class org.drip.product.creator.BondBuilder
-
Create the full generic bond object from the complete set of parameters
- CreateCalibratedStretchEstimator(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, BoundarySettings, int) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Create a calibrated Stretch Instance over the specified array of Predictor Ordinates and Response
Values using the specified Basis Splines.
- CreateCalibratedStretchEstimator(String, int[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, BoundarySettings, int) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Create a calibrated Stretch Instance over the specified array of Predictor Ordinates and Response
Values using the specified Basis Splines.
- CreateCalibratedStretchEstimator(String, double[], double, SegmentResponseValueConstraint[], SegmentCustomBuilderControl[], StretchBestFitResponse, BoundarySettings, int) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Create a calibrated Stretch Instance over the specified Predictor Ordinates, Response Values, and their
Constraints, using the specified Segment Builder Parameters.
- CreateCalibratedStretchEstimator(String, double[], SegmentResponseValueConstraint, SegmentResponseValueConstraint[], SegmentCustomBuilderControl[], StretchBestFitResponse, BoundarySettings, int) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Create a calibrated Stretch Instance over the specified Predictor Ordinates and the Response Value
Constraints, with the Segment Builder Parameters.
- CreateCalibratedStretchEstimator(String, double[], double, SegmentCustomBuilderControl, StretchBestFitResponse, BoundarySettings, int) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Create a Calibrated Stretch Instance from the Array of Predictor Ordinates and a flat Response Value
- CreateCCSC(CalibratableComponent[]) - Static method in class org.drip.state.creator.ScenarioCreditCurveBuilder
-
Create CreditScenarioCurve from the array of calibration instruments
- CreateCDS(JulianDate, JulianDate, double, String, CreditSetting, String, boolean) - Static method in class org.drip.product.creator.CDSBuilder
-
Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and
component credit valuation parameters.
- CreateCDS(JulianDate, JulianDate, double, String, double, String, String, boolean) - Static method in class org.drip.product.creator.CDSBuilder
-
Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and
credit curve.
- CreateCDS(JulianDate, String, double, String, CreditSetting, String) - Static method in class org.drip.product.creator.CDSBuilder
-
Create the credit default swap from the effective date, tenor, coupon, IR curve name, and component
credit valuation parameters.
- CreateCDS(JulianDate, String, double, String, String, String) - Static method in class org.drip.product.creator.CDSBuilder
-
Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and credit
curve.
- CreateCDXIdentifierFromCode(String) - Static method in class org.drip.product.params.CDXIdentifier
-
Create the CDX Identifier from the CDX Code
- CreateCDXRefDataBuilder(String, String, String, String, String, int, int, double, String, String, boolean, double, int, String, String, int, String, String, String, int, int, String, double, int, int, String, boolean, boolean, boolean, String, String) - Static method in class org.drip.product.params.CDXRefDataParams
-
Create a CDXRefData instance from valid individual parameters (so no additional validation is
performed).
- CreateExponentialTensionSplineRegressor(String, String, double) - Static method in class org.drip.regression.spline.BasisSplineRegressor
-
Create an instance of Exponential BasisSplineRegressor
- createFixFloatComponent(JulianDate, String, double, double, double) - Method in class org.drip.market.otc.FixedFloatSwapConvention
-
Create a Standardized Fixed-Float Component Instance from the Inputs
- createFixFloatComponentPair(JulianDate, String, String, double, double, double, double) - Method in class org.drip.market.otc.FloatFloatSwapConvention
-
Create an Instance of the Fix-Float Component Pair
- CreateFixingsObject(Bond, JulianDate, double) - Static method in class org.drip.analytics.support.Helper
-
Create the Latent State Fixings object from the bond, the fixings date, and the fixing.
- createFloatFloatComponent(JulianDate, String, double, double, double) - Method in class org.drip.market.otc.CrossFloatSwapConvention
-
Create an Instance of the Float-Float Component
- createFloatFloatComponent(JulianDate, String, String, double, double) - Method in class org.drip.market.otc.FloatFloatSwapConvention
-
Create an Instance of the Float-Float Component
- CreateFromDateDescription(String, String) - Static method in class org.drip.analytics.eventday.Static
-
Create a static holiday from the date string and the description
- CreateFromDateFactorSet(String, String, int, boolean, boolean, int, boolean, double, String, double) - Static method in class org.drip.product.params.EmbeddedOptionSchedule
-
Create the EOS from the dates/factors string arrays
- CreateFromDDMMMYYYY(String) - Static method in class org.drip.analytics.date.DateUtil
-
Create a JulianDate from a String containing the Date in the DDMMMYYYY Format
- CreateFromFlatYield(JulianDate, String, double, String, int) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
Create a Discount Curve from the Flat Yield
- CreateFromJSONMap(CaseInsensitiveTreeMap<String>, ScenarioMarketParams) - Static method in class org.drip.product.creator.BondProductBuilder
-
Create BondProductBuilder from the JSON Map and the input MPC
- CreateFromMDY(String, String) - Static method in class org.drip.analytics.date.DateUtil
-
Create a JulianDate from a String containing Date in the DDMMYYYY Format
- CreateFromResultSet(ResultSet, ScenarioMarketParams) - Static method in class org.drip.product.creator.BondProductBuilder
-
Create BondProductBuilder from the SQL ResultSet and the input MPC
- CreateFromResultSet(ResultSet) - Static method in class org.drip.product.creator.BondRefDataBuilder
-
Create BondRefDataBuilder object from java ResultSet SQL
- CreateFromYMD(int, int, int) - Static method in class org.drip.analytics.date.DateUtil
-
Create a JulianDate from the Year/Month/Date
- CreateFromYMD(String, String) - Static method in class org.drip.analytics.date.DateUtil
-
Create a JulianDate from a String containing Date in the YYYYMMDD Format
- CreateHarmonicMonotoneStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
-
Create the Harmonic Monotone Preserving Stretch.
- CreateHermiteSplineRegressor(String, String, int, int) - Static method in class org.drip.regression.spline.HermiteBasisSplineRegressor
-
Create an instance of Hermite BasisSplineRegressor
- CreateHuynhLeFlochLimiterStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
-
Create the Huynh Le Floch Limiter Stretch.
- CreateHyman83MonotoneStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
-
Create Hyman (1983) Monotone Preserving Stretch.
- CreateHyman89MonotoneStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
-
Create Hyman (1989) enhancement to the Hyman (1983) Monotone Preserving Stretch.
- CreateHyperbolicTensionSplineRegressor(String, String, double) - Static method in class org.drip.regression.spline.BasisSplineRegressor
-
Create an instance of Hyperbolic BasisSplineRegressor
- CreateKaklisPandelisSplineRegressor(String, String, int) - Static method in class org.drip.regression.spline.BasisSplineRegressor
-
Create an instance of the Kaklis-Pandelis BasisSplineRegressor
- CreateKrugerStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
-
Create the Kruger Stretch.
- CreateMarketParams() - Static method in class org.drip.param.creator.MarketParamsBuilder
-
Create MarketParams from the array of calibration instruments
- CreateMonotoneConvexStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
-
Generate the local control C1 Slope using the Hagan-West Monotone Convex Algorithm.
- createObjectContainer() - Method in interface org.drip.json.parser.ContainerFactory
-
- CreatePolynomialSplineRegressor(String, String, int, int) - Static method in class org.drip.regression.spline.BasisSplineRegressor
-
Create an instance of Polynomial BasisSplineRegressor
- CreateProductQuote() - Static method in class org.drip.param.creator.QuoteBuilder
-
Constructor: Constructs an Empty Product Quote instance.
- CreateProductTickQuote() - Static method in class org.drip.param.creator.QuoteBuilder
-
Constructor: Constructs an Empty Product Tick Quote instance.
- CreateQuote(String, double, double) - Static method in class org.drip.param.creator.QuoteBuilder
-
Constructor: Constructs a Quote object from the quote value and the side string.
- CreateRegressionSplineEstimator(String, double[], SegmentCustomBuilderControl[], StretchBestFitResponse, BoundarySettings, int) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Create a Regression Spline Instance over the specified array of Predictor Ordinate Knot Points and the
Set of the Points to be Best Fit.
- CreateSAPC(JulianDate, String, double, String) - Static method in class org.drip.product.creator.CDSBuilder
-
Create an Standard Asia Pacific CDS contract with full first stub
- CreateSegmentSet(double[], SegmentCustomBuilderControl[]) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Create an uncalibrated Stretch instance over the specified Predictor Ordinate Array using the
specified Basis Spline Parameters for the Segment.
- CreateSimpleFixed(String, String, String, double, int, String, JulianDate, JulianDate, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
-
Create a simple fixed bond from parameters
- CreateSimpleFixedF(String, String, String, double, int, String, JulianDate, JulianDate, int, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
-
Create a Fixed Coupon Bond from the First Coupon Date and the other Parameters
- CreateSimpleFixedFP(String, String, String, double, int, String, JulianDate, JulianDate, int, int, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
-
Create a Fixed Coupon Bond from the First and Penultimate Coupon Dates, and the other Parameters
- CreateSimpleFixedP(String, String, String, double, int, String, JulianDate, JulianDate, int, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
-
Create a Fixed Coupon Bond from the Penultimate Coupon Date and the other Parameters
- CreateSimpleFloater(String, String, String, String, double, int, String, JulianDate, JulianDate, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
-
Create a simple floating rate bond
- CreateSimpleFloaterF(String, String, String, String, double, int, String, JulianDate, JulianDate, int, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
-
Create a Floating Rate Bond from the First and Penultimate Coupon Dates, and the other Parameters
- CreateSimpleFloaterFP(String, String, String, String, double, int, String, JulianDate, JulianDate, int, int, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
-
Create a Floating Rate Bond from the First and Penultimate Coupon Dates, and the other Parameters
- CreateSimpleFloaterP(String, String, String, String, double, int, String, JulianDate, JulianDate, int, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
-
Create a Floating Rate Bond from the First and Penultimate Coupon Dates, and the other Parameters
- CreateSimpleOTCIRSFloater(String, String, String, String, double, int, String, JulianDate, JulianDate, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
-
Create a Simple OTF Fix Float Floating Rate Bond
- CreateSimpleOTCIRSFloaterF(String, String, String, String, double, int, String, JulianDate, JulianDate, int, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
-
Create a OTC Fix Float Index Floating Rate Bond from the First and Penultimate Coupon Dates, and the
other Parameters
- CreateSimpleOTCIRSFloaterFP(String, String, String, String, double, int, String, JulianDate, JulianDate, int, int, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
-
Create a OTC Fix Float Index Floating Rate Bond from the First and Penultimate Coupon Dates, and the
other Parameters
- CreateSimpleOTCIRSFloaterP(String, String, String, String, double, int, String, JulianDate, JulianDate, int, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, Array2D, Array2D) - Static method in class org.drip.product.creator.BondBuilder
-
Create a OTC Fix-Float Index Floating Rate Bond from the First and Penultimate Coupon Dates, and the
other Parameters
- CreateSNAC(JulianDate, String, double, String, String, String) - Static method in class org.drip.product.creator.CDSBuilder
-
Create an SNAC style CDS contract with full first stub
- CreateSNAC(JulianDate, String, double, String) - Static method in class org.drip.product.creator.CDSBuilder
-
Create an SNAC style CDS contract with full first stub
- CreateSTEM(JulianDate, String, double, String, String) - Static method in class org.drip.product.creator.CDSBuilder
-
Create an Standard Emerging Market CDS contract with full first stub
- CreateSTEU(JulianDate, String, double, String) - Static method in class org.drip.product.creator.CDSBuilder
-
Create an Standard EU CDS contract with full first stub
- createStream(JulianDate, String, double, double) - Method in class org.drip.market.otc.FixedStreamConvention
-
Create a Fixed Stream Instance
- createStream(JulianDate, String, double, double) - Method in class org.drip.market.otc.FloatStreamConvention
-
Create a Floating Stream Instance
- CreateUncalibratedStretchEstimator(String, double[], SegmentCustomBuilderControl[]) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
Create an uncalibrated Stretch instance over the specified Predictor Ordinate Array using the specified
Basis Spline Parameters for the Segment.
- CreateVanLeerLimiterStretch(String, double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int, boolean, boolean) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
-
Create the Van Leer Limiter Stretch.
- Credit(MergedDiscountForwardCurve, CreditCurve) - Static method in class org.drip.param.creator.MarketParamsBuilder
-
Create a Market Parameters Instance with the Funding Curve and the credit curve
- credit() - Method in interface org.drip.xva.hypothecation.CollateralGroupVertexExposureComponent
-
Retrieve the Credit Exposure of the Collateral Group
- credit() - Method in class org.drip.xva.vertex.AlbaneseAndersen
-
- credit() - Method in class org.drip.xva.vertex.BurgardKjaer
-
- credit() - Method in class org.drip.xva.vertex.BurgardKjaerExposure
-
- credit01UpCSQC() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the CSQC built out of the Credit Curve Flat Bumped 1 bp
- CREDIT_QUALITY_HIGH_YIELD - Static variable in class org.drip.simm.credit.CRSystemics
-
The "High Yield" Credit Quality
- CREDIT_QUALITY_HY - Static variable in class org.drip.simm.credit.CRSystemics
-
The "High Yield" Credit Quality
- CREDIT_QUALITY_IG - Static variable in class org.drip.simm.credit.CRSystemics
-
The "Investment Grade" Credit Quality
- CREDIT_QUALITY_INVESTMENT_GRADE - Static variable in class org.drip.simm.credit.CRSystemics
-
The "IG" Credit Quality
- CREDIT_QUALITY_NOT_RATED - Static variable in class org.drip.simm.credit.CRSystemics
-
The "Not Rated" Credit Quality
- CREDIT_QUALITY_NR - Static variable in class org.drip.simm.credit.CRSystemics
-
The "Not Rated" Credit Quality
- CREDIT_QUALITY_UNSPECIFIED - Static variable in class org.drip.simm.credit.CRSystemics
-
The "Unspecified" Credit Quality
- CREDIT_TWEAK_NODE_MEASURE_HAZARD - Static variable in class org.drip.param.definition.CreditManifestMeasureTweak
-
Tweak Measure Type of Hazard
- CREDIT_TWEAK_NODE_MEASURE_QUOTE - Static variable in class org.drip.param.definition.CreditManifestMeasureTweak
-
Tweak Measure Type of Quote
- CREDIT_TWEAK_NODE_PARAM_QUOTE - Static variable in class org.drip.param.definition.CreditManifestMeasureTweak
-
Tweak Parameter Type of Quote
- CREDIT_TWEAK_NODE_PARAM_RECOVERY - Static variable in class org.drip.param.definition.CreditManifestMeasureTweak
-
Tweak Parameter Type of Recovery
- creditAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
-
- creditAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
-
- creditAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
-
Compute Path Credit Adjustment
- creditAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Compute Path Credit Adjustment
- creditAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenNettingGroupPath
-
- CreditAnalyticsRegressionEngine - Class in org.drip.regression.curve
-
CreditAnalyticsRegressionEngine implements the RegressionEngine for the curve regression.
- CreditAnalyticsRegressionEngine(int, int) - Constructor for class org.drip.regression.curve.CreditAnalyticsRegressionEngine
-
Initialize the Credit Analytics Regression Engine
- creditBaseCSQC() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the CSQC built out of the Base Credit Curve
- creditBasis() - Method in class org.drip.analytics.output.BondRVMeasures
-
Retrieve the Credit Basis
- creditBasisFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from ASW to Work-out
- creditBasisFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from ASW to Maturity
- creditBasisFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from ASW to Optimal Exercise
- creditBasisFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Bond Basis to Work-out
- creditBasisFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Bond Basis to Maturity
- creditBasisFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Bond Basis to Optimal Exercise
- creditBasisFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Discount Margin to Work-out
- creditBasisFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Discount Margin to Maturity
- creditBasisFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Discount Margin to Optimal Exercise
- creditBasisFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from E Spread to Work-out
- creditBasisFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from E Spread to Maturity
- creditBasisFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from E Spread to Optimal Exercise
- creditBasisFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from G Spread to Work-out
- creditBasisFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from G Spread to Maturity
- creditBasisFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from G Spread to Optimal Exercise
- creditBasisFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from I Spread to Work-out
- creditBasisFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from I Spread to Maturity
- creditBasisFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from I Spread to Optimal Exercise
- creditBasisFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from J Spread to Work-out
- creditBasisFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from J Spread to Maturity
- creditBasisFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from J Spread to Optimal Exercise
- creditBasisFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from N Spread to Work-out
- creditBasisFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from N Spread to Maturity
- creditBasisFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from N Spread to Optimal Exercise
- creditBasisFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from OAS to Work-out
- creditBasisFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from OAS to Maturity
- creditBasisFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from OAS to Optimal Exercise
- creditBasisFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from PECS to Work-out
- creditBasisFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from PECS to Maturity
- creditBasisFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from PECS to Optimal Exercise
- creditBasisFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Price to Work-out
- creditBasisFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Price to Maturity
- creditBasisFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Price to Optimal Exercise
- creditBasisFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from TSY Spread to Work-out
- creditBasisFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from TSY Spread to Maturity
- creditBasisFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from TSY Spread to Optimal Exercise
- creditBasisFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Yield to Work-out
- creditBasisFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Yield to Maturity
- creditBasisFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Yield Spread to Work-out
- creditBasisFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Yield Spread to Maturity
- creditBasisFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Yield Spread to Optimal Exercise
- creditBasisFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Yield to Optimal Exercise
- creditBasisFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Z Spread to Work-out
- creditBasisFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Z Spread to Maturity
- creditBasisFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- creditBasisFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Credit Basis from Z Spread to Optimal Exercise
- CreditCDSIndexMarksReconstitutor - Class in org.drip.feed.transformer
-
CreditCDSIndexMarksReconstitutor transforms the Credit CDS Index Closes - Feed Inputs into Formats
suitable for Valuation Metrics and Sensitivities Generation.
- CreditCDSIndexMarksReconstitutor() - Constructor for class org.drip.feed.transformer.CreditCDSIndexMarksReconstitutor
-
- CreditComponent - Class in org.drip.product.definition
-
CreditComponent is the base abstract class on top of which all credit components are implemented.
- CreditComponent() - Constructor for class org.drip.product.definition.CreditComponent
-
- creditCreditCorrelation(EntityCDSLabel, EntityCDSLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Pair of Credit Latent States
- CreditCurve(JulianDate, String, String[], double[], double[], String, MergedDiscountForwardCurve) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Credit Curve from Overnight Exchange/OTC Market Instruments
- CreditCurve(JulianDate, CreditDefaultSwap[], double[], String, MergedDiscountForwardCurve) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Credit Curve from the specified Calibration CDS Instruments
- CreditCurve - Class in org.drip.state.credit
-
CreditCurve is the stub for the survival curve functionality.
- CreditCurve(int, EntityCDSLabel, String) - Constructor for class org.drip.state.credit.CreditCurve
-
- CreditCurve(ValuationParams, Component, double, String, boolean, int, ExplicitBootCreditCurve, MergedDiscountForwardCurve, GovvieCurve, CreditPricerParams, LatentStateFixingsContainer, ValuationCustomizationParams, CalibrationParams) - Static method in class org.drip.state.nonlinear.NonlinearCurveBuilder
-
Calibrate a single Hazard Rate Node from the corresponding Component
- CreditCurveAPI - Class in org.drip.service.state
-
CreditCurveAPI computes the Metrics associated the Credit Curve State.
- CreditCurveAPI() - Constructor for class org.drip.service.state.CreditCurveAPI
-
- CreditCurveMetrics - Class in org.drip.historical.state
-
CreditCurveMetrics holds the computed Metrics associated the Credit Curve State.
- CreditCurveMetrics(JulianDate) - Constructor for class org.drip.historical.state.CreditCurveMetrics
-
CreditCurveMetrics Constructor
- creditCurveName() - Method in class org.drip.product.params.CreditSetting
-
Retrieve the Credit Curve Name
- CreditCurveRegressor - Class in org.drip.regression.curve
-
CreditCurveRegressor implements the regression set analysis for the Credit Curve.
- CreditCurveRegressor() - Constructor for class org.drip.regression.curve.CreditCurveRegressor
-
Do Nothing CreditCurveRegressor constructor.
- CreditCurveScenario - Class in org.drip.state.boot
-
CreditCurveScenario uses the hazard rate calibration instruments along with the component calibrator to
produce scenario hazard rate curves.
- CreditCurveScenario() - Constructor for class org.drip.state.boot.CreditCurveScenario
-
- CreditCurveScenarioContainer - Class in org.drip.param.market
-
CreditCurveScenarioContainer contains the place holder for the bump parameters and the curves for the
different credit curve scenarios.
- CreditCurveScenarioContainer(CalibratableComponent[], double, double) - Constructor for class org.drip.param.market.CreditCurveScenarioContainer
-
Construct CreditCurveScenarioContainer from the array of calibration instruments, the coupon bump
parameter, and the recovery bump parameter
- creditCustomMetricCorrelation(EntityCDSLabel, CustomLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Credit and the Custom Metric Latent States
- CreditDebtGroup - Class in org.drip.xva.topology
-
CreditDebtGroup represents an Aggregation of Collateral Groups with a common Credit Debt Specification.
- CreditDebtGroup(String, String, CreditDebtGroupSpecification) - Constructor for class org.drip.xva.topology.CreditDebtGroup
-
CreditDebtGroup Constructor
- creditDebtGroup(String) - Method in class org.drip.xva.topology.FundingGroup
-
Retrieve the CreditDebtGroup
- creditDebtGroupMap() - Method in class org.drip.xva.topology.FundingGroup
-
Retrieve the Credit Debt Group Map
- CreditDebtGroupPath - Class in org.drip.xva.netting
-
CreditDebtGroupPath rolls up the Path Realizations of the Sequence in a Single Path Projection Run over
Multiple Collateral Hypothecation Groups onto a Single Credit/Debt Netting Group - the Purpose being to
calculate Credit Valuation Adjustments.
- CreditDebtGroupPath(CollateralGroupPath[], MarketPath) - Constructor for class org.drip.xva.netting.CreditDebtGroupPath
-
- creditDebtGroupPathArray() - Method in class org.drip.xva.netting.FundingGroupPath
-
Retrieve the Array of CreditDebtGroupPath
- CreditDebtGroupSpecification - Class in org.drip.xva.proto
-
CreditDebtGroupSpecification contains the Specification of a Credit/Debt Netting Group.
- CreditDebtGroupSpecification(String, String, EntityHazardLabel, EntityHazardLabel, EntityRecoveryLabel, EntityRecoveryLabel, EntityRecoveryLabel, boolean, boolean) - Constructor for class org.drip.xva.proto.CreditDebtGroupSpecification
-
CreditDebtGroupSpecification Constructor
- creditDebtGroupSpecification() - Method in class org.drip.xva.proto.PositionSchemaSpecification
-
Retrieve the Credit Debt Group Specification
- creditDebtGroupSpecification() - Method in class org.drip.xva.topology.CreditDebtGroup
-
Retrieve the Credit Debt Group Specification
- creditDebtGroupTrajectoryPaths() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
-
Retrieve the Array of Credit/Debt Netting Group Trajectory Paths
- creditDebtSegmentPaths() - Method in class org.drip.exposure.holdings.PositionGroupContainer
-
Retrieve the Array of Position Groups Collected into Credit Debt Group Collateral Vertex Paths
- creditDebtSegments() - Method in class org.drip.exposure.holdings.PositionGroupContainer
-
Retrieve the Position Groups Sorted into Credit Debt Group Segments
- CreditDefaultSwap - Class in org.drip.product.definition
-
CreditDefaultSwap is the base abstract class implements the pricing, the valuation, and the RV analytics
functionality for the CDS product.
- CreditDefaultSwap() - Constructor for class org.drip.product.definition.CreditDefaultSwap
-
- CreditDefaultSwapClient - Class in org.drip.sample.service
-
CreditDefaultSwapClient demonstrates the Invocation and Examination of the JSON-based CDS Service Client.
- CreditDefaultSwapClient() - Constructor for class org.drip.sample.service.CreditDefaultSwapClient
-
- CreditDefaultSwapIndex - Class in org.drip.sample.securitysuite
-
CreditDefaultSwapIndex demonstrates the Analytics Calculation/Reconciliation for a CDX.
- CreditDefaultSwapIndex() - Constructor for class org.drip.sample.securitysuite.CreditDefaultSwapIndex
-
- CreditDefaultSwapProcessor - Class in org.drip.service.json
-
CreditDefaultSwapProcessor Sets Up and Executes a JSON Based In/Out Credit Default Swap Valuation
Processor.
- CreditDefaultSwapProcessor() - Constructor for class org.drip.service.json.CreditDefaultSwapProcessor
-
- CreditEntity - Class in org.drip.simm.product
-
CreditEntity holds the SIMM specific Details of a Credit Entity.
- CreditEntity(String, String, String) - Constructor for class org.drip.simm.product.CreditEntity
-
CreditEntity Constructor
- creditEquityCorrelation(EntityCDSLabel, EntityEquityLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Credit and the Equity Latent States
- creditFlatBump(BasketProduct, boolean) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Get the Map of credit Flat Bumped Curves for the given Basket Product
- creditFlatBump(BasketProduct, boolean) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- creditForward() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
Retrieve the Credit/Forward Convexity Adjustment
- creditForward() - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Retrieve the Credit/Forward Convexity Adjustment
- creditForwardCorrelation(EntityCDSLabel, ForwardLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Credit and the Forward Latent States
- creditFunding() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
Retrieve the Credit/Funding Convexity Adjustment
- creditFunding() - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Retrieve the Credit/Funding Convexity Adjustment
- creditFundingCorrelation(EntityCDSLabel, FundingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Credit and the Funding Latent States
- creditFX() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
Retrieve the Credit/FX Convexity Adjustment
- creditFX() - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Retrieve the Credit/FX Convexity Adjustment
- creditFXCorrelation(EntityCDSLabel, FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Credit and the FX Latent State Labels
- creditGovvieCorrelation(EntityCDSLabel, GovvieLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Credit and the Govvie Latent State Labels
- CreditIndexAPI - Class in org.drip.service.product
-
CreditIndexAPI contains the Functionality associated with the Horizon Analysis of the CDS Index.
- CreditIndexAPI() - Constructor for class org.drip.service.product.CreditIndexAPI
-
- CreditIndexConvention - Class in org.drip.market.otc
-
CreditIndexConvention contains the details of the Credit Index of an OTC Index CDS Contract.
- CreditIndexConvention(String, String, String, String, String, JulianDate, JulianDate, int, String, double, double, int) - Constructor for class org.drip.market.otc.CreditIndexConvention
-
CreditIndexConvention Constructor
- CreditIndexConventionContainer - Class in org.drip.market.otc
-
CreditIndexConventionContainer contains the Conventions of the Credit Index of an OTC Index CDS Contract.
- CreditIndexConventionContainer() - Constructor for class org.drip.market.otc.CreditIndexConventionContainer
-
- CreditIndexDefinitions - Class in org.drip.sample.credit
-
CreditIndexDefinitions displays the Definitions of the CDX NA IG OTC Index CDS Contracts.
- CreditIndexDefinitions() - Constructor for class org.drip.sample.credit.CreditIndexDefinitions
-
- creditLabel() - Method in class org.drip.analytics.cashflow.Bullet
-
Return the Credit Label
- creditLabel() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Return the Credit Label
- creditLabel() - Method in class org.drip.analytics.output.BulletMetrics
-
Retrieve the Credit Label
- creditLabel() - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Retrieve the Credit Label
- creditLabel() - Method in class org.drip.param.period.CompositePeriodSetting
-
Retrieve the Credit Label
- creditLabel() - Method in class org.drip.product.credit.BondComponent
-
- creditLabel() - Method in class org.drip.product.credit.CDSComponent
-
- creditLabel() - Method in interface org.drip.product.definition.BasketMarketParamRef
-
Get the Array of Credit Curve Latent State Identifier Labels
- creditLabel() - Method in class org.drip.product.definition.BasketProduct
-
- creditLabel() - Method in interface org.drip.product.definition.ComponentMarketParamRef
-
Get the Credit Curve Latent State Identifier Label
- creditLabel() - Method in class org.drip.product.fx.FXForwardComponent
-
- creditLabel() - Method in class org.drip.product.govvie.TreasuryFutures
-
- creditLabel() - Method in class org.drip.product.option.OptionComponent
-
- creditLabel() - Method in class org.drip.product.rates.FixFloatComponent
-
- creditLabel() - Method in class org.drip.product.rates.FloatFloatComponent
-
- creditLabel() - Method in class org.drip.product.rates.RatesBasket
-
- creditLabel() - Method in class org.drip.product.rates.SingleStreamComponent
-
- creditLabel() - Method in class org.drip.product.rates.Stream
-
Retrieve the Credit Label
- CreditManifestMeasureTweak - Class in org.drip.param.definition
-
CreditManifestMeasureTweak contains the place holder for the credit curve scenario tweak parameters: in
addition to the ResponseValueTweakParams fields, this exposes the calibration manifest measure, the curve
node, and the nodal calibration type (entire curve/flat or a given tenor point).
- CreditManifestMeasureTweak(String, String, int, boolean, double, boolean) - Constructor for class org.drip.param.definition.CreditManifestMeasureTweak
-
CreditManifestMeasureTweak constructor
- creditMetricsFromMarketPrice() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Flag that indicates the Generation the Credit Metrics from the Market Price
- creditMultiplicativeScale() - Method in class org.drip.simm.estimator.AdditionalInitialMargin
-
Retrieve the Credit Multiplicative Scale
- CreditNonQualifying_FX() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Credit Non Qualifying and FX Risk Classes
- CreditNonQualifying_FX() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Credit Non Qualifying and FX Risk Classes
- CreditNonQualifyingBucketCurvatureMargin20 - Class in org.drip.sample.simmcrnq
-
CreditNonQualifyingBucketCurvatureMargin20 illustrates the Computation of the SIMM 2.0 CR Curvature Margin
for a Bucket's Non-Qualifying Credit Exposure Sensitivities.
- CreditNonQualifyingBucketCurvatureMargin20() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingBucketCurvatureMargin20
-
- CreditNonQualifyingBucketCurvatureMargin21 - Class in org.drip.sample.simmcrnq
-
CreditNonQualifyingBucketCurvatureMargin21 illustrates the Computation of the SIMM 2.1 CR Curvature Margin
for a Bucket's Non-Qualifying Credit Exposure Sensitivities.
- CreditNonQualifyingBucketCurvatureMargin21() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingBucketCurvatureMargin21
-
- CreditNonQualifyingBucketCurvatureMarginFlow20 - Class in org.drip.sample.simmcrnq
-
CreditNonQualifyingBucketCurvatureMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0
Curvature Non-Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
- CreditNonQualifyingBucketCurvatureMarginFlow20() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingBucketCurvatureMarginFlow20
-
- CreditNonQualifyingBucketCurvatureMarginFlow21 - Class in org.drip.sample.simmcrnq
-
CreditNonQualifyingBucketCurvatureMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1
Curvature Non-Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
- CreditNonQualifyingBucketCurvatureMarginFlow21() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingBucketCurvatureMarginFlow21
-
- CreditNonQualifyingBucketDeltaMargin20 - Class in org.drip.sample.simmcrnq
-
CreditNonQualifyingBucketDeltaMargin20 illustrates the Computation of the SIMM 2.0 CR Delta Margin for a
Bucket's Credit Exposure Sensitivities.
- CreditNonQualifyingBucketDeltaMargin20() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingBucketDeltaMargin20
-
- CreditNonQualifyingBucketDeltaMargin21 - Class in org.drip.sample.simmcrnq
-
CreditNonQualifyingBucketDeltaMargin21 illustrates the Computation of the SIMM 2.1 CR Delta Margin for a
Bucket's Credit Exposure Sensitivities.
- CreditNonQualifyingBucketDeltaMargin21() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingBucketDeltaMargin21
-
- CreditNonQualifyingBucketDeltaMarginFlow20 - Class in org.drip.sample.simmcrnq
-
CreditNonQualifyingBucketDeltaMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0 Credit
Non-Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
- CreditNonQualifyingBucketDeltaMarginFlow20() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingBucketDeltaMarginFlow20
-
- CreditNonQualifyingBucketDeltaMarginFlow21 - Class in org.drip.sample.simmcrnq
-
CreditNonQualifyingBucketDeltaMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1 Credit
Non-Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
- CreditNonQualifyingBucketDeltaMarginFlow21() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingBucketDeltaMarginFlow21
-
- CreditNonQualifyingBucketVegaMargin20 - Class in org.drip.sample.simmcrnq
-
CreditNonQualifyingBucketVegaMargin20 illustrates the Computation of the SIMM 2.0 CR Vega Margin for a
Bucket's Non-Qualifying Credit Exposure Sensitivities.
- CreditNonQualifyingBucketVegaMargin20() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingBucketVegaMargin20
-
- CreditNonQualifyingBucketVegaMargin21 - Class in org.drip.sample.simmcrnq
-
CreditNonQualifyingBucketVegaMargin21 illustrates the Computation of the SIMM 2.1 CR Vega Margin for a
Bucket's Non-Qualifying Credit Exposure Sensitivities.
- CreditNonQualifyingBucketVegaMargin21() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingBucketVegaMargin21
-
- CreditNonQualifyingBucketVegaMarginFlow20 - Class in org.drip.sample.simmcrnq
-
CreditNonQualifyingBucketVegaMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0 Credit
Non-Qualifying Vega Margin for a single CR Bucket's Exposure Sensitivities.
- CreditNonQualifyingBucketVegaMarginFlow20() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingBucketVegaMarginFlow20
-
- CreditNonQualifyingBucketVegaMarginFlow21 - Class in org.drip.sample.simmcrnq
-
CreditNonQualifyingBucketVegaMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1 Credit
Non-Qualifying Vega Margin for a single CR Bucket's Exposure Sensitivities.
- CreditNonQualifyingBucketVegaMarginFlow21() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingBucketVegaMarginFlow21
-
- CreditNonQualifyingClassMargin20 - Class in org.drip.sample.simmcrnq
-
CreditNonQualifyingClassMargin20 illustrates the Computation of the SIMM 2.0 CR Class Margin for a
Bucket's Non-Qualifying Credit Exposure Sensitivities.
- CreditNonQualifyingClassMargin20() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingClassMargin20
-
- CreditNonQualifyingClassMargin21 - Class in org.drip.sample.simmcrnq
-
CreditNonQualifyingClassMargin21 illustrates the Computation of the SIMM 2.1 CR Class Margin for a
Bucket's Non-Qualifying Credit Exposure Sensitivities.
- CreditNonQualifyingClassMargin21() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingClassMargin21
-
- CreditNonQualifyingCurvatureMargin20 - Class in org.drip.sample.simmcrnq
-
CreditNonQualifyingCurvatureMargin20 illustrates the Computation of the CR SIMM 2.0 Curvature Margin for a
Bucket of Non-Qualifying Credit Exposure Sensitivities.
- CreditNonQualifyingCurvatureMargin20() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingCurvatureMargin20
-
- CreditNonQualifyingCurvatureMargin21 - Class in org.drip.sample.simmcrnq
-
CreditNonQualifyingCurvatureMargin21 illustrates the Computation of the CR SIMM 2.1 Curvature Margin for a
Bucket of Non-Qualifying Credit Exposure Sensitivities.
- CreditNonQualifyingCurvatureMargin21() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingCurvatureMargin21
-
- CreditNonQualifyingDeltaMargin20 - Class in org.drip.sample.simmcrnq
-
CreditNonQualifyingDeltaMargin20 illustrates the Computation of the CR SIMM 2.0 Delta Margin for a Bucket
of Non-Qualifying Credit Exposure Sensitivities.
- CreditNonQualifyingDeltaMargin20() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingDeltaMargin20
-
- CreditNonQualifyingDeltaMargin21 - Class in org.drip.sample.simmcrnq
-
CreditNonQualifyingDeltaMargin21 illustrates the Computation of the CR SIMM 2.1 Delta Margin for a Bucket
of Non-Qualifying Credit Exposure Sensitivities.
- CreditNonQualifyingDeltaMargin21() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingDeltaMargin21
-
- CreditNonQualifyingParameters20 - Class in org.drip.sample.simmsettings
-
CreditNonQualifyingParameters20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Single/Cross
Currency Credit Non-Qualifying Bucket Risk Weights, Systemics, and Correlations.
- CreditNonQualifyingParameters20() - Constructor for class org.drip.sample.simmsettings.CreditNonQualifyingParameters20
-
- CreditNonQualifyingParameters21 - Class in org.drip.sample.simmsettings
-
CreditNonQualifyingParameters21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Single/Cross
Currency Credit Non-Qualifying Bucket Risk Weights, Systemics, and Correlations.
- CreditNonQualifyingParameters21() - Constructor for class org.drip.sample.simmsettings.CreditNonQualifyingParameters21
-
- creditNonQualifyingRiskClassAggregate() - Method in class org.drip.simm.estimator.ProductClassMargin
-
Retrieve the Credit Non-Qualifying Risk Class Aggregate
- creditNonQualifyingRiskClassSensitivity() - Method in class org.drip.simm.estimator.ProductClassSensitivity
-
Retrieve the Credit Non-Qualifying Risk Class Sensitivity
- creditNonQualifyingRiskClassSensitivitySettings() - Method in class org.drip.simm.estimator.ProductClassSettings
-
Retrieve the Credit Non-Qualifying Risk Class Sensitivity Settings
- CreditNonQualifyingVegaMargin20 - Class in org.drip.sample.simmcrnq
-
CreditNonQualifyingVegaMargin20 illustrates the Computation of the CR SIMM 2.0 Vega Margin for a Bucket of
Non-Qualifying Credit Exposure Sensitivities.
- CreditNonQualifyingVegaMargin20() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingVegaMargin20
-
- CreditNonQualifyingVegaMargin21 - Class in org.drip.sample.simmcrnq
-
CreditNonQualifyingVegaMargin21 illustrates the Computation of the CR SIMM 2.1 Vega Margin for a Bucket of
Non-Qualifying Credit Exposure Sensitivities.
- CreditNonQualifyingVegaMargin21() - Constructor for class org.drip.sample.simmcrnq.CreditNonQualifyingVegaMargin21
-
- creditOvernightCorrelation(EntityCDSLabel, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Credit and the Overnight Latent States
- creditPaydownCorrelation(EntityCDSLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Credit and the Pay-down Latent State Labels
- CreditPricerParams - Class in org.drip.param.pricer
-
CreditPricerParams contains the Credit Pricer Parameters - the discrete unit size, calibration mode
on/off, survival to pay/end date, and the discretization scheme
- CreditPricerParams(int, CalibrationParams, boolean, int) - Constructor for class org.drip.param.pricer.CreditPricerParams
-
Create the pricer parameters from the discrete unit size, calibration mode on/off, survival to
pay/end date, and the discretization scheme
- CreditQualifyingBucketCurvatureMargin20 - Class in org.drip.sample.simmcrq
-
CreditQualifyingBucketCurvatureMargin20 illustrates the Computation of the SIMM 2.0 CR Curvature Margin
for a Bucket's Credit Exposure Sensitivities.
- CreditQualifyingBucketCurvatureMargin20() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingBucketCurvatureMargin20
-
- CreditQualifyingBucketCurvatureMargin21 - Class in org.drip.sample.simmcrq
-
CreditQualifyingBucketCurvatureMargin21 illustrates the Computation of the SIMM 2.1 CR Curvature Margin
for a Bucket's Credit Exposure Sensitivities.
- CreditQualifyingBucketCurvatureMargin21() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingBucketCurvatureMargin21
-
- CreditQualifyingBucketCurvatureMarginFlow20 - Class in org.drip.sample.simmcrq
-
CreditQualifyingBucketCurvatureMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0
Curvature Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
- CreditQualifyingBucketCurvatureMarginFlow20() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingBucketCurvatureMarginFlow20
-
- CreditQualifyingBucketCurvatureMarginFlow21 - Class in org.drip.sample.simmcrq
-
CreditQualifyingBucketCurvatureMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1
Curvature Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
- CreditQualifyingBucketCurvatureMarginFlow21() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingBucketCurvatureMarginFlow21
-
- CreditQualifyingBucketDeltaMargin20 - Class in org.drip.sample.simmcrq
-
CreditQualifyingBucketDeltaMargin20 illustrates the Computation of the SIMM 2.0 CR Delta Margin for a
Bucket's Credit Exposure Sensitivities.
- CreditQualifyingBucketDeltaMargin20() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingBucketDeltaMargin20
-
- CreditQualifyingBucketDeltaMargin21 - Class in org.drip.sample.simmcrq
-
CreditQualifyingBucketDeltaMargin21 illustrates the Computation of the SIMM 2.1 CR Delta Margin for a
Bucket's Credit Exposure Sensitivities.
- CreditQualifyingBucketDeltaMargin21() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingBucketDeltaMargin21
-
- CreditQualifyingBucketDeltaMarginFlow20 - Class in org.drip.sample.simmcrq
-
CreditQualifyingBucketDeltaMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0 Credit
Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
- CreditQualifyingBucketDeltaMarginFlow20() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingBucketDeltaMarginFlow20
-
- CreditQualifyingBucketDeltaMarginFlow21 - Class in org.drip.sample.simmcrq
-
CreditQualifyingBucketDeltaMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1 Credit
Qualifying Delta Margin for a single CR Bucket's Exposure Sensitivities.
- CreditQualifyingBucketDeltaMarginFlow21() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingBucketDeltaMarginFlow21
-
- CreditQualifyingBucketVegaMargin20 - Class in org.drip.sample.simmcrq
-
CreditQualifyingBucketVegaMargin20 illustrates the Computation of the SIMM 2.0 CR Vega Margin for a
Bucket's Credit Exposure Sensitivities.
- CreditQualifyingBucketVegaMargin20() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingBucketVegaMargin20
-
- CreditQualifyingBucketVegaMargin21 - Class in org.drip.sample.simmcrq
-
CreditQualifyingBucketVegaMargin21 illustrates the Computation of the SIMM 2.1 CR Vega Margin for a
Bucket's Credit Exposure Sensitivities.
- CreditQualifyingBucketVegaMargin21() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingBucketVegaMargin21
-
- CreditQualifyingBucketVegaMarginFlow20 - Class in org.drip.sample.simmcrq
-
CreditQualifyingBucketVegaMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0 Credit
Qualifying Vega Margin for a single CR Bucket's Exposure Sensitivities.
- CreditQualifyingBucketVegaMarginFlow20() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingBucketVegaMarginFlow20
-
- CreditQualifyingBucketVegaMarginFlow21 - Class in org.drip.sample.simmcrq
-
CreditQualifyingBucketVegaMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1 Credit
Qualifying Vega Margin for a single CR Bucket's Exposure Sensitivities.
- CreditQualifyingBucketVegaMarginFlow21() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingBucketVegaMarginFlow21
-
- CreditQualifyingClassMargin20 - Class in org.drip.sample.simmcrq
-
CreditQualifyingClassMargin20 illustrates the Computation of the SIMM 2.0 CR Class Margin for a Bucket's
Credit Exposure Sensitivities.
- CreditQualifyingClassMargin20() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingClassMargin20
-
- CreditQualifyingClassMargin21 - Class in org.drip.sample.simmcrq
-
CreditQualifyingClassMargin21 illustrates the Computation of the SIMM 2.1 CR Class Margin for a Bucket's
Credit Exposure Sensitivities.
- CreditQualifyingClassMargin21() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingClassMargin21
-
- CreditQualifyingCurvatureMargin20 - Class in org.drip.sample.simmcrq
-
CreditQualifyingCurvatureMargin20 illustrates the Computation of the CR SIMM 2.0 Curvature Margin for a
Bucket of Credit Exposure Sensitivities.
- CreditQualifyingCurvatureMargin20() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingCurvatureMargin20
-
- CreditQualifyingCurvatureMargin21 - Class in org.drip.sample.simmcrq
-
CreditQualifyingCurvatureMargin21 illustrates the Computation of the CR SIMM 2.1 Curvature Margin for a
Bucket of Credit Exposure Sensitivities.
- CreditQualifyingCurvatureMargin21() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingCurvatureMargin21
-
- CreditQualifyingDeltaMargin20 - Class in org.drip.sample.simmcrq
-
CreditQualifyingDeltaMargin20 illustrates the Computation of the CR SIMM 2.0 Delta Margin for a Bucket of
Credit Exposure Sensitivities.
- CreditQualifyingDeltaMargin20() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingDeltaMargin20
-
- CreditQualifyingDeltaMargin21 - Class in org.drip.sample.simmcrq
-
CreditQualifyingDeltaMargin21 illustrates the Computation of the CR SIMM 2.1 Delta Margin for a Bucket of
Credit Exposure Sensitivities.
- CreditQualifyingDeltaMargin21() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingDeltaMargin21
-
- CreditQualifyingParameters20 - Class in org.drip.sample.simmsettings
-
CreditQualifyingParameters20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Single/Cross
Currency Credit Qualifying Bucket Risk Weights, Systemics, and Correlations.
- CreditQualifyingParameters20() - Constructor for class org.drip.sample.simmsettings.CreditQualifyingParameters20
-
- CreditQualifyingParameters21 - Class in org.drip.sample.simmsettings
-
CreditQualifyingParameters21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Single/Cross
Currency Credit Qualifying Bucket Risk Weights, Systemics, and Correlations.
- CreditQualifyingParameters21() - Constructor for class org.drip.sample.simmsettings.CreditQualifyingParameters21
-
- creditQualifyingRiskClassAggregate() - Method in class org.drip.simm.estimator.ProductClassMargin
-
Retrieve the Credit Qualifying Risk Class Aggregate
- creditQualifyingRiskClassSensitivity() - Method in class org.drip.simm.estimator.ProductClassSensitivity
-
Retrieve the Credit Qualifying Risk Class Sensitivity
- creditQualifyingRiskClassSensitivitySettings() - Method in class org.drip.simm.estimator.ProductClassSettings
-
Retrieve the Credit Qualifying Risk Class Sensitivity Settings
- CreditQualifyingVegaMargin20 - Class in org.drip.sample.simmcrq
-
CreditQualifyingVegaMargin20 illustrates the Computation of the CR SIMM 2.0 Vega Margin for a Bucket of
Credit Exposure Sensitivities.
- CreditQualifyingVegaMargin20() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingVegaMargin20
-
- CreditQualifyingVegaMargin21 - Class in org.drip.sample.simmcrq
-
CreditQualifyingVegaMargin21 illustrates the Computation of the CR SIMM 2.1 Vega Margin for a Bucket of
Credit Exposure Sensitivities.
- CreditQualifyingVegaMargin21() - Constructor for class org.drip.sample.simmcrq.CreditQualifyingVegaMargin21
-
- creditQuote() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Array of CDS Quotes
- creditRatingCorrelation(EntityCDSLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Credit and the Rating Latent State Labels
- creditRecoveryCorrelation(EntityCDSLabel, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Credit and the Recovery Latent State Labels
- creditRepoCorrelation(EntityCDSLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Credit and the Repo Latent State Labels
- CreditRiskConcentrationThreshold20 - Class in org.drip.sample.simmsettings
-
CreditRiskConcentrationThreshold20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Credit Risk
Concentration Thresholds.
- CreditRiskConcentrationThreshold20() - Constructor for class org.drip.sample.simmsettings.CreditRiskConcentrationThreshold20
-
- CreditRiskConcentrationThreshold21 - Class in org.drip.sample.simmsettings
-
CreditRiskConcentrationThreshold21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Credit Risk
Concentration Thresholds.
- CreditRiskConcentrationThreshold21() - Constructor for class org.drip.sample.simmsettings.CreditRiskConcentrationThreshold21
-
- creditRisklessCleanbcm() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve the Credit Risk-less Clean Bond Coupon Measures
- creditRisklessDirtybcm() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve the Credit Risk-less Dirty Bond Coupon Measures
- creditRisklessParPV() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve the Credit Risk-less Par PV
- creditRisklessPrincipalPV() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve the Credit Risk-less Principal PV
- CreditRiskNonQualifyingThresholdMap() - Static method in class org.drip.simm.credit.CRThresholdContainer20
-
Retrieve the Credit Risk Non-Qualifying Threshold Map
- CreditRiskNonQualifyingThresholdMap() - Static method in class org.drip.simm.credit.CRThresholdContainer21
-
Retrieve the Credit Risk Non-Qualifying Threshold Map
- CreditRiskQualifyingThresholdMap() - Static method in class org.drip.simm.credit.CRThresholdContainer20
-
Retrieve the Credit Risk Qualifying Threshold Map
- CreditRiskQualifyingThresholdMap() - Static method in class org.drip.simm.credit.CRThresholdContainer21
-
Retrieve the Credit Risk Qualifying Threshold Map
- creditRiskyCleanbcm() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve the Credit Risky Clean Bond Coupon Measures
- creditRiskyDirtybcm() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve the Credit Risky Dirty Bond Coupon Measures
- creditRiskyParPV() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve the Credit Risky Par PV
- creditRiskyPrincipalPV() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve the Credit Risky Principal PV
- creditSetting() - Method in class org.drip.product.credit.BondComponent
-
- creditSetting() - Method in interface org.drip.product.definition.BondProduct
-
Retrieve the bond credit Setting
- CreditSetting - Class in org.drip.product.params
-
CreditSetting contains the credit related valuation parameters - use default pay lag, use curve or the
component recovery, component recovery, credit curve name, and whether there is accrual on default.
- CreditSetting(int, double, boolean, String, boolean) - Constructor for class org.drip.product.params.CreditSetting
-
Construct the CreditSetting from the default pay lag, use curve or the component recovery flag,
component recovery, credit curve name, and whether there is accrual on default
- creditState(EntityCDSLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Credit Latent State from the Label
- CreditStateClient - Class in org.drip.sample.service
-
CreditStateClient demonstrates the Invocation and Examination of the JSON-based Credit Service Client.
- CreditStateClient() - Constructor for class org.drip.sample.service.CreditStateClient
-
- creditTenor() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Array of CDS Instrument Maturity Tenors
- creditTenorBump(BasketProduct, boolean) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Get the double map of credit Tenor bumped curves for each credit curve for the given Basket Product
- creditTenorBump(BasketProduct, boolean) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- creditTenorCSQC() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Map of the Tenor Bumped Instances of the Credit Curve CSQC
- creditTenorMarketParams(Component, boolean) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Get the map of tenor credit bumped Market Parameters corresponding to the component
- creditTenorMarketParams(Component, boolean) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- creditValuationParams() - Method in class org.drip.product.credit.BondComponent
-
- creditValuationParams() - Method in class org.drip.product.credit.CDSComponent
-
- creditValuationParams() - Method in class org.drip.product.definition.CreditComponent
-
Get the credit component's Credit Valuation Parameters
- creditVolatility(EntityCDSLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Volatility Curve for the Credit Latent State
- criticalDrift() - Method in class org.drip.execution.cost.ConstrainedLinearTemporaryImpact
-
Retrieve the Critical Drift
- CRNQ - Static variable in class org.drip.simm.common.Chargram
-
The Credit Non-Qualifying Quatro-gram CRNQ
- CRNQ_CT - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Correlation between Credit Non Qualifying and Commodity Risk Classes
- CRNQ_CT - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Correlation between Credit Non Qualifying and Commodity Risk Classes
- CRNQ_EQ - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Correlation between Credit Non Qualifying and Equity Risk Classes
- CRNQ_EQ - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Correlation between Credit Non Qualifying and Equity Risk Classes
- CRNQ_FX - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Correlation between Credit Non Qualifying and FX Risk Classes
- CRNQ_FX - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Correlation between Credit Non Qualifying and FX Risk Classes
- CRNQ_IR() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Interest Rate and Credit Non Qualifying Risk Classes
- CRNQ_IR() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Interest Rate and Credit Non Qualifying Risk Classes
- CRNQBucketCorrelation20 - Class in org.drip.simm.credit
-
CRNQBucketCorrelation20 contains the SIMM 2.0 between the Same/Different Issuer/Seniority and Different
Vertex/Currency for the Same Credit Non-Qualifying Buckets.
- CRNQBucketCorrelation20() - Constructor for class org.drip.simm.credit.CRNQBucketCorrelation20
-
- CRNQBucketCorrelation21 - Class in org.drip.simm.credit
-
CRNQBucketCorrelation21 contains the SIMM 2.1 between the Same/Different Issuer/Seniority and Different
Vertex/Currency for the Same Credit Non-Qualifying Buckets.
- CRNQBucketCorrelation21() - Constructor for class org.drip.simm.credit.CRNQBucketCorrelation21
-
- CRNQMarginComparison - Class in org.drip.sample.simmvariance
-
CRNQMarginComparison illustrates the Comparison of the Credit Non-Qualifying Margin Estimates using
different Schemes for Calculating the Position-Bucket Principal Component Co-variance.
- CRNQMarginComparison() - Constructor for class org.drip.sample.simmvariance.CRNQMarginComparison
-
- CRNQSettingsContainer20 - Class in org.drip.simm.credit
-
CRNQSettingsContainer20 holds the ISDA SIMM 2.0 Credit Non-Qualifying Buckets.
- CRNQSettingsContainer20() - Constructor for class org.drip.simm.credit.CRNQSettingsContainer20
-
- CRNQSettingsContainer21 - Class in org.drip.simm.credit
-
CRNQSettingsContainer21 holds the ISDA SIMM 2.1 Credit Non-Qualifying Buckets.
- CRNQSettingsContainer21() - Constructor for class org.drip.simm.credit.CRNQSettingsContainer21
-
- CRNQSystemics20 - Class in org.drip.simm.credit
-
CRNQSystemics20 contains the SIMM 2.0 Systemic Settings of the Credit Non-Qualifying Risk Factors.
- CRNQSystemics20() - Constructor for class org.drip.simm.credit.CRNQSystemics20
-
- CRNQSystemics21 - Class in org.drip.simm.credit
-
CRNQSystemics21 contains the SIMM 2.1 Systemic Settings of the Credit Non-Qualifying Risk Factors.
- CRNQSystemics21() - Constructor for class org.drip.simm.credit.CRNQSystemics21
-
- CROSS_CURRENCY_CORRELATION - Static variable in class org.drip.simm.rates.IRSystemics20
-
Cross Currency Curve Correlation
- CROSS_CURRENCY_CORRELATION - Static variable in class org.drip.simm.rates.IRSystemics21
-
Cross Currency Curve Correlation
- crossAssetAttribute(String, String) - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
-
Compute the Cross Asset Attribute
- CrossBucketCorrelation() - Static method in class org.drip.simm.commodity.CTSettingsContainer20
-
Retrieve the Cross Bucket Correlation
- CrossBucketCorrelation() - Static method in class org.drip.simm.commodity.CTSettingsContainer21
-
Retrieve the Cross Bucket Correlation
- CrossBucketCorrelation() - Static method in class org.drip.simm.credit.CRQSettingsContainer20
-
Retrieve the Cross Bucket Correlation
- CrossBucketCorrelation() - Static method in class org.drip.simm.credit.CRQSettingsContainer21
-
Retrieve the Cross Bucket Correlation
- CrossBucketCorrelation() - Static method in class org.drip.simm.equity.EQSettingsContainer20
-
Retrieve the Cross Bucket Correlation
- CrossBucketCorrelation() - Static method in class org.drip.simm.equity.EQSettingsContainer21
-
Retrieve the Cross Bucket Correlation
- crossBucketCorrelation() - Method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
-
Retrieve the Cross Bucket Correlation
- crossBucketCorrelation() - Method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
-
Retrieve the Cross Bucket Correlation
- crossBucketCorrelation() - Method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsIR
-
Retrieve the Cross Bucket Correlation
- CrossBucketPrincipalCovariance() - Static method in class org.drip.simm.commodity.CTSettingsContainer20
-
Retrieve the Cross Bucket Co-variance Matrix
- CrossBucketPrincipalCovariance() - Static method in class org.drip.simm.commodity.CTSettingsContainer21
-
Retrieve the Cross Bucket Co-variance Matrix
- CrossBucketPrincipalCovariance() - Static method in class org.drip.simm.equity.EQSettingsContainer20
-
Retrieve the Cross Bucket Co-variance Matrix
- CrossBucketPrincipalCovariance() - Static method in class org.drip.simm.equity.EQSettingsContainer21
-
Retrieve the Cross Bucket Co-variance Matrix
- crossCurveCorrelation() - Method in class org.drip.simm.parameters.BucketSensitivitySettingsIR
-
Retrieve the Cross Curve Correlation
- crossFactorAttribute(String, String) - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
-
Retrieve the Cross Factor Attribute Entry
- CrossFixedPlainFloat - Class in org.drip.sample.cross
-
CrossFixedPlainFloat demonstrates the construction, usage, and eventual valuation of a fix-float swap with
a EUR Fixed leg that pays in USD, and a USD Floating Leg.
- CrossFixedPlainFloat() - Constructor for class org.drip.sample.cross.CrossFixedPlainFloat
-
- CrossFixedPlainFloatAnalysis - Class in org.drip.sample.cross
-
CrossFixedPlainFloatAnalysis demonstrates the impact of Funding Volatility, Forward Volatility, and
Funding/Forward Correlation on the Valuation of a fix-float swap with a EUR Fixed leg that pays in USD,
and a USD Floating Leg.
- CrossFixedPlainFloatAnalysis() - Constructor for class org.drip.sample.cross.CrossFixedPlainFloatAnalysis
-
- CrossFloatConventionContainer - Class in org.drip.market.otc
-
CrossFloatConventionContainer contains the Conventions of Standard OTC Cross-Currency Float-Float Swaps.
- CrossFloatConventionContainer() - Constructor for class org.drip.market.otc.CrossFloatConventionContainer
-
- CrossFloatCrossFloat - Class in org.drip.sample.cross
-
CrossFloatCrossFloat demonstrates the construction, usage, and eventual valuation of the Mark-to-market
float-float swap with a 3M EUR Floater leg that pays in USD, and a 6M EUR Floater leg that pays in USD.
- CrossFloatCrossFloat() - Constructor for class org.drip.sample.cross.CrossFloatCrossFloat
-
- CrossFloatCrossFloatAnalysis - Class in org.drip.sample.cross
-
FloatFloatMTMVolAnalysis demonstrates the impact of Funding Volatility, Forward Volatility, and
Funding/Forward, Funding/FX, and Forward/FX Correlation for each of the FRI's on the Valuation of a
float-float swap with a 3M EUR Floater leg that pays in USD, and a 6M EUR Floater leg that pays in USD.
- CrossFloatCrossFloatAnalysis() - Constructor for class org.drip.sample.cross.CrossFloatCrossFloatAnalysis
-
- CrossFloatStreamConvention - Class in org.drip.market.otc
-
CrossFloatStreamConvention contains the Details of the Single Currency Floating Stream of an OTC Contact.
- CrossFloatStreamConvention(String, String, boolean) - Constructor for class org.drip.market.otc.CrossFloatStreamConvention
-
CrossFloatStreamConvention Constructor
- CrossFloatSwapConvention - Class in org.drip.market.otc
-
CrossFloatSwapConvention contains the Details of the Cross-Currency Floating Swap of an OTC contact.
- CrossFloatSwapConvention(CrossFloatStreamConvention, CrossFloatStreamConvention, int, boolean, int) - Constructor for class org.drip.market.otc.CrossFloatSwapConvention
-
CrossFloatSwapConvention Constructor
- CrossGroupPrincipalCovariance - Class in org.drip.sample.simmvariance
-
CrossGroupPrincipalCovariance demonstrates the Computation of the Cross Risk Group Principal Component
Co-variance using the Actual Risk Group Principal Component.
- CrossGroupPrincipalCovariance() - Constructor for class org.drip.sample.simmvariance.CrossGroupPrincipalCovariance
-
- CrossGroupPrincipalCovariance() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer20
-
Retrieve the Cross Risk Group Co-variance Matrix
- CrossGroupPrincipalCovariance() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer21
-
Retrieve the Cross Risk Group Co-variance Matrix
- crossHoldingsDerivative(double, double) - Method in class org.drip.execution.impact.TransactionFunction
-
Compute the Second Order Sensitivity to the Left/Right Holdings
- crossHorizonDifferentialMetrics(PositionMarketSnap, PositionMarketSnap) - Method in class org.drip.historical.engine.FixFloatExplainProcessor
-
- crossHorizonDifferentialMetrics(PositionMarketSnap, PositionMarketSnap) - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
-
Generate the Horizon Differential Metrics Map
- crossHorizonDifferentialMetrics(PositionMarketSnap, PositionMarketSnap) - Method in class org.drip.historical.engine.TreasuryBondExplainProcessor
-
- CrossOvernightFloatingStream - Class in org.drip.sample.ois
-
CrossOvernightStream demonstrates the construction, customization, and valuation of Cross-Currency
Overnight Floating Streams.
- CrossOvernightFloatingStream() - Constructor for class org.drip.sample.ois.CrossOvernightFloatingStream
-
- CrossProduct(double[], double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Compute the Cross Product between the Specified Vectors
- CrossRiskClassCorrelation20 - Class in org.drip.simm.common
-
CrossRiskClassCorrelation20 contains the SIMM 2.0 Correlation between the Different Risk Classes.
- CrossRiskClassCorrelation20() - Constructor for class org.drip.simm.common.CrossRiskClassCorrelation20
-
- CrossRiskClassCorrelation21 - Class in org.drip.simm.common
-
CrossRiskClassCorrelation21 contains the SIMM 2.1 Correlation between the Different Risk Classes.
- CrossRiskClassCorrelation21() - Constructor for class org.drip.simm.common.CrossRiskClassCorrelation21
-
- crossTenorCorrelation() - Method in class org.drip.simm.parameters.BucketSensitivitySettingsIR
-
Retrieve the Single Curve Cross Tenor Correlation
- crossVolatilityIntegralProduct(int, int, int) - Method in class org.drip.dynamics.lmm.LognormalLIBORVolatility
-
Multi-Factor Cross Volatility Integral
- CRQ - Static variable in class org.drip.simm.common.Chargram
-
The Credit Qualifying Trigram CRQ
- CRQ_CRNQ - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Correlation between Credit Qualifying and Credit Non-Qualifying Risk Classes
- CRQ_CRNQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Credit Qualifying and Credit Non-Qualifying Risk Classes
- CRQ_CRNQ - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Correlation between Credit Qualifying and Credit Non-Qualifying Risk Classes
- CRQ_CRNQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Credit Qualifying and Credit Non-Qualifying Risk Classes
- CRQ_CT - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Correlation between Credit Qualifying and Commodity Risk Classes
- CRQ_CT() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Credit Qualifying and Commodity Risk Classes
- CRQ_CT - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Correlation between Credit Qualifying and Commodity Risk Classes
- CRQ_CT() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Credit Qualifying and Commodity Risk Classes
- CRQ_EQ - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Correlation between Credit Qualifying and Equity Risk Classes
- CRQ_EQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Credit Qualifying and Equity Risk Classes
- CRQ_EQ - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Correlation between Credit Qualifying and Equity Risk Classes
- CRQ_EQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Credit Qualifying and Equity Risk Classes
- CRQ_FX - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Correlation between Credit Qualifying and FX Risk Classes
- CRQ_FX() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Credit Qualifying and FX Risk Classes
- CRQ_FX - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Correlation between Credit Qualifying and FX Risk Classes
- CRQ_FX() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Credit Qualifying and FX Risk Classes
- CRQ_IR() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Interest Rate and Credit Qualifying Risk Classes
- CRQ_IR() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Interest Rate and Credit Qualifying Risk Classes
- CRQBucketCorrelation20 - Class in org.drip.simm.credit
-
CRQBucketCorrelation20 contains the between the SIMM 2.0 Same/Different Issuer/Seniority and Different
Vertex/Currency for the Same Credit Qualifying Buckets.
- CRQBucketCorrelation20() - Constructor for class org.drip.simm.credit.CRQBucketCorrelation20
-
- CRQBucketCorrelation21 - Class in org.drip.simm.credit
-
CRQBucketCorrelation21 contains the between the SIMM 2.1 Same/Different Issuer/Seniority and Different
Vertex/Currency for the Same Credit Qualifying Buckets.
- CRQBucketCorrelation21() - Constructor for class org.drip.simm.credit.CRQBucketCorrelation21
-
- CRQMarginComparison - Class in org.drip.sample.simmvariance
-
CRQMarginComparison illustrates the Comparison of the Credit Qualifying Margin Estimates using difference
Schemes for Calculating the Position-Bucket Principal Component Co-variance.
- CRQMarginComparison() - Constructor for class org.drip.sample.simmvariance.CRQMarginComparison
-
- CRQSettingsContainer20 - Class in org.drip.simm.credit
-
CRQSettingsContainer20 holds the ISDA SIMM 2.0 Credit Qualifying Buckets.
- CRQSettingsContainer20() - Constructor for class org.drip.simm.credit.CRQSettingsContainer20
-
- CRQSettingsContainer21 - Class in org.drip.simm.credit
-
CRQSettingsContainer21 holds the ISDA SIMM 2.1 Credit Qualifying Buckets.
- CRQSettingsContainer21() - Constructor for class org.drip.simm.credit.CRQSettingsContainer21
-
- CRQSystemics20 - Class in org.drip.simm.credit
-
CRQSystemics20 contains the SIMM 2.0 Systemic Settings of the Credit Qualifying Risk Factors.
- CRQSystemics20() - Constructor for class org.drip.simm.credit.CRQSystemics20
-
- CRQSystemics21 - Class in org.drip.simm.credit
-
CRQSystemics21 contains the SIMM 2.1 Systemic Settings of the Credit Qualifying Risk Factors.
- CRQSystemics21() - Constructor for class org.drip.simm.credit.CRQSystemics21
-
- CRSystemics - Class in org.drip.simm.credit
-
CRSystemics contains the Systemic Settings Common to both Qualifying and Non-Qualifying Credit Risk
Factors.
- CRSystemics() - Constructor for class org.drip.simm.credit.CRSystemics
-
- CRThresholdContainer20 - Class in org.drip.simm.credit
-
CRThresholdContainer20 holds the ISDA SIMM 2.0 Credit Risk Thresholds - the Credit Risk Buckets and the
Delta/Vega Limits defined for the Concentration Thresholds.
- CRThresholdContainer20() - Constructor for class org.drip.simm.credit.CRThresholdContainer20
-
- CRThresholdContainer21 - Class in org.drip.simm.credit
-
CRThresholdContainer21 holds the ISDA SIMM 2.1 Credit Risk Thresholds - the Credit Risk Buckets and the
Delta/Vega Limits defined for the Concentration Thresholds.
- CRThresholdContainer21() - Constructor for class org.drip.simm.credit.CRThresholdContainer21
-
- csa(CSALabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the CSA Latent State
- csa() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve the CSA Latent State Node Container
- csa(CSALabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve of Labeled CSA
- csa() - Method in class org.drip.exposure.evolver.PrimarySecurityDynamicsContainer
-
Retrieve the CSA Primary Security
- csaEventDates() - Method in class org.drip.exposure.mpor.PathVariationMarginTrajectoryEstimator
-
Generate the Array of CSA Event Dates
- csaExists(CSALabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Indicate if the CSA Latent State Exists
- csaForward() - Method in class org.drip.exposure.csadynamics.NumeraireInducedMeasureShift
-
Return the Value of the Forward Contract under CSA
- csaForwardProcess() - Method in class org.drip.exposure.csadynamics.FundingBasisEvolver
-
Generate the CSA Forward Diffusion Process
- CSAFundingAbsoluteForward - Class in org.drip.sample.piterbarg2010
-
CSAFundingAbsoluteForward compares the Absolute Differences between the CSA and the non-CSA Forward LIBOR
under a Stochastic Funding Model.
- CSAFundingAbsoluteForward() - Constructor for class org.drip.sample.piterbarg2010.CSAFundingAbsoluteForward
-
- CSAFundingRelativeForward - Class in org.drip.sample.piterbarg2010
-
CSAFundingRelativeForward compares the Relative Differences between the CSA and the non-CSA Forward Prices
under a Stochastic Funding Model.
- CSAFundingRelativeForward() - Constructor for class org.drip.sample.piterbarg2010.CSAFundingRelativeForward
-
- CSAImpliedMeasureDifference - Class in org.drip.sample.piterbarg2010
-
CSAImpliedMeasureDifference compares the Differences between the CSA and the non-CSA Implied Distribution,
expressed in Implied Volatilities across Strikes, and across Correlations.
- CSAImpliedMeasureDifference() - Constructor for class org.drip.sample.piterbarg2010.CSAImpliedMeasureDifference
-
- CSALabel - Class in org.drip.state.identifier
-
CSALabel specifies the Label of of a Credit Support Annex (CSA) Specification.
- CSALabel(String, String) - Constructor for class org.drip.state.identifier.CSALabel
-
CSALabel Constructor
- csaLabel() - Method in class org.drip.xva.proto.CollateralGroupSpecification
-
Retrieve the CSA Label
- csaLabel() - Method in class org.drip.xva.topology.CollateralGroup
-
Retrieve the CSA Label
- csaLabelMap() - Method in class org.drip.xva.topology.Adiabat
-
Retrieve the CSA Label Map
- csaLabelMap() - Method in class org.drip.xva.topology.AdiabatMarketParams
-
Retrieve the Map of CSA Labels
- csaLabelMap() - Method in class org.drip.xva.topology.CreditDebtGroup
-
Retrieve the CSA Label Map
- csaLabelMap() - Method in class org.drip.xva.topology.FundingGroup
-
Retrieve the CSA Label Map
- csaMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the CSA Evolver Map
- CSANoCSARatio(String) - Method in class org.drip.exposure.csadynamics.FundingBasisEvolver
-
Compute the CSA vs.
- csaRate() - Method in class org.drip.exposure.universe.MarketVertex
-
Retrieve the Realized CSA Scheme Rate
- csaReplicator() - Method in class org.drip.exposure.universe.MarketVertex
-
Retrieve the Realized CSA Scheme Numeraire
- csaSpread() - Method in class org.drip.exposure.universe.MarketVertex
-
Retrieve the Realized Spread over the Overnight Policy Rate corresponding to the CSA Scheme
- CSVGrid - Class in org.drip.feed.loader
-
CSVGrid Holds the Outputs of a CSV Parsing Exercise.
- CSVGrid() - Constructor for class org.drip.feed.loader.CSVGrid
-
Empty CSVGrid Constructor
- CSVParser - Class in org.drip.feed.loader
-
CSVParser Parses the Lines of a Comma Separated File into appropriate Data Types.
- CSVParser() - Constructor for class org.drip.feed.loader.CSVParser
-
- CT - Static variable in class org.drip.simm.common.Chargram
-
The Commodity Digram CT
- CT_CNRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Credit Non Qualifying and Commodity Risk Classes
- CT_CNRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Credit Non Qualifying and Commodity Risk Classes
- CT_CRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Credit Qualifying and Commodity Risk Classes
- CT_CRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Credit Qualifying and Commodity Risk Classes
- CT_EQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Equity and Commodity Risk Classes
- CT_EQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Equity and Commodity Risk Classes
- CT_FX - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Correlation between Commodity and FX Risk Classes
- CT_FX() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Commodity and FX Risk Classes
- CT_FX - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Correlation between Commodity and FX Risk Classes
- CT_FX() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Commodity and FX Risk Classes
- CT_IR() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Interest Rate and Commodity Risk Classes
- CT_IR() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Interest Rate and Commodity Risk Classes
- CTBucket - Class in org.drip.simm.commodity
-
CTBucket holds the ISDA SIMM Commodity, Risk Weight, and Member Correlation for each Commodity Bucket.
- CTBucket(int, String, double, double) - Constructor for class org.drip.simm.commodity.CTBucket
-
CTBucket Constructor
- CTCrossBucketPrincipal - Class in org.drip.sample.simmvariance
-
CTCrossBucketPrincipal demonstrates the Computation of the Cross CT Bucket Principal Component Co-variance
using the CT Bucket Principal Component.
- CTCrossBucketPrincipal() - Constructor for class org.drip.sample.simmvariance.CTCrossBucketPrincipal
-
- CTDEntry - Class in org.drip.product.params
-
CTDEntry implements the Bond Futures CTD Entry Details.
- CTDEntry(Bond, double, double) - Constructor for class org.drip.product.params.CTDEntry
-
CTDEntry Constructor
- ctdName() - Method in class org.drip.historical.attribution.TreasuryFuturesMarketSnap
-
Retrieve the CTD Name
- CTMarginComparison - Class in org.drip.sample.simmvariance
-
CTMarginComparison illustrates the Comparison of the Commodity Margin Estimates using difference Schemes
for Calculating the Position-Bucket Principal Component Co-variance.
- CTMarginComparison() - Constructor for class org.drip.sample.simmvariance.CTMarginComparison
-
- CTRiskThresholdContainer20 - Class in org.drip.simm.commodity
-
CTRiskThresholdContainer20 holds the ISDA SIMM 2.0 Commodity Risk Thresholds - the Commodity Buckets and
the Delta/Vega Limits defined for the Concentration Thresholds.
- CTRiskThresholdContainer20() - Constructor for class org.drip.simm.commodity.CTRiskThresholdContainer20
-
- CTRiskThresholdContainer21 - Class in org.drip.simm.commodity
-
CTRiskThresholdContainer21 holds the ISDA SIMM 2.1 Commodity Risk Thresholds - the Commodity Buckets and
the Delta/Vega Limits defined for the Concentration Thresholds.
- CTRiskThresholdContainer21() - Constructor for class org.drip.simm.commodity.CTRiskThresholdContainer21
-
- CTSettingsContainer20 - Class in org.drip.simm.commodity
-
CTSettingsContainer20 holds the ISDA SIMM 2.0 Commodity Buckets and their Correlations.
- CTSettingsContainer20() - Constructor for class org.drip.simm.commodity.CTSettingsContainer20
-
- CTSettingsContainer21 - Class in org.drip.simm.commodity
-
CTSettingsContainer21 holds the ISDA SIMM 2.1 Commodity Buckets and their Correlations.
- CTSettingsContainer21() - Constructor for class org.drip.simm.commodity.CTSettingsContainer21
-
- CTSystemics20 - Class in org.drip.simm.commodity
-
CTSystemics20 contains the SIMM 2.0 Systemic Settings Common to Commodity Risk Factors.
- CTSystemics20() - Constructor for class org.drip.simm.commodity.CTSystemics20
-
- CTSystemics21 - Class in org.drip.simm.commodity
-
CTSystemics21 contains the SIMM 2.1 Systemic Settings Common to Commodity Risk Factors.
- CTSystemics21() - Constructor for class org.drip.simm.commodity.CTSystemics21
-
- CubicKLKHyperbolicDFRateShapePreserver(String, ValuationParams, CalibratableComponent[], double[], String[], CalibratableComponent[], double[], String[], boolean) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
Construct an instance of the Shape Preserver of the KLK Hyperbolic Tension Type, using the specified
basis set builder parameters.
- CubicPolyDFRateShapePreserver(String, ValuationParams, CalibratableComponent[], double[], String[], CalibratableComponent[], double[], String[], boolean) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
Construct an instance of the Shape Preserver of the Cubic Polynomial Type, using the specified
basis set builder parameters.
- CubicPolynomialBasisCurve(String, JulianDate, ForwardLabel, ForwardLabel, boolean, String[], double[]) - Static method in class org.drip.state.creator.ScenarioBasisCurveBuilder
-
Create an Instance of the Cubic Polynomial Splined Basis Curve
- CubicPolynomialCurve(String, JulianDate, CurrencyPair, String[], double[], double) - Static method in class org.drip.state.creator.ScenarioFXCurveBuilder
-
Create an Instance of the Cubic Polynomial Splined FX Forward Curve
- CubicPolynomialCurve(String, JulianDate, String, String, int[], double[]) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
-
Create an Instance of the Cubic Polynomial Splined Govvie Yield Curve
- CubicPolynomialDiscountCurve(String, JulianDate, String, int[], double[]) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
Create an Instance of the Cubic Polynomial Splined DF Discount Curve
- CubicPolynomialRepoCurve(String, JulianDate, Component, int[], double[]) - Static method in class org.drip.state.creator.ScenarioRepoCurveBuilder
-
Create an Instance of the Cubic Polynomial Splined Repo Curve
- CubicPolynomialTermStructure(String, JulianDate, String, String[], double[]) - Static method in class org.drip.state.creator.ScenarioDeterministicVolatilityBuilder
-
Construct the Deterministic Volatility Term Structure Instance based off of a Cubic Polynomial Spline
- CubicPolynomialTermStructure(String, JulianDate, String, String[], double[]) - Static method in class org.drip.state.creator.ScenarioTermStructureBuilder
-
Construct a Term Structure Instance based off of a Cubic Polynomial Spline
- CubicPolynomialWireSurface(String, JulianDate, String, double, double[], String[], double[][]) - Static method in class org.drip.state.creator.ScenarioLocalVolatilityBuilder
-
Construct a Scenario Market Surface off of cubic polynomial wire spline and cubic polynomial surface
Spline.
- CubicPolynomialWireSurface(String, JulianDate, String, double[], String[], double[][]) - Static method in class org.drip.state.creator.ScenarioMarketSurfaceBuilder
-
Construct a Scenario Market Surface off of Cubic Polynomial Wire Spline and Cubic Polynomial Surface
Spline.
- CubicPolyShapePreserver(String, CurrencyPair, int, CalibratableComponent[], double[], String, double) - Static method in class org.drip.state.creator.ScenarioFXCurveBuilder
-
Construct an Instance of the Shape Preserver of the Cubic Polynomial Type, using the Specified Basis
Set Builder Parameters.
- CubicPolyShapePreserver(String, String, String, int, CalibratableComponent[], double[], String) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
-
Construct an Instance of the Shape Preserver of the Cubic Polynomial Type, using the Specified Basis
Set Builder Parameters.
- CubicRationalLeftRaw - Class in org.drip.spline.bspline
-
CubicRationalLeftRaw implements the TensionBasisHat interface in accordance with the raw left cubic
rational hat basis function laid out in the basic framework outlined in Koch and Lyche (1989), Koch and
Lyche (1993), and Kvasov (2000) Papers.
- CubicRationalLeftRaw(double, double, String, double) - Constructor for class org.drip.spline.bspline.CubicRationalLeftRaw
-
CubicRationalLeftRaw constructor
- CubicRationalRightRaw - Class in org.drip.spline.bspline
-
CubicRationalRightRaw implements the TensionBasisHat interface in accordance with the raw right cubic
rational hat basis function laid out in the basic framework outlined in Koch and Lyche (1989), Koch and
Lyche (1993), and Kvasov (2000) Papers.
- CubicRationalRightRaw(double, double, String, double) - Constructor for class org.drip.spline.bspline.CubicRationalRightRaw
-
CubicRationalRightRaw constructor
- cumulative() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
Retrieve the Cumulative Convexity Correction
- cumulative() - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Retrieve the Cumulative Convexity Correction
- cumulative(double) - Method in class org.drip.measure.continuous.R1
-
Compute the cumulative under the distribution to the given value
- cumulative(double[]) - Method in class org.drip.measure.continuous.R1Multivariate
-
Compute the Cumulative under the Distribution to the given Variate Values
- cumulative(double, double) - Method in class org.drip.measure.continuous.R1R1
-
Compute the Cumulative under the Distribution to the given Variate Pair
- cumulative(double[]) - Method in class org.drip.measure.continuous.Rd
-
Compute the Cumulative under the Distribution to the given Variaate Array
- cumulative(double[], double) - Method in class org.drip.measure.continuous.RdR1
-
Compute the Cumulative under the Distribution to the given Variate Array/Variate Combination
- cumulative(double) - Method in class org.drip.measure.discrete.BoundedUniformIntegerDistribution
-
- cumulative(double) - Method in class org.drip.measure.discrete.PoissonDistribution
-
- cumulative(double) - Method in class org.drip.measure.gaussian.R1UnivariateNormal
-
- cumulative(double) - Method in class org.drip.measure.lebesgue.R1PiecewiseDisplaced
-
- cumulative(double) - Method in class org.drip.measure.lebesgue.R1PiecewiseLinear
-
- cumulative(double) - Method in class org.drip.measure.lebesgue.R1Uniform
-
- cumulative(double[]) - Method in class org.drip.measure.lebesgue.RdUniform
-
- cumulative() - Method in class org.drip.simm.product.RiskFactorTenorSensitivity
-
Generate the Cumulative Tenor Sensitivity
- cumulativeComponentSensitivityMargin(String) - Method in class org.drip.simm.margin.RiskFactorAggregateCR
-
Compute the Cumulative Sensitivity Margin for the specified Component
- cumulativeCouponAmount() - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Retrieve the Cumulative Coupon Amount
- cumulativeCouponAmount() - Method in class org.drip.historical.attribution.PositionMarketSnap
-
Retrieve the Cumulative Coupon Amount
- cumulativeExpectation() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
-
Generate the Array of Cumulative Expectation Sequence
- cumulativeHazardIntegral() - Method in class org.drip.measure.realization.JumpDiffusionVertex
-
Retrieve the Jump Occurrence Cumulative Hazard Integral
- cumulativeLIBOR12MSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Cumulative LIBOR12M Sensitivity Margin
- cumulativeLIBOR1MSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Cumulative LIBOR1M Sensitivity Margin
- cumulativeLIBOR3MSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Cumulative LIBOR3M Sensitivity Margin
- cumulativeLIBOR6MSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Cumulative LIBOR6M Sensitivity Margin
- cumulativeMargin() - Method in class org.drip.simm.margin.SensitivityAggregateCR
-
Compute the Cumulative Sensitivity Margin
- cumulativeMargin() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Compute the Cumulative Sensitivity Margin
- cumulativeMarginCovariance() - Method in class org.drip.simm.margin.SensitivityAggregateCR
-
Compute the Cumulative Margin Covariance
- cumulativeMarginCovariance() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Compute the Cumulative Margin Covariance
- cumulativeMarginSensitivity() - Method in class org.drip.simm.margin.SensitivityAggregateCR
-
Retrieve the Cumulative Margin Sensitivity
- cumulativeMarginSensitivity() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the Cumulative Margin Sensitivity
- cumulativeMarketDynamicDrift() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
-
Generate the Array of Cumulative Market Dynamic Cost Drift
- cumulativeMarketDynamicExpectation() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
-
Generate the Array of Cumulative Market Dynamic Expectation Sequence
- cumulativeMarketDynamicWander() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
-
Generate the Array of Cumulative Market Dynamic Cost Wander
- cumulativeMerge(WengertJacobian) - Method in class org.drip.quant.calculus.WengertJacobian
-
Accumulate and merge partial entries from the other CurveWengertJacobian
- cumulativeMerge(WengertJacobian, double) - Method in class org.drip.quant.calculus.WengertJacobian
-
Accumulate and merge the weighted partial entries from the other CurveWengertJacobian
- cumulativeMUNICIPALSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Cumulative MUNICIPAL Sensitivity Margin
- cumulativeOISSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Cumulative OIS Sensitivity Margin
- cumulativePermanentDrift() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
-
Generate the Array of Cumulative Permanent Cost Drift
- cumulativePermanentImpactExpectation() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
-
Generate the Array of Cumulative Permanent Impact Expectation Sequence
- cumulativePermanentWander() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
-
Generate the Array of Cumulative Permanent Cost Wander
- cumulativePRIMESensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Cumulative PRIME Sensitivity Margin
- cumulativeSensitivityMargin() - Method in class org.drip.simm.margin.BucketAggregate
-
Retrieve the Bucket's Cumulative Risk Factor Sensitivity Margin
- cumulativeSensitivityMargin() - Method in class org.drip.simm.margin.BucketAggregateCR
-
Retrieve the CR Bucket Cumulative Sensitivity Margin
- cumulativeSensitivityMargin() - Method in class org.drip.simm.margin.BucketAggregateIR
-
Retrieve the Bucket's Cumulative Risk Factor Sensitivity Margin
- cumulativeSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateCR
-
Compute the Cumulative Sensitivity Margin
- cumulativeSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Cumulative Sensitivity Margin
- cumulativeTemporaryDrift() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
-
Generate the Array of Cumulative Temporary Cost Drift
- cumulativeTemporaryImpactExpectation() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
-
Generate the Array of Cumulative Temporary Impact Expectation Sequence
- cumulativeTemporaryWander() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
-
Generate the Array of Cumulative Temporary Cost Wander
- cumulativeTenorSensitivity() - Method in class org.drip.simm.product.BucketSensitivityCR
-
Generate the Cumulative Tenor Sensitivity
- cumulativeTenorSensitivity() - Method in class org.drip.simm.product.BucketSensitivityIR
-
Generate the Cumulative Tenor Sensitivity
- cumulativeTenorSensitivityMap() - Method in class org.drip.simm.product.BucketSensitivityCR
-
Retrieve the Cumulative Risk Factor Tenor Sensitivity Map
- cumulativeVariance() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
-
Generate the Array of Cumulative Variance Sequence
- cumulativeViewComponent() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionExposure
-
Compute the Array of Cumulative View Loading Components
- CURE_PERIOD_IMA_1992 - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
-
1992 ISDA IMA Cure Period of 3 Business Days
- CURE_PERIOD_IMA_2002 - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
-
2002 ISDA IMA Cure Period of 1 Business Day
- curePeriod() - Method in class org.drip.exposure.csatimeline.EventSequence
-
Retrieve the Client Cure Period
- currency() - Method in interface org.drip.analytics.definition.Curve
-
Get the Currency
- currency() - Method in class org.drip.analytics.definition.MarketSurface
-
- currency() - Method in class org.drip.analytics.definition.NodeStructure
-
- currency() - Method in class org.drip.market.definition.FloaterIndex
-
Retrieve the Index Currency
- currency() - Method in class org.drip.market.exchange.DeliverableSwapFutures
-
Retrieve the Currency
- currency() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
-
Retrieve the Treasury Futures Currency
- currency() - Method in class org.drip.market.issue.TreasurySetting
-
Retrieve the Currency
- currency() - Method in class org.drip.market.otc.CreditIndexConvention
-
Retrieve the Currency
- currency() - Method in class org.drip.market.otc.CrossFloatStreamConvention
-
Retrieve the Currency
- currency() - Method in class org.drip.market.otc.FixedStreamConvention
-
Retrieve the Currency
- currency() - Method in class org.drip.market.otc.FloatFloatSwapConvention
-
Retrieve the Currency
- currency() - Method in class org.drip.portfolioconstruction.composite.Holdings
-
Retrieve the Currency
- currency() - Method in class org.drip.portfolioconstruction.core.Account
-
Retrieve the Currency
- currency() - Method in class org.drip.portfolioconstruction.core.Asset
-
Retrieve the Asset Currency
- CURRENCY - Static variable in class org.drip.portfolioconstruction.optimizer.Unit
-
Constraint Unit - CURRENCY
- currency() - Method in class org.drip.product.credit.BondComponent
-
- currency() - Method in class org.drip.product.definition.Bond
-
Return the bond's coupon currency
- currency() - Method in class org.drip.service.api.FixFloatFundingInstrument
-
Retrieve the Currency
- currency() - Method in class org.drip.state.basis.BasisCurve
-
- currency() - Method in class org.drip.state.credit.CreditCurve
-
- currency() - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
- currency() - Method in class org.drip.state.discount.ZeroCurve
-
- currency() - Method in class org.drip.state.forward.ForwardCurve
-
- currency() - Method in class org.drip.state.fx.FXCurve
-
- currency() - Method in class org.drip.state.govvie.GovvieCurve
-
- currency() - Method in class org.drip.state.identifier.CSALabel
-
Retrieve the CSA Currency
- currency() - Method in class org.drip.state.identifier.EntityDesignateLabel
-
Retrieve the Currency
- currency() - Method in class org.drip.state.identifier.FloaterLabel
-
Retrieve the Currency
- currency() - Method in class org.drip.state.identifier.OvernightLabel
-
Retrieve the Currency
- currency() - Method in class org.drip.state.repo.RepoCurve
-
- currencyArray() - Method in class org.drip.simm.fx.FXRiskGroup
-
Retrieve the FX Risk Currency Array
- CurrencyBenchmarkCode(String) - Static method in class org.drip.market.issue.TreasurySettingContainer
-
Retrieve the Benchmark Treasury Code for the specified Currency
- CurrencyCategory(String) - Static method in class org.drip.simm.fx.FXRiskThresholdContainer20
-
Retrieve the Category for the specified Currency
- CurrencyCategory(String) - Static method in class org.drip.simm.fx.FXRiskThresholdContainer21
-
Retrieve the Category for the specified Currency
- CurrencyOrder(String) - Static method in class org.drip.market.definition.FXSettingContainer
-
Retrieve the Order corresponding to the specified Currency
- CurrencyPair(String, String) - Static method in class org.drip.market.definition.FXSettingContainer
-
Retrieve the Currency Pair Instance from the specified Currencies
- currencyPair() - Method in class org.drip.product.fx.FXForwardComponent
-
Get the Currency Pair
- CurrencyPair - Class in org.drip.product.params
-
CurrencyPair class contains the numerator currency, the denominator currency, the quote currency, and the
PIP Factor.
- CurrencyPair(String, String, String, double) - Constructor for class org.drip.product.params.CurrencyPair
-
Construct the currency pair from the numerator currency, the denominator currency, the quote
currency, and the PIP Factor
- currencyPair() - Method in class org.drip.state.fx.FXCurve
-
Return the CurrencyPair
- currencyPair() - Method in class org.drip.state.identifier.FXLabel
-
Retrieve the Currency Pair Instance
- CurrencyPairPrincipalCovariance(String, String) - Static method in class org.drip.simm.rates.IRSettingsContainer20
-
Retrieve the Currency Pair Principal Co-variance Matrix
- CurrencyPairPrincipalCovariance(String, String) - Static method in class org.drip.simm.rates.IRSettingsContainer21
-
Retrieve the Currency Pair Principal Co-variance Matrix
- CurrencyRiskGroup - Class in org.drip.simm.rates
-
CurrencyRiskGroup holds the ISDA SIMM Currency Risk Group Concentrations.
- CurrencyRiskGroup(String, String, String[]) - Constructor for class org.drip.simm.rates.CurrencyRiskGroup
-
CurrencyRiskGroup Constructor
- currencyRiskGroup() - Method in class org.drip.simm.rates.IRThreshold
-
Retrieve the Currency Risk Group
- CurrencySet() - Static method in class org.drip.simm.rates.IRSettingsContainer20
-
Retrieve the Set of all Available Currencies
- CurrencySet() - Static method in class org.drip.simm.rates.IRSettingsContainer21
-
Retrieve the Set of all Available Currencies
- CurrencySet() - Static method in class org.drip.simm.rates.IRThresholdContainer20
-
Retrieve the Interest Rate Threshold Container Currency Set
- CurrencySet() - Static method in class org.drip.simm.rates.IRThresholdContainer21
-
Retrieve the Interest Rate Threshold Container Currency Set
- CurrencyThresholdMap() - Static method in class org.drip.simm.rates.IRThresholdContainer20
-
Retrieve the Currency Threshold Map
- CurrencyThresholdMap() - Static method in class org.drip.simm.rates.IRThresholdContainer21
-
Retrieve the Currency Threshold Map
- current() - Method in class org.drip.spaces.graph.ShortestPathVertex
-
Retrieve the Current Vertex
- currentCollateralBalance() - Method in class org.drip.exposure.mpor.CollateralAmountEstimator
-
Retrieve the Current Collateral Balance
- currentCoupon() - Method in class org.drip.product.credit.BondComponent
-
- currentCoupon() - Method in class org.drip.product.definition.Bond
-
Return the current bond coupon
- currentCouponDate(JulianDate) - Method in class org.drip.product.credit.BondComponent
-
- currentCouponDate(JulianDate) - Method in class org.drip.product.definition.Bond
-
Return the coupon date for the period containing the specified date
- currentCouponRate(JulianDate, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.BondComponent
-
- currentCouponRate(JulianDate, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.Bond
-
Return the coupon rate for the period corresponding to the specified date
- currentFairPremium() - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Retrieve the Current Fair Premium
- currentFullCoupon() - Method in class org.drip.product.params.FloaterSetting
-
Retrieve the Full Current Coupon
- currentPrice() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Bond Current Market Price
- currentReferenceYield() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
-
Retrieve the Current Reference Coupon
- currentStep() - Method in class org.drip.execution.evolution.MarketImpactComponent
-
Retrieve the Current Step Contribution
- currentVariate() - Method in class org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics
-
Retrieve the Current Variate Array
- currentVariateFunctionJacobian() - Method in class org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics
-
Retrieve the Function Jacobian at the Current Variate
- currentVariateFunctionValue() - Method in class org.drip.function.rdtor1descent.ArmijoEvolutionVerifierMetrics
-
Retrieve the Function Value at the Current Variate
- currentVariateFunctionValue() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifierMetrics
-
Retrieve the Function Value at the Current Variate
- currentWanderer() - Method in class org.drip.execution.dynamics.WalkSuite
-
Retrieve the Current Instance of the Walk Wanderer
- cursorVariates() - Method in class org.drip.spaces.iterator.RdSpanningCombinatorialIterator
-
Retrieve the Cursor Variate Array
- curvature() - Method in class org.drip.simm.parameters.RiskClassSensitivitySettings
-
Curvature Risk Measure Sensitivity Settings
- curvature() - Method in class org.drip.simm.parameters.RiskClassSensitivitySettingsCR
-
Retrieve the Credit Risk Class Curvature Sensitivity Settings
- curvature() - Method in class org.drip.simm.parameters.RiskClassSensitivitySettingsIR
-
Curvature IR Risk Measure Sensitivity Settings
- curvature() - Method in class org.drip.simm.product.RiskClassSensitivity
-
Retrieve the Curvature Risk Measure Sensitivity
- curvature() - Method in class org.drip.simm.product.RiskClassSensitivityCR
-
Retrieve the CR Curvature Risk Measure Sensitivity
- curvature() - Method in class org.drip.simm.product.RiskClassSensitivityIR
-
Retrieve the IR Curvature Tenor Sensitivity
- CURVATURE_VAR_CUT_OFF - Static variable in class org.drip.simm.foundation.CurvatureResponseCornishFischer
-
ISDA SIMM VaR Curvature Cut-off
- curvatureAggregate(RiskMeasureSensitivitySettings, MarginEstimationSettings) - Method in class org.drip.simm.product.RiskMeasureSensitivity
-
Generate the Curvature Risk Measure Aggregate
- curvatureAggregate(RiskMeasureSensitivitySettingsCR, MarginEstimationSettings) - Method in class org.drip.simm.product.RiskMeasureSensitivityCR
-
Generate the Curvature Risk Measure Aggregate
- curvatureAggregate(RiskMeasureSensitivitySettingsIR, MarginEstimationSettings) - Method in class org.drip.simm.product.RiskMeasureSensitivityIR
-
Generate the Curvature Risk Measure Aggregate
- curvatureDPE() - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Retrieve the Segment Curvature DPE
- curvatureDPE() - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- curvatureDPE() - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Retrieve the Span Curvature DPE
- CurvatureEstimator - Interface in org.drip.simm.foundation
-
CurvatureEstimator exposes the Curvature Margin Estimation using the Curvature Sensitivities.
- curvatureEstimator() - Method in class org.drip.simm.parameters.MarginEstimationSettings
-
Retrieve the Curvature Estimator Function
- CurvatureEstimatorISDADelta - Class in org.drip.simm.foundation
-
CurvatureEstimatorISDADelta estimates the Curvature Margin from the Curvature Sensitivities using the ISDA
Delta Curvature Margin Estimate.
- CurvatureEstimatorISDADelta() - Constructor for class org.drip.simm.foundation.CurvatureEstimatorISDADelta
-
- CurvatureEstimatorResponseFunction - Class in org.drip.simm.foundation
-
CurvatureEstimatorResponseFunction estimates the Curvature Margin from the Curvature Sensitivities using
the Curvature Response Function.
- CurvatureEstimatorResponseFunction(CurvatureResponse) - Constructor for class org.drip.simm.foundation.CurvatureEstimatorResponseFunction
-
CurvatureEstimatorResponseFunction Constructor
- CurvatureEvolutionVerifier - Class in org.drip.function.rdtor1descent
-
CurvatuveEvolutionVerifier implements the Armijo Criterion used for the Inexact Line Search Increment
Generation to ascertain that the Gradient of the Function has reduced sufficiently.
- CurvatureEvolutionVerifier(double, boolean) - Constructor for class org.drip.function.rdtor1descent.CurvatureEvolutionVerifier
-
CurvatureEvolutionVerifier Constructor
- CurvatureEvolutionVerifierMetrics - Class in org.drip.function.rdtor1descent
-
CurvatuveEvolutionVerifierMetrics implements the Armijo Criterion used for the Inexact Line Search
Increment Generation to ascertain that the Gradient of the Function has reduced sufficiently.
- CurvatureEvolutionVerifierMetrics(double, boolean, UnitVector, double[], double, double[], double[]) - Constructor for class org.drip.function.rdtor1descent.CurvatureEvolutionVerifierMetrics
-
CurvatureEvolutionVerifierMetrics Constructor
- CurvatureLengthRoughnessPenalty - Class in org.drip.sample.stretch
-
PenalizedCurvatureLCurvatureLengthRoughnessPenaltyengthFit demonstrates the setting up and the usage of
the curvature, the length, and the closeness of fit penalizing spline.
- CurvatureLengthRoughnessPenalty() - Constructor for class org.drip.sample.stretch.CurvatureLengthRoughnessPenalty
-
- curvatureMargin() - Method in class org.drip.simm.margin.RiskClassAggregate
-
Retrieve the Curvature Margin
- curvatureMargin() - Method in class org.drip.simm.margin.RiskClassAggregateCR
-
Retrieve the CR Curvature SBA Margin
- curvatureMargin() - Method in class org.drip.simm.margin.RiskClassAggregateIR
-
Retrieve the Curvature Margin
- curvatureMargin(BucketSensitivitySettingsCR) - Method in class org.drip.simm.margin.RiskFactorAggregateCR
-
Compute the Curvature Margin Co-variance
- curvatureMargin(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature Margin Co-variance
- curvatureMarginCovariance_LIBOR12M_LIBOR12M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature LIBOR12M-LIBOR12M Sensitivity Margin Co-variance
- curvatureMarginCovariance_LIBOR12M_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature LIBOR12M-MUNICIPAL Sensitivity Margin Co-variance
- curvatureMarginCovariance_LIBOR12M_PRIME(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature LIBOR12M-PRIME Sensitivity Margin Co-variance
- curvatureMarginCovariance_LIBOR1M_LIBOR12M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature LIBOR1M-LIBOR12M Sensitivity Margin Co-variance
- curvatureMarginCovariance_LIBOR1M_LIBOR1M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature LIBOR1M-LIBOR1M Sensitivity Margin Co-variance
- curvatureMarginCovariance_LIBOR1M_LIBOR3M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature LIBOR1M-LIBOR3M Sensitivity Margin Co-variance
- curvatureMarginCovariance_LIBOR1M_LIBOR6M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature LIBOR1M-LIBOR6M Sensitivity Margin Co-variance
- curvatureMarginCovariance_LIBOR1M_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature LIBOR1M-MUNICIPAL Sensitivity Margin Co-variance
- curvatureMarginCovariance_LIBOR1M_PRIME(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature LIBOR1M-PRIME Sensitivity Margin Co-variance
- curvatureMarginCovariance_LIBOR3M_LIBOR12M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature LIBOR3M-LIBOR12M Sensitivity Margin Co-variance
- curvatureMarginCovariance_LIBOR3M_LIBOR3M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature LIBOR3M-LIBOR3M Sensitivity Margin Co-variance
- curvatureMarginCovariance_LIBOR3M_LIBOR6M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature LIBOR3M-LIBOR6M Sensitivity Margin Co-variance
- curvatureMarginCovariance_LIBOR3M_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature LIBOR3M-MUNICIPAL Sensitivity Margin Co-variance
- curvatureMarginCovariance_LIBOR3M_PRIME(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature LIBOR3M-PRIME Sensitivity Margin Co-variance
- curvatureMarginCovariance_LIBOR6M_LIBOR12M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature LIBOR6M-LIBOR12M Sensitivity Margin Co-variance
- curvatureMarginCovariance_LIBOR6M_LIBOR6M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature LIBOR6M-LIBOR6M Sensitivity Margin Co-variance
- curvatureMarginCovariance_LIBOR6M_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature LIBOR6M-MUNICIPAL Sensitivity Margin Co-variance
- curvatureMarginCovariance_LIBOR6M_PRIME(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature LIBOR6M-PRIME Sensitivity Margin Co-variance
- curvatureMarginCovariance_MUNICIPAL_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature MUNICIPAL-MUNICIPAL Sensitivity Margin Co-variance
- curvatureMarginCovariance_OIS_LIBOR12M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature OIS-LIBOR12M Sensitivity Margin Co-variance
- curvatureMarginCovariance_OIS_LIBOR1M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature OIS-LIBOR1M Sensitivity Margin Co-variance
- curvatureMarginCovariance_OIS_LIBOR3M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature OIS-LIBOR3M Sensitivity Margin Co-variance
- curvatureMarginCovariance_OIS_LIBOR6M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature OIS-LIBOR6M Sensitivity Margin Co-variance
- curvatureMarginCovariance_OIS_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature OIS-MUNICIPAL Sensitivity Margin Co-variance
- curvatureMarginCovariance_OIS_OIS(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature OIS-OIS Sensitivity Margin Co-variance
- curvatureMarginCovariance_OIS_PRIME(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature OIS-PRIME Sensitivity Margin Co-variance
- curvatureMarginCovariance_PRIME_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature PRIME-MUNICIPAL Sensitivity Margin Co-variance
- curvatureMarginCovariance_PRIME_PRIME(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Curvature PRIME-PRIME Sensitivity Margin Co-variance
- curvatureParameter() - Method in class org.drip.function.rdtor1descent.CurvatureEvolutionVerifier
-
Retrieve the Curvature Parameter
- curvatureParameter() - Method in class org.drip.function.rdtor1descent.CurvatureEvolutionVerifierMetrics
-
Retrieve the Curvature Parameter
- curvatureParameter() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifier
-
Retrieve the Curvature Parameter
- curvatureParameter() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifierMetrics
-
Retrieve the Curvature Parameter
- curvaturePenaltyControl() - Method in class org.drip.spline.params.SegmentInelasticDesignControl
-
Retrieve the Curvature Penalty Parameters
- curvatureResponse() - Method in class org.drip.simm.foundation.CurvatureEstimatorResponseFunction
-
Retrieve the Curvature Response Function
- CurvatureResponse - Interface in org.drip.simm.foundation
-
CurvatureResponse exposes the Calculation of the Curvature Co-variance Scaling Factor (lambda) using the
Cumulative Curvature Sensitivities.
- CurvatureResponseCornishFischer - Class in org.drip.simm.foundation
-
CurvatureResponseCornishFischer computes the Curvature Co-variance Scaling Factor using the Cumulative
Curvature Sensitivities.
- CurvatureResponseCornishFischer(double) - Constructor for class org.drip.simm.foundation.CurvatureResponseCornishFischer
-
CurvatureResponseCornishFischer Constructor
- CurvatureRoughnessPenaltyFit - Class in org.drip.sample.stretch
-
CurvatureRoughnessPenaltyFit demonstrates the setting up and the usage of the curvature and closeness of
fit penalizing spline.
- CurvatureRoughnessPenaltyFit() - Constructor for class org.drip.sample.stretch.CurvatureRoughnessPenaltyFit
-
- Curve - Interface in org.drip.analytics.definition
-
Curve extends the Latent State to abstract the functionality required among all financial curve.
- curveAggregate(BucketSensitivitySettingsCR) - Method in class org.drip.simm.product.BucketSensitivityCR
-
Generate the CR Margin Factor Curve Tenor Aggregate
- curveAggregate(BucketSensitivitySettingsIR) - Method in class org.drip.simm.product.BucketSensitivityIR
-
Generate the IR Margin Factor Curve Tenor Aggregate
- CurveConstructionInputSet - Interface in org.drip.analytics.input
-
CurveConstructionInputSet interface contains the Parameters needed for the Curve Calibration/Estimation.
- CurveJacobianRegressionEngine - Class in org.drip.regression.curvejacobian
-
CurveJacobianRegressionEngine implements the RegressionEngine for the curve Jacobian regression.
- CurveJacobianRegressionEngine(int, int) - Constructor for class org.drip.regression.curvejacobian.CurveJacobianRegressionEngine
-
CurveJacobianRegressionEngine constructor
- curveSequence(int) - Method in class org.drip.state.sequence.PathGovvie
-
Generate the R^d Path Govvie Curves using the Initial R^d and the Evolution Time Width
- curveShift1DPnL() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Curve Shift PnL
- curveShiftSwapRate1D() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Curve Shift Swap Rate
- CurveStateEvolver - Interface in org.drip.dynamics.evolution
-
CurveStateEvolver is the Interface on top of which the Curve State Evolution Dynamics is constructed.
- CurveStretch - Class in org.drip.state.estimator
-
CurveStretch expands the regular Multi-Segment Stretch to aid the calibration of Boot-strapped
Instruments.
- CurveStretch(String, LatentStateResponseModel[], SegmentCustomBuilderControl[]) - Constructor for class org.drip.state.estimator.CurveStretch
-
CurveStretch constructor - Construct a sequence of Basis Spline Segments
- CurveSurfaceQuoteContainer - Class in org.drip.param.market
-
CurveSurfaceQuoteContainer provides implementation of the set of the market curve parameters.
- CurveSurfaceQuoteContainer() - Constructor for class org.drip.param.market.CurveSurfaceQuoteContainer
-
Empty CurveSurfaceQuoteSet Constructor
- CurveSurfaceScenarioContainer - Class in org.drip.param.market
-
CurveSurfaceScenarioContainer extends MarketParams abstract class, and is the place holder for the
comprehensive suite of the market set of curves for the given date.
- CurveSurfaceScenarioContainer() - Constructor for class org.drip.param.market.CurveSurfaceScenarioContainer
-
Construct an empty MarketParamsContainer instance
- cusip() - Method in class org.drip.product.credit.BondComponent
-
- cusip() - Method in class org.drip.product.definition.Bond
-
Get the CUSIP
- cusip() - Method in class org.drip.product.params.IdentifierSet
-
Retrieve the CUSIP
- custom(CustomLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Custom Latent State
- custom() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve the Custom Latent State Node Container
- custom(CustomLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve of Labeled Custom
- custom() - Method in class org.drip.param.market.CreditCurveScenarioContainer
-
Return the Custom credit curve map
- custom() - Method in class org.drip.param.market.DiscountCurveScenarioContainer
-
Return the Custom Discount curve map
- Custom(String, JulianDate, CalibratableComponent[], MergedDiscountForwardCurve, double[], String[], double, boolean, CalibrationParams) - Static method in class org.drip.state.creator.ScenarioCreditCurveBuilder
-
Calibrate the base credit curve from the input credit instruments, measures, and the quotes
- Custom(String, JulianDate, CalibratableComponent[], MergedDiscountForwardCurve, double[], String[], double, boolean) - Static method in class org.drip.state.creator.ScenarioCreditCurveBuilder
-
Calibrate the base credit curve from the input credit instruments, measures, and the quotes
- CustomBasisCurveBuilder - Class in org.drip.sample.multicurve
-
CustomBasisCurveBuilder contains the sample demonstrating the full functionality behind creating highly
customized spline based Basis curves.
- CustomBasisCurveBuilder() - Constructor for class org.drip.sample.multicurve.CustomBasisCurveBuilder
-
- customConfidenceOutput() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput
-
Retrieve the Custom Projection Confidence Black Litterman Run Output
- customConfidenceRun() - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanCombinationEngine
-
Conduct a Black Litterman Run using a Theil-like Mixed Model Estimator Using the specified Confidence
Level
- customCreditBasisBump() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Custom Credit Basis Bump
- customCustomCorrelation(CustomLabel, CustomLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Custom Metric Latent State Pair
- CustomDENSE(String, ValuationParams, CalibratableComponent[], double[], String, String[], CalibratableComponent[], double[], String, String[], TurnListDiscountFactor) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
Customizable DENSE Curve Creation Methodology - the references are:
- Sankar, L.
- CustomDiscountCurveBuilder - Class in org.drip.sample.stretch
-
CustomDiscountCurveBuilder contains samples that demo how to build a discount curve from purely the cash
flows.
- CustomDiscountCurveBuilder() - Constructor for class org.drip.sample.stretch.CustomDiscountCurveBuilder
-
- customEquityCorrelation(CustomLabel, EntityEquityLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Custom Metric and the Equity Latent States
- customExists(CustomLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Indicate if the Custom Latent State Exists
- CustomFixFloatSwap - Class in org.drip.sample.fixfloat
-
CustomFixFloatSwap demonstrates the Construction and Valuation of a Custom Fix-Float Swap.
- CustomFixFloatSwap() - Constructor for class org.drip.sample.fixfloat.CustomFixFloatSwap
-
- customForwardCorrelation(CustomLabel, ForwardLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Custom Metric and the Forward Latent States
- CustomFRAVolatilityCurve - Class in org.drip.sample.forwardvolatility
-
CustomFRAVolatilityCurve demonstrates the Construction of the FRA Volatility Curve from the FRACap Quotes.
- CustomFRAVolatilityCurve() - Constructor for class org.drip.sample.forwardvolatility.CustomFRAVolatilityCurve
-
- CustomFundingCurveBuilder - Class in org.drip.sample.funding
-
CustomFundingCurveBuilder funding curve calibration and input instrument calibration quote recovery.
- CustomFundingCurveBuilder() - Constructor for class org.drip.sample.funding.CustomFundingCurveBuilder
-
- CustomFundingCurveReconciler - Class in org.drip.sample.funding
-
CustomFundingCurveReconciler demonstrates the multi-stretch transition custom Funding curve
construction, turns application, discount factor extraction, and calibration quote recovery.
- CustomFundingCurveReconciler() - Constructor for class org.drip.sample.funding.CustomFundingCurveReconciler
-
- customFXCorrelation(CustomLabel, FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Custom Metric and the FX Latent States
- CustomFXCurveBuilder - Class in org.drip.sample.fx
-
CustomFXCurveBuilder illustrates the Construction and Usage of the FX Forward Curve.
- CustomFXCurveBuilder() - Constructor for class org.drip.sample.fx.CustomFXCurveBuilder
-
- customGovvieCorrelation(CustomLabel, GovvieLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Custom Metric and the Govvie Latent States
- customGrossTaxGain(double[], double[]) - Method in interface org.drip.portfolioconstruction.objective.TaxationScheme
-
Compute the Custom Gross Tax Gain
- customGrossTaxLoss(double[], double[]) - Method in interface org.drip.portfolioconstruction.objective.TaxationScheme
-
Compute the Custom Gross Tax Loss
- CustomIBORBuilderSample(MergedDiscountForwardCurve, ForwardCurve, ForwardLabel, SegmentCustomBuilderControl, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, String, boolean) - Static method in class org.drip.sample.forward.IBORCurve
-
- CustomIBORBuilderSample2(MergedDiscountForwardCurve, ForwardCurve, ForwardLabel, SegmentCustomBuilderControl, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, String, boolean) - Static method in class org.drip.sample.forward.IBORCurve
-
- CustomLabel - Class in org.drip.state.identifier
-
CustomLabel contains the Identifier Parameters referencing the Latent State of the named Custom Metric.
- customMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Custom Evolver Map
- customMarketCorrelation(List<LatentStateLabel>) - Method in class org.drip.exposure.universe.MarketCorrelation
-
Synthesize a MarketCorrelation Instance for the Custom Latent State List
- customMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
-
Retrieve the Custom Double Measure Map
- customMetricFundingCorrelation(CustomLabel, FundingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between Custom Metric and the Funding Latent States
- customNetTaxGain(double[], double[]) - Method in interface org.drip.portfolioconstruction.objective.TaxationScheme
-
Compute the Custom Net Tax Gain
- CustomNetTaxGainsTerm - Class in org.drip.portfolioconstruction.objective
-
CustomNetTaxGainsTerm holds the Details of the Portfolio Custom Net Tax Gain Objective Term.
- CustomNetTaxGainsTerm(String, double[], TaxationScheme) - Constructor for class org.drip.portfolioconstruction.objective.CustomNetTaxGainsTerm
-
CustomNetTaxGainsTerm Constructor
- customNetTaxLoss(double[], double[]) - Method in interface org.drip.portfolioconstruction.objective.TaxationScheme
-
Compute the Custom Net Tax Loss
- customOvernightCorrelation(CustomLabel, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Custom Metric and the Overnight Latent States
- CustomOvernightCurveReconciler - Class in org.drip.sample.overnight
-
CustomOvernightCurveReconciler demonstrates the multi-stretch transition custom Overnight curve
construction, turns application, discount factor extraction, and calibration quote recovery.
- CustomOvernightCurveReconciler() - Constructor for class org.drip.sample.overnight.CustomOvernightCurveReconciler
-
- customPaydownCorrelation(CustomLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Custom Metric and the Pay-down Latent States
- customPivotAnchor() - Method in class org.drip.sequence.metrics.PivotedDepartureBounds
-
Retrieve the Custom Pivot Anchor
- customProjectionConfidenceDeviation() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput
-
Retrieve the Custom Projection Induced Equilibrium Asset Deviation Array
- customProjectionConfidenceWeight() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput
-
Retrieve the Custom Projection Induced Equilibrium Asset Weight Array
- customRatingCorrelation(CustomLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Custom Metric and the Rating Latent States
- customRecoveryCorrelation(CustomLabel, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Custom Metric and the Recovery Latent States
- customRepoCorrelation(CustomLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Custom Metric and the Repo Latent States
- CustomRiskUtilitySettings - Class in org.drip.portfolioconstruction.allocator
-
CustomRiskUtilitySettings contains the settings used to generate the Risk Objective Utility Function.
- CustomRiskUtilitySettings(double, double) - Constructor for class org.drip.portfolioconstruction.allocator.CustomRiskUtilitySettings
-
CustomRiskUtilitySettings Constructor
- customScenarioMeasures(ValuationParams, CreditPricerParams, ScenarioMarketParams, String, ValuationCustomizationParams, CaseInsensitiveTreeMap<Double>) - Method in class org.drip.product.definition.BasketProduct
-
Compute Basket's Custom Scenario Measures
- customScenarioMeasures(ValuationParams, CreditPricerParams, ScenarioMarketParams, String, ValuationCustomizationParams, CaseInsensitiveTreeMap<Double>) - Method in class org.drip.product.definition.Component
-
Generate a full list of custom measures for the set of scenario market parameters present in
the org.drip.param.definition.MarketParams
- CustomSlopeHermiteSpline(String, double[], double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
-
Create a Stretch off of Hermite Splines from the specified the Predictor Ordinates, the Response
Values, the Custom Slopes, and the Segment Builder Parameters.
- CustomSlopeHermiteSpline(String, int[], double[], double[], SegmentCustomBuilderControl[], StretchBestFitResponse, int) - Static method in class org.drip.spline.pchip.LocalControlStretchBuilder
-
Create a Stretch off of Hermite Splines from the specified the Predictor Ordinates, the Response
Values, the Custom Slopes, and the Segment Builder Parameters.
- CustomSplineBasisCurve(String, JulianDate, ForwardLabel, ForwardLabel, boolean, String[], double[], SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioBasisCurveBuilder
-
Create an Instance of the Custom Splined Basis Curve
- CustomSplineCurve(String, JulianDate, CurrencyPair, String[], double[], SegmentCustomBuilderControl, double) - Static method in class org.drip.state.creator.ScenarioFXCurveBuilder
-
Create an Instance of the Custom Splined FX Forward Curve
- CustomSplineCurve(String, JulianDate, String, String, int[], double[], SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
-
Create an Instance of the Custom Splined Govvie Yield Curve
- CustomSplineDiscountCurve(String, JulianDate, String, int[], double[], SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
Create an Instance of the Custom Splined Discount Curve
- CustomSplineRepoCurve(String, JulianDate, Component, int[], double[], SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioRepoCurveBuilder
-
Create an Instance of the Custom Splined Repo Curve
- CustomSplineTermStructure(String, JulianDate, String, int[], double[], SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioDeterministicVolatilityBuilder
-
Construct the Deterministic Volatility Term Structure Instance using the specified Custom Spline
- CustomSplineTermStructure(String, JulianDate, String, double[], double[], SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioTermStructureBuilder
-
Construct a Term Structure Instance using the specified Custom Spline
- CustomSplineWireSurface(String, JulianDate, String, double, double[], double[], double[][], SegmentCustomBuilderControl, SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioLocalVolatilityBuilder
-
Build an Instance of the Volatility Surface using custom wire span and surface splines
- CustomSplineWireSurface(String, JulianDate, String, double[], double[], double[][], SegmentCustomBuilderControl, SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioMarketSurfaceBuilder
-
Build an Instance of the Market Node Surface using Custom Wire Span and Surface Splines.
- CustomSwapMeasures - Class in org.drip.sample.oisapi
-
CustomSwapMeasures demonstrates the Invocation and Usage of the OIS API.
- CustomSwapMeasures() - Constructor for class org.drip.sample.oisapi.CustomSwapMeasures
-
- CustomTransactionChargeTerm - Class in org.drip.portfolioconstruction.objective
-
CustomTransactionChargeTerm implements the Objective Term that models the Custom Transaction Charge
associated with a Portfolio Transaction.
- CustomTransactionChargeTerm(String, double[], TransactionCharge[]) - Constructor for class org.drip.portfolioconstruction.objective.CustomTransactionChargeTerm
-
CustomTransactionChargeTerm Constructor
- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.analytics.definition.MarketSurface
-
- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.analytics.definition.NodeStructure
-
- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.basis.BasisCurve
-
- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.curve.DerivedZeroRate
-
- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
-
- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
-
- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
-
- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
-
- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.forward.ForwardCurve
-
- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.fx.FXCurve
-
- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.govvie.GovvieCurve
-
- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
-
- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
-
- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in class org.drip.state.repo.RepoCurve
-
- customTweakManifestMeasure(String, ManifestMeasureTweak) - Method in interface org.drip.state.representation.LatentState
-
Create a LatentState Instance from the Manifest Measure Tweak Parameters
- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.analytics.definition.MarketSurface
-
- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.analytics.definition.NodeStructure
-
- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.basis.BasisCurve
-
- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.curve.DerivedZeroRate
-
- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
-
- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
-
- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
-
- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
-
- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.forward.ForwardCurve
-
- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.fx.FXCurve
-
- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.govvie.GovvieCurve
-
- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
-
- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
-
- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in class org.drip.state.repo.RepoCurve
-
- customTweakQuantificationMetric(ManifestMeasureTweak) - Method in interface org.drip.state.representation.LatentState
-
Create a LatentState Instance from the Quantification Metric Tweak Parameters
- customVolatility(CustomLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Volatility Curve for the Custom Metric Latent State
- CustomVolSurfaceBuilder - Class in org.drip.sample.option
-
CustomVolSurfaceBuilder contains an Comparison of the Construction of the Volatility Surface using
different Splining Techniques.
- CustomVolSurfaceBuilder() - Constructor for class org.drip.sample.option.CustomVolSurfaceBuilder
-
- CustomWireSurface(String, JulianDate, String, double[], String[], double[][], SegmentCustomBuilderControl, SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioMarketSurfaceBuilder
-
Construct a Scenario Market Surface off of Custom Wire Spline and Custom Surface Spline.
- customYieldBump() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Custom Yield Bump
- Cuttack - Class in org.drip.sample.bondsink
-
Cuttack generates the Full Suite of Replication Metrics for the Sinker Bond Cuttack.
- Cuttack() - Constructor for class org.drip.sample.bondsink.Cuttack
-
- cva() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
-
Retrieve the Expected CVA
- cva() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
-
Retrieve the Univariate Thin Statistics for CVA
- CVACL(double) - Static method in class org.drip.xva.basel.ValueAdjustment
-
Construct the CVA Contra-Liability Value Adjustment Instance
- cvacl() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
-
Retrieve the Expected CVA Contra-Liability
- cvacl() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
-
Retrieve the Univariate Thin Statistics for CVA Contra-Liabilities
- cyclicalScan() - Method in class org.drip.spaces.iterator.RdSpanningStateSpaceScan
-
Retrieve the Cyclical Scan Flag
- CYPHoliday - Class in org.drip.analytics.holset
-
- CYPHoliday() - Constructor for class org.drip.analytics.holset.CYPHoliday
-
- CZKHoliday - Class in org.drip.analytics.holset
-
- CZKHoliday() - Constructor for class org.drip.analytics.holset.CZKHoliday
-
- CZKIRSAttribution - Class in org.drip.sample.fixfloatpnl
-
CZKIRSAttribution generates the Historical PnL Attribution for CZK IRS.
- CZKIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.CZKIRSAttribution
-
- CZKShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
-
CZKShapePreserving1YStart Generates the Historical CZK Shape Preserving Funding Curve Native Compounded
Forward Rate starting at 1Y Tenor.
- CZKShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.CZKShapePreserving1YStart
-
- CZKShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
-
CZKShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the
CZK Input Marks.
- CZKShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.CZKShapePreservingReconstitutor
-
- D() - Method in class org.drip.function.r1tor1.SABRLIBORCapVolatility
-
Return "D"
- DailyMetrics(JulianDate, String[], double[], String, double, String[]) - Static method in class org.drip.service.state.CreditCurveAPI
-
Generate the Horizon Metrics for the Specified Inputs
- DailyMetrics(JulianDate, String[], double[], String[], String[], String, int) - Static method in class org.drip.service.state.FundingCurveAPI
-
Generate the Funding Curve Daily Metrics
- DailyMetrics(JulianDate, String[], double[], String[], String[], String, int) - Static method in class org.drip.service.state.OvernightCurveAPI
-
Generate the Overnight Curve Horizon Metrics for the Specified Date
- dailyVolatility() - Method in class org.drip.execution.parameters.AssetFlowSettings
-
Retrieve the Daily Volatility
- dailyVolumeExecutionFactor() - Method in class org.drip.execution.parameters.PriceMarketImpactPower
-
Retrieve the Daily Reference Execution Rate as a Proportion of the Daily Volume
- DaJagannathan2005a - Class in org.drip.sample.blacklitterman
-
DaJagannathan2005a reconciles the Outputs of the Black-Litterman Model Process.
- DaJagannathan2005a() - Constructor for class org.drip.sample.blacklitterman.DaJagannathan2005a
-
- DaJagannathan2005b - Class in org.drip.sample.blacklitterman
-
DaJagannathan2005b reconciles the Outputs of the Black-Litterman Model Process.
- DaJagannathan2005b() - Constructor for class org.drip.sample.blacklitterman.DaJagannathan2005b
-
- DaJagannathan2005c - Class in org.drip.sample.blacklitterman
-
DaJagannathan2005c reconciles the Outputs of the Black-Litterman Model Process.
- DaJagannathan2005c() - Constructor for class org.drip.sample.blacklitterman.DaJagannathan2005c
-
- DaJagannathan2005d - Class in org.drip.sample.blacklitterman
-
DaJagannathan2005d reconciles the Outputs of the Black-Litterman Model Process.
- DaJagannathan2005d() - Constructor for class org.drip.sample.blacklitterman.DaJagannathan2005d
-
- DaJagannathan2005e - Class in org.drip.sample.blacklitterman
-
DaJagannathan2005e reconciles the Outputs of the Black-Litterman Model Process.
- DaJagannathan2005e() - Constructor for class org.drip.sample.blacklitterman.DaJagannathan2005e
-
- Dalian - Class in org.drip.sample.bondeos
-
Dalian demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Dalian.
- Dalian() - Constructor for class org.drip.sample.bondeos.Dalian
-
- Dandong - Class in org.drip.sample.bondeos
-
Dandong demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Dandong.
- Dandong() - Constructor for class org.drip.sample.bondeos.Dandong
-
- Danyang - Class in org.drip.sample.bondeos
-
Danyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Danyang.
- Danyang() - Constructor for class org.drip.sample.bondeos.Danyang
-
- dap() - Method in class org.drip.param.period.FixingSetting
-
Retrieve the Fixing DAP
- dap() - Method in class org.drip.product.params.TerminationSetting
-
Retrieve the Termination Setting Date Adjustment Parameters
- dapEdge() - Method in class org.drip.param.period.ComposableUnitBuilderSetting
-
Retrieve the Edge Date Adjust Parameters
- dapPay() - Method in class org.drip.param.period.CompositePeriodSetting
-
Retrieve the Pay DAP
- Daqing - Class in org.drip.sample.bondeos
-
Daqing demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Daqing.
- Daqing() - Constructor for class org.drip.sample.bondeos.Daqing
-
- Darbhanga - Class in org.drip.sample.bondmetrics
-
Darbhanga generates the Full Suite of Replication Metrics for Bond Darbhanga.
- Darbhanga() - Constructor for class org.drip.sample.bondmetrics.Darbhanga
-
- dataDependentVarianceBound(double[]) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumMetrics
-
Retrieve the Univariate Sequence Dependent Variance Bound
- dataDependentVarianceBound(double[][]) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumMetrics
-
Retrieve the Multivariate Sequence Dependent Variance Bound
- date() - Method in class org.drip.analytics.date.DateTime
-
Retrieve the Date
- Date(int) - Static method in class org.drip.analytics.date.DateUtil
-
Return the Date given the Julian Date represented by the Integer.
- date() - Method in class org.drip.analytics.output.ExerciseInfo
-
Retrieve the Exercise Date
- date() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
-
Retrieve the Tenor Date
- date() - Method in class org.drip.exposure.csatimeline.EventDate
-
Retrieve the CSA Event Julian Date
- date() - Method in class org.drip.exposure.regression.PillarVertex
-
Retrieve the Path Pillar Date
- date(String) - Method in class org.drip.historical.attribution.PositionMarketSnap
-
Retrieve the Custom Date Entry corresponding to the Specified Key
- date(String) - Method in class org.drip.historical.sensitivity.TenorDurationNodeMetrics
-
Retrieve the Custom Date Entry corresponding to the Specified Key
- date() - Method in class org.drip.param.valuation.WorkoutInfo
-
Retrieve the Work-out Date
- date() - Method in class org.drip.service.api.DateDiscountCurvePair
-
Retrieve the COB
- date() - Method in class org.drip.service.api.DiscountCurveInputInstrument
-
Retrieve the Curve Epoch Date
- date() - Method in class org.drip.xva.derivative.TerminalPayout
-
Retrieve the Terminal Pay Out Date
- DATE_PHASE_AFTER_MORTALITY - Static variable in class org.drip.portfolioconstruction.alm.InvestorCliffSettings
-
Date Phase - After Death
- DATE_PHASE_AFTER_RETIREMENT - Static variable in class org.drip.portfolioconstruction.alm.InvestorCliffSettings
-
Date Phase - After Retirement
- DATE_PHASE_BEFORE_RETIREMENT - Static variable in class org.drip.portfolioconstruction.alm.InvestorCliffSettings
-
Date Phase - Before Retirement
- DATE_ROLL_ACTUAL - Static variable in class org.drip.analytics.daycount.Convention
-
Date Roll Actual
- DATE_ROLL_FOLLOWING - Static variable in class org.drip.analytics.daycount.Convention
-
Date Roll Following
- DATE_ROLL_MODIFIED_FOLLOWING - Static variable in class org.drip.analytics.daycount.Convention
-
Date Roll Modified Following
- DATE_ROLL_MODIFIED_FOLLOWING_BIMONTHLY - Static variable in class org.drip.analytics.daycount.Convention
-
Date Roll Modified Following Bi-monthly
- DATE_ROLL_MODIFIED_PREVIOUS - Static variable in class org.drip.analytics.daycount.Convention
-
Date Roll Modified Previous
- DATE_ROLL_PREVIOUS - Static variable in class org.drip.analytics.daycount.Convention
-
Date Roll Previous
- DateAdjustParams - Class in org.drip.analytics.daycount
-
This class contains the parameters needed for adjusting dates.
- DateAdjustParams(int, int, String) - Constructor for class org.drip.analytics.daycount.DateAdjustParams
-
Create a DateAdjustParams instance from the roll mode and the calendar
- dateArrayAtColumn(int) - Method in class org.drip.feed.loader.CSVGrid
-
Retrieve the Array of JulianDate corresponding to the specified Column Index
- DateArrayEntry(JSONObject, String) - Static method in class org.drip.json.parser.Converter
-
Convert the JSON Entry to a Date Array
- DateDiscountCurvePair - Class in org.drip.service.api
-
DateDiscountCurvePair contains the COB/Discount Curve Pair, and the corresponding computed outputs.
- DateDiscountCurvePair(JulianDate, MergedDiscountForwardCurve, List<String>) - Constructor for class org.drip.service.api.DateDiscountCurvePair
-
DateDiscountCurvePair constructor
- DateEntry(JSONObject, String) - Static method in class org.drip.json.parser.Converter
-
Convert the JSON Entry to a Date
- DateEOMAdjustment - Class in org.drip.analytics.daycount
-
This class holds the applicable adjustments for a given date pair.
- DateEOMAdjustment() - Constructor for class org.drip.analytics.daycount.DateEOMAdjustment
-
- DateInMonth - Class in org.drip.analytics.eventday
-
DateInMonth exports Functionality that generates the specific Event Date inside of the specified
Month/Year.
- DateInMonth(int, boolean, int, int, int, int) - Constructor for class org.drip.analytics.eventday.DateInMonth
-
DateInMonth Constructor
- dateInYear(int, boolean) - Method in class org.drip.analytics.eventday.Base
-
Generate the full date specific to the input year
- dateInYear(int, boolean) - Method in class org.drip.analytics.eventday.Fixed
-
- dateInYear(int, boolean) - Method in class org.drip.analytics.eventday.Static
-
- dateInYear(int, boolean) - Method in class org.drip.analytics.eventday.Variable
-
- dateLocation(int) - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
-
Place the Date Node Location in Relation to the Segment Location
- DateManipulationClient - Class in org.drip.sample.service
-
DateManipulationClient demonstrates the Invocation and Examination of the JSON-based Date Manipulation
Service Client.
- DateManipulationClient() - Constructor for class org.drip.sample.service.DateManipulationClient
-
- DateProcessor - Class in org.drip.service.json
-
DateProcessor Sets Up and Executes a JSON Based In/Out Date Related Service.
- DateProcessor() - Constructor for class org.drip.service.json.DateProcessor
-
- DateRollAPI - Class in org.drip.sample.date
-
DateRollAPI demonstrates Date Roll Functionality.
- DateRollAPI() - Constructor for class org.drip.sample.date.DateRollAPI
-
- dates() - Method in class org.drip.dynamics.lmm.BGMTenorNodeSequence
-
Retrieve the Array of Tenor Dates
- dates() - Method in class org.drip.product.params.EmbeddedOptionSchedule
-
Get the array of dates
- dates() - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
-
Retrieve the Forward Node Dates
- dateSnap() - Method in class org.drip.historical.sensitivity.TenorDurationNodeMetrics
-
Retrieve the KRD Date Snap
- DateTime - Class in org.drip.analytics.date
-
This class provides the representation of the instantiation-time date and time objects.
- DateTime() - Constructor for class org.drip.analytics.date.DateTime
-
Default constructor initializes the time and date to the current time and current date.
- DateTime(double, long) - Constructor for class org.drip.analytics.date.DateTime
-
Constructs DateTime from separate date and time inputs
- DateUtil - Class in org.drip.analytics.date
-
DateUtil contains Various Utilities for manipulating Date.
- DateUtil() - Constructor for class org.drip.analytics.date.DateUtil
-
- DateYield(int, String, String, int[], double[]) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
-
Construct a Govvie Curve from an Array of Dates and Yields
- Datong - Class in org.drip.sample.bondeos
-
Datong demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Datong.
- Datong() - Constructor for class org.drip.sample.bondeos.Datong
-
- Davanagere - Class in org.drip.sample.municipal
-
Davanagere demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Davanagere.
- Davanagere() - Constructor for class org.drip.sample.municipal.Davanagere
-
- Day(Date) - Static method in class org.drip.analytics.date.DateUtil
-
Return the Day corresponding to the java.util.Date Instance
- DayChars(int) - Static method in class org.drip.analytics.date.DateUtil
-
Get the English word for day corresponding to the input integer
- dayCount() - Method in class org.drip.market.definition.FloaterIndex
-
Retrieve the Index Day Count Convention
- dayCount() - Method in class org.drip.market.issue.TreasurySetting
-
Retrieve the Day Count
- dayCount() - Method in class org.drip.market.otc.CreditIndexConvention
-
Retrieve the Day Count
- dayCount() - Method in class org.drip.market.otc.FixedStreamConvention
-
Retrieve the Day Count Convention
- dayCount() - Method in class org.drip.param.quoting.YieldInterpreter
-
Retrieve the Day Count Convention
- dayCount() - Method in class org.drip.product.params.FloaterSetting
-
Retrieve the Floating Day Count
- dayCount() - Method in class org.drip.state.govvie.GovvieCurve
-
Retrieve the Yield Day Count
- DayCountAPI - Class in org.drip.sample.date
-
DayCountAPI demonstrates Day-count API Functionality.
- DayCountAPI() - Constructor for class org.drip.sample.date.DayCountAPI
-
- DayOfTheWeek(Date) - Static method in class org.drip.analytics.date.DateUtil
-
Return the Day of the Week corresponding to the java.util.Date Instance
- dayOfWeek() - Method in class org.drip.analytics.eventday.DateInMonth
-
Retrieve the Day Of Week
- days() - Method in class org.drip.analytics.daycount.ActActDCParams
-
Number of Days in the Act/Act Period
- days() - Method in class org.drip.analytics.eventday.Weekend
-
Retrieve the weekend days
- DaysAccrued(int, int, String, boolean, ActActDCParams, String) - Static method in class org.drip.analytics.daycount.Convention
-
Calculate the Days Accrued between 2 given Dates for the given Day Count Convention and the other
Parameters
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC1_1
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC28_360
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC30_360
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC30_365
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC30_Act
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC30E_360
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC30E_360_ISDA
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DC30EPLUS_360_ISDA
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_360
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_364
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_365
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_365L
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_Act
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_Act_ISDA
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCAct_Act_UST
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in interface org.drip.analytics.daycount.DCFCalculator
-
Calculates the number of days accrued between the two given days
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCNL_360
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCNL_365
-
- daysAccrued(int, int, boolean, ActActDCParams, String) - Method in class org.drip.analytics.daycount.DCNL_Act
-
- daysDiff(JulianDate) - Method in class org.drip.analytics.date.JulianDate
-
Difference in Days between the Current and the Input Dates
- DaysElapsed(int) - Static method in class org.drip.analytics.date.DateUtil
-
Number of Days elapsed in the Year represented by the given Julian Date
- DaysInMonth(int, int) - Static method in class org.drip.analytics.date.DateUtil
-
Get the maximum number of days in the given month and year
- DaysRemaining(int) - Static method in class org.drip.analytics.date.DateUtil
-
Number of Days remaining in the Year represented by the given Julian Date
- DBR(JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder
-
Construct an Instance of the German Treasury EUR DBR Bond
- DBRBenchmarkAttribution - Class in org.drip.sample.treasurypnl
-
DBRBenchmarkAttribution demonstrates the Computation of the PnL Time Series Metrics for the DBR Benchmark
Bond Series.
- DBRBenchmarkAttribution() - Constructor for class org.drip.sample.treasurypnl.DBRBenchmarkAttribution
-
- DBRReconstitutor - Class in org.drip.sample.treasuryfeed
-
DBRReconstitutor demonstrates the Cleansing and Re-constitution of the DBR Yield Marks obtained from
Historical Yield Curve Prints.
- DBRReconstitutor() - Constructor for class org.drip.sample.treasuryfeed.DBRReconstitutor
-
- dc() - Method in class org.drip.service.api.DateDiscountCurvePair
-
Retrieve the Discount Curve
- DC1_1 - Class in org.drip.analytics.daycount
-
This class implements the 1/1 day count convention.
- DC1_1() - Constructor for class org.drip.analytics.daycount.DC1_1
-
Empty DC1_1 constructor
- DC28_360 - Class in org.drip.analytics.daycount
-
This class implements the 28/360 day count convention.
- DC28_360() - Constructor for class org.drip.analytics.daycount.DC28_360
-
Empty DC28_360 constructor
- DC30_360 - Class in org.drip.analytics.daycount
-
This class implements the 30/360 day count convention.
- DC30_360() - Constructor for class org.drip.analytics.daycount.DC30_360
-
Empty DC30_360 constructor
- DC30_365 - Class in org.drip.analytics.daycount
-
This Class Implements the 30/365 Day Count Convention.
- DC30_365() - Constructor for class org.drip.analytics.daycount.DC30_365
-
Empty DC30_365 constructor
- DC30_Act - Class in org.drip.analytics.daycount
-
This class implements the 30/Act day count convention.
- DC30_Act() - Constructor for class org.drip.analytics.daycount.DC30_Act
-
Empty DC30_Act constructor
- DC30E_360 - Class in org.drip.analytics.daycount
-
This class implements the 30E/360 day count convention.
- DC30E_360() - Constructor for class org.drip.analytics.daycount.DC30E_360
-
Empty DC30E_360 constructor
- DC30E_360_ISDA - Class in org.drip.analytics.daycount
-
This class implements the 30E/360 ISDA day count convention.
- DC30E_360_ISDA() - Constructor for class org.drip.analytics.daycount.DC30E_360_ISDA
-
Empty DC30E_360_ISDA constructor
- DC30EPLUS_360_ISDA - Class in org.drip.analytics.daycount
-
This class implements the 30E+/360 ISDA day count convention.
- DC30EPLUS_360_ISDA() - Constructor for class org.drip.analytics.daycount.DC30EPLUS_360_ISDA
-
Empty DC30EPLUS_360_ISDA constructor
- DC_BASE - Static variable in class org.drip.param.market.DiscountCurveScenarioContainer
-
Base Discount Curve
- DC_FLAT_DN - Static variable in class org.drip.param.market.DiscountCurveScenarioContainer
-
Discount Curve Parallel Bump Down
- DC_FLAT_UP - Static variable in class org.drip.param.market.DiscountCurveScenarioContainer
-
Discount Curve Parallel Bump Up
- DC_TENOR_DN - Static variable in class org.drip.param.market.DiscountCurveScenarioContainer
-
Discount Curve Tenor Bump Down
- DC_TENOR_UP - Static variable in class org.drip.param.market.DiscountCurveScenarioContainer
-
Discount Curve Tenor Bump Up
- DCAct_360 - Class in org.drip.analytics.daycount
-
This class implements the Act/360 day count convention.
- DCAct_360() - Constructor for class org.drip.analytics.daycount.DCAct_360
-
Empty DCAct_360 constructor
- DCAct_364 - Class in org.drip.analytics.daycount
-
This class implements the Act/364 day count convention.
- DCAct_364() - Constructor for class org.drip.analytics.daycount.DCAct_364
-
Empty DCAct_364 constructor
- DCAct_365 - Class in org.drip.analytics.daycount
-
This class implements the Act/365 day count convention.
- DCAct_365() - Constructor for class org.drip.analytics.daycount.DCAct_365
-
Empty DCAct_365 constructor
- DCAct_365L - Class in org.drip.analytics.daycount
-
This class implements the Act/365L day count convention.
- DCAct_365L() - Constructor for class org.drip.analytics.daycount.DCAct_365L
-
Empty DCAct_365L constructor
- DCAct_Act - Class in org.drip.analytics.daycount
-
This class implements the Act/Act day count convention.
- DCAct_Act() - Constructor for class org.drip.analytics.daycount.DCAct_Act
-
Empty DCAct_Act constructor
- DCAct_Act_ISDA - Class in org.drip.analytics.daycount
-
This class implements the ISDA Act/Act day count convention.
- DCAct_Act_ISDA() - Constructor for class org.drip.analytics.daycount.DCAct_Act_ISDA
-
Empty DCAct_Act_ISDA constructor
- DCAct_Act_UST - Class in org.drip.analytics.daycount
-
This class implements the US Treasury Bond Act/Act Day Count Convention.
- DCAct_Act_UST() - Constructor for class org.drip.analytics.daycount.DCAct_Act_UST
-
Empty DCAct_Act_UST constructor
- dcf() - Method in class org.drip.analytics.cashflow.ReferenceIndexPeriod
-
Retrieve the Reference Period Day Count Fraction
- dcf() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
Retrieve the Composite DCF
- dcf() - Method in class org.drip.analytics.output.UnitPeriodMetrics
-
Retrieve the Day Count Fraction
- DCFCalculator - Interface in org.drip.analytics.daycount
-
This interface is the stub for all the day count convention functionality.
- DCNL_360 - Class in org.drip.analytics.daycount
-
This class implements the NL/360 day count convention.
- DCNL_360() - Constructor for class org.drip.analytics.daycount.DCNL_360
-
Empty DCNL_360 constructor
- DCNL_365 - Class in org.drip.analytics.daycount
-
This class implements the NL/365 day count convention.
- DCNL_365() - Constructor for class org.drip.analytics.daycount.DCNL_365
-
Empty DCNL_365 constructor
- DCNL_Act - Class in org.drip.analytics.daycount
-
This class implements the NL/Act day count convention.
- DCNL_Act() - Constructor for class org.drip.analytics.daycount.DCNL_Act
-
Empty DCNL_Act constructor
- dContinuousForwardDXInitial() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateUpdate
-
Retrieve the Initial D {Continuously Compounded Forward Rate} / DX
- dContinuousForwardDXTerminal() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateUpdate
-
Retrieve the Terminal D {Continuously Compounded Forward Rate} / DX
- DDMMMYYYY(int) - Static method in class org.drip.analytics.date.DateUtil
-
Create an DD/MMM/YYYY String from the Input Julian Integer
- deactivate() - Method in class org.drip.portfolioconstruction.optimizer.ObjectiveTermUnit
-
Turn OFF the Objective Term Unit
- dealer() - Method in class org.drip.exposure.mpor.TradePayment
-
Retrieve the Dealer Trade Payment
- dealer() - Method in class org.drip.exposure.universe.MarketVertex
-
Retrieve the Realized Dealer Senior Market Vertex
- dealer() - Method in class org.drip.xva.hypothecation.CollateralGroupVertexCloseOut
-
Retrieve the Dealer Close Out
- dealerAccumulation() - Method in class org.drip.xva.derivative.CashAccountEdge
-
Retrieve the Incremental Amount added to the Cash Account coming from Dealer Borrowing/Funding
- dealerCollateralThreshold() - Method in class org.drip.exposure.mpor.CollateralAmountEstimatorOutput
-
Retrieve the Dealer Collateral Threshold
- dealerDefault(double, double) - Method in class org.drip.xva.definition.CloseOut
-
Retrieve the Close-out from the Exposure on Dealer Default
- dealerDefault(double) - Method in class org.drip.xva.definition.CloseOut
-
Retrieve the Close-out from the Exposure on Dealer Default
- dealerDefault(double, double) - Method in class org.drip.xva.definition.CloseOutBilateral
-
- dealerDefaultCloseOut() - Method in class org.drip.xva.vertex.BurgardKjaer
-
Retrieve the Close Out on Dealer Default
- dealerDefaultWindow() - Method in class org.drip.xva.proto.PositionGroupSpecification
-
Retrieve the Dealer Default Window
- dealerHazardLabel() - Method in class org.drip.exposure.evolver.EntityDynamicsContainer
-
Retrieve the Dealer Hazard Label
- dealerHazardLabel() - Method in class org.drip.xva.proto.CreditDebtGroupSpecification
-
Retrieve the Dealer Hazard Label
- dealerHazardLabel() - Method in class org.drip.xva.topology.CreditDebtGroup
-
Retrieve the Dealer Hazard Label
- dealerHazardLabelMap() - Method in class org.drip.xva.topology.Adiabat
-
Retrieve the Dealer Hazard Label Map
- dealerHazardLabelMap() - Method in class org.drip.xva.topology.AdiabatMarketParams
-
Retrieve the Map of Dealer Hazard Labels
- dealerHazardLabelMap() - Method in class org.drip.xva.topology.FundingGroup
-
Retrieve the Dealer Hazard Label Map
- dealerHazardRateEvolver() - Method in class org.drip.exposure.evolver.EntityDynamicsContainer
-
Retrieve the Dealer Hazard Rate Evolver
- dealerMarginDate() - Method in class org.drip.exposure.mpor.CollateralAmountEstimatorOutput
-
Retrieve the Dealer Margin Date
- DealerPortfolioBuilder(JulianDate, CollateralGroupVertexExposure, MarketEdge, CollateralGroupVertexCloseOut, BurgardKjaerExposure) - Static method in class org.drip.xva.vertex.BurgardKjaerBuilder
-
Construct a Path-wise Dynamic Dealer Portfolio
- dealerPostDefaultPositionValue(MarketVertex) - Method in class org.drip.xva.derivative.ReplicationPortfolioVertex
-
Compute the Market Value of the Dealer Position Post-Default
- dealerPostingRequirement(JulianDate) - Method in class org.drip.exposure.mpor.CollateralAmountEstimator
-
Calculate the Margin Amount Required to be Posted by the Dealer
- dealerPostingRequirement() - Method in class org.drip.exposure.mpor.CollateralAmountEstimatorOutput
-
Retrieve the Dealer Posting Requirement
- dealerPreDefaultPositionValue(MarketVertex) - Method in class org.drip.xva.derivative.ReplicationPortfolioVertex
-
Compute the Market Value of the Dealer Position Pre-Default
- dealerReplicationPortfolio() - Method in class org.drip.xva.vertex.BurgardKjaer
-
Retrieve the Dealer Replication Potrfolio Instance
- dealerSeniorFunding() - Method in class org.drip.exposure.evolver.PrimarySecurityDynamicsContainer
-
Retrieve the Dealer Senior Funding Primary Security
- dealerSeniorFundingLabel() - Method in class org.drip.xva.proto.FundingGroupSpecification
-
Retrieve the Dealer Senior Funding Label
- dealerSeniorFundingLabel() - Method in class org.drip.xva.topology.FundingGroup
-
Retrieve the Dealer Senior Funding Label
- dealerSeniorFundingLabelMap() - Method in class org.drip.xva.topology.Adiabat
-
Retrieve the Dealer Senior Funding Label Map
- dealerSeniorFundingLabelMap() - Method in class org.drip.xva.topology.AdiabatMarketParams
-
Retrieve the Map of Dealer Senior Funding Labels
- dealerSeniorFundingRecovery() - Method in class org.drip.xva.definition.CloseOutBilateral
-
Retrieve the Dealer Senior Funding Recovery Rate
- dealerSeniorNumeraireHoldings() - Method in class org.drip.xva.derivative.ReplicationPortfolioVertex
-
Retrieve the Number of Dealer Senior Numeraire Holdings
- dealerSeniorRecoveryLabel() - Method in class org.drip.exposure.evolver.EntityDynamicsContainer
-
Retrieve the Dealer Senior Recovery Label
- dealerSeniorRecoveryLabel() - Method in class org.drip.xva.proto.CreditDebtGroupSpecification
-
Retrieve the Dealer Senior Recovery Label
- dealerSeniorRecoveryLabel() - Method in class org.drip.xva.topology.CreditDebtGroup
-
Retrieve the Dealer Senior Recovery Label
- dealerSeniorRecoveryLabelMap() - Method in class org.drip.xva.topology.Adiabat
-
Retrieve the Dealer Senior Recovery Label Map
- dealerSeniorRecoveryLabelMap() - Method in class org.drip.xva.topology.AdiabatMarketParams
-
Retrieve the Map of Dealer Senior Recovery Labels
- dealerSeniorRecoveryLabelMap() - Method in class org.drip.xva.topology.FundingGroup
-
Retrieve the Dealer Senior Recovery Label Map
- dealerSeniorRecoveryRateEvolver() - Method in class org.drip.exposure.evolver.EntityDynamicsContainer
-
Retrieve the Dealer Senior Recovery Rate Evolver
- dealerSubordinateFunding() - Method in class org.drip.exposure.evolver.PrimarySecurityDynamicsContainer
-
Retrieve the Dealer Subordinate Funding Primary Security
- dealerSubordinateFundingLabel() - Method in class org.drip.xva.proto.FundingGroupSpecification
-
Retrieve the Dealer Subordinate Funding Label
- dealerSubordinateFundingLabel() - Method in class org.drip.xva.topology.FundingGroup
-
Retrieve the Dealer Subordinate Funding Label
- dealerSubordinateFundingLabelMap() - Method in class org.drip.xva.topology.Adiabat
-
Retrieve the Dealer Subordinate Funding Label Map
- dealerSubordinateFundingLabelMap() - Method in class org.drip.xva.topology.AdiabatMarketParams
-
Retrieve the Map of Dealer Subordinate Funding Labels
- dealerSubordinateNumeraireHoldings() - Method in class org.drip.xva.derivative.ReplicationPortfolioVertex
-
Retrieve the Number of Dealer Subordinate Numeraire Holdings
- dealerSubordinateRecoveryLabel() - Method in class org.drip.exposure.evolver.EntityDynamicsContainer
-
Retrieve the Dealer Subordinate Recovery Label
- dealerSubordinateRecoveryLabel() - Method in class org.drip.xva.proto.CreditDebtGroupSpecification
-
Retrieve the Dealer Subordinate Recovery Label
- dealerSubordinateRecoveryLabel() - Method in class org.drip.xva.topology.CreditDebtGroup
-
Retrieve the Dealer Subordinate Recovery Label
- dealerSubordinateRecoveryLabelMap() - Method in class org.drip.xva.topology.Adiabat
-
Retrieve the Dealer Subordinate Recovery Label Map
- dealerSubordinateRecoveryLabelMap() - Method in class org.drip.xva.topology.AdiabatMarketParams
-
Retrieve the Map of Dealer Subordinate Recovery Labels
- dealerSubordinateRecoveryLabelMap() - Method in class org.drip.xva.topology.FundingGroup
-
Retrieve the Dealer Subordinate Recovery Label Map
- dealerSubordinateRecoveryRateEvolver() - Method in class org.drip.exposure.evolver.EntityDynamicsContainer
-
Retrieve the Dealer Subordinate Recovery Rate Evolver
- dealerThreshold(JulianDate) - Method in class org.drip.exposure.mpor.CollateralAmountEstimator
-
Calculate the Dealer Margin Threshold
- dealerThresholdFunction() - Method in class org.drip.xva.proto.PositionGroupSpecification
-
Retrieve the Collateral Group Dealer Threshold R^1 - R^1 Function
- dealerTradePayment() - Method in class org.drip.exposure.csatimeline.LastFlowDates
-
Retrieve the Last Dealer Trade Payment (Settlement) Date
- dealerTradePaymentDelay() - Method in class org.drip.exposure.csatimeline.AndersenPykhtinSokolLag
-
Retrieve the Dealer Trade Payment Delay
- dealerVariationMarginPosting() - Method in class org.drip.exposure.csatimeline.LastFlowDates
-
Retrieve the Last Dealer Variation Margin Posting (Observation) Date
- dealerVariationMarginPostingDelay() - Method in class org.drip.exposure.csatimeline.AndersenPykhtinSokolLag
-
Retrieve the Dealer Variation Margin Posting Delay
- dealerWindowMarginValue(JulianDate) - Method in class org.drip.exposure.mpor.CollateralAmountEstimator
-
Calculate the Margin Value at the Dealer Default Window
- dealerWindowMarginValue() - Method in class org.drip.exposure.mpor.CollateralAmountEstimatorOutput
-
Retrieve the Margin Value at the Dealer Default Window
- debias() - Method in class org.drip.measure.discrete.QuadraticResampler
-
Indicate if the Sampling Bias needs to be Removed
- debt() - Method in interface org.drip.xva.hypothecation.CollateralGroupVertexExposureComponent
-
Retrieve the Debt Exposure of the Collateral Group
- debt() - Method in class org.drip.xva.vertex.AlbaneseAndersen
-
- debt() - Method in class org.drip.xva.vertex.BurgardKjaer
-
- debt() - Method in class org.drip.xva.vertex.BurgardKjaerExposure
-
- debtAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
-
- debtAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
-
- debtAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
-
Compute Path Debt Adjustment
- debtAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Compute Path Debt Adjustment
- debtAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenNettingGroupPath
-
- DEBUG - Static variable in class org.drip.analytics.support.Logger
-
Logger level DEBUG
- decayVelocity() - Method in class org.drip.function.rdtor1solver.InteriorPointBarrierControl
-
Retrieve the Decay Velocity
- DECEMBER - Static variable in class org.drip.analytics.date.DateUtil
-
Integer Month - December
- DecisionFunctionOperatorBounds - Class in org.drip.learning.svm
-
DecisionFunctionOperatorBounds implements the Dot Product Entropy Number Upper Bounds for the Product of
Kernel Feature Map Function and the Scaling Diagonal Operator.
- DecisionFunctionOperatorBounds(DiagonalScalingOperator, double, double, int) - Constructor for class org.drip.learning.svm.DecisionFunctionOperatorBounds
-
DecisionFunctionOperatorBounds Constructor
- defaulted() - Method in class org.drip.product.credit.BondComponent
-
- defaulted() - Method in class org.drip.product.definition.Bond
-
Indicate if the bond has defaulted
- defaulted() - Method in class org.drip.product.params.TerminationSetting
-
Indicate if the contract has defaulted
- defaultExposure() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve Default Exposure - Same as PV on instantaneous default
- defaultExposureNoRec() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve the Default Exposure without recovery - Same as PV on instantaneous default without recovery
- defaultSegmentBuilderControl() - Method in class org.drip.state.estimator.SmoothingCurveStretchParams
-
Retrieve the Default Segment Builder Parameters
- Dehradun - Class in org.drip.sample.bondsink
-
Dehradun generates the Full Suite of Replication Metrics for the Sinker Bond Dehradun.
- Dehradun() - Constructor for class org.drip.sample.bondsink.Dehradun
-
- DelayedCollateralTransferInitiation(EventDate, String) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
-
Construct the Delayed Collateral Transfer Initiation CSA Event Date
- Delhi - Class in org.drip.sample.bondmetrics
-
Delhi generates the Full Suite of Replication Metrics for a Sample Bond.
- Delhi() - Constructor for class org.drip.sample.bondmetrics.Delhi
-
- DelinquentAccountsLast2Years - Class in org.drip.assetbacked.borrower
-
DelinquentAccountsLast2Years contains the Total Number of Borrower Delinquent Accounts over the Last Two
Years
- DelinquentAccountsLast2Years(int) - Constructor for class org.drip.assetbacked.borrower.DelinquentAccountsLast2Years
-
DelinquentAccountsLast2Years Constructor
- DeliverableSwapFutures - Class in org.drip.market.exchange
-
DeliverableSwapFutures contains the details of the exchange-traded Deliverable Swap Futures Contracts.
- DeliverableSwapFutures(String, String, double, double, LastTradingDateSetting) - Constructor for class org.drip.market.exchange.DeliverableSwapFutures
-
DeliverableSwapFutures constructor
- DeliverableSwapFuturesContainer - Class in org.drip.market.exchange
-
DeliverableSwapFuturesContainer holds the Deliverable Swap Futures Contracts.
- DeliverableSwapFuturesContainer() - Constructor for class org.drip.market.exchange.DeliverableSwapFuturesContainer
-
- deliveryMonths() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
-
Retrieve the Delivery Months
- deliveryMonths() - Method in class org.drip.product.govvie.TreasuryFutures
-
Retrieve the Array of Delivery Months
- deliveryNotice() - Method in class org.drip.market.exchange.TreasuryFuturesEventDates
-
Retrieve the Delivery Notice Date
- delocalize(double) - Method in class org.drip.spline.segment.LatentStateInelastic
-
Transform the Local Predictor Ordinate to the Segment Ordinate
- delta() - Method in class org.drip.pricer.option.Greeks
-
The Option Delta
- delta() - Method in class org.drip.simm.common.DeltaVegaThreshold
-
Retrieve the Delta Concentration Threshold
- delta() - Method in class org.drip.simm.parameters.RiskClassSensitivitySettings
-
Delta Risk Measure Sensitivity Settings
- delta() - Method in class org.drip.simm.parameters.RiskClassSensitivitySettingsCR
-
Retrieve the Credit Risk Class Delta Sensitivity Settings
- delta() - Method in class org.drip.simm.parameters.RiskClassSensitivitySettingsIR
-
Retrieve the IR Risk Class Delta Sensitivity Settings
- delta() - Method in class org.drip.simm.product.RiskClassSensitivity
-
Retrieve the Delta Risk Measure Sensitivity
- delta() - Method in class org.drip.simm.product.RiskClassSensitivityCR
-
Retrieve the CR Delta Risk Measure Sensitivity
- delta() - Method in class org.drip.simm.product.RiskClassSensitivityIR
-
Retrieve the IR Delta Tenor Sensitivity
- DELTA_RISK_WEIGHT - Static variable in class org.drip.simm.fx.FXSystemics20
-
FX Risk Class Delta Risk Weight
- DELTA_RISK_WEIGHT - Static variable in class org.drip.simm.fx.FXSystemics21
-
FX Risk Class Delta Risk Weight
- deltaMargin() - Method in class org.drip.simm.margin.RiskClassAggregate
-
Retrieve the Delta Margin
- deltaMargin() - Method in class org.drip.simm.margin.RiskClassAggregateCR
-
Retrieve the CR Delta SBA Margin
- deltaMargin() - Method in class org.drip.simm.margin.RiskClassAggregateIR
-
Retrieve the Delta Margin
- deltaRiskWeight() - Method in class org.drip.simm.commodity.CTBucket
-
Retrieve the SIMM Delta Risk Weight
- deltaRiskWeight() - Method in class org.drip.simm.equity.EQBucket
-
Retrieve the Bucket Delta Risk Weight
- deltaVega() - Method in class org.drip.simm.rates.IRThreshold
-
Retrieve the Delta Vega Concentration Threshold
- DeltaVegaThreshold - Class in org.drip.simm.common
-
DeltaVegaThreshold holds the ISDA SIMM Delta/Vega Limits defined for the Concentration Thresholds.
- DeltaVegaThreshold(double, double) - Constructor for class org.drip.simm.common.DeltaVegaThreshold
-
DeltaVegaThreshold Constructor
- DeltaVegaThresholdMap() - Static method in class org.drip.simm.commodity.CTRiskThresholdContainer20
-
Retrieve the Delta Vega Threshold Map
- DeltaVegaThresholdMap() - Static method in class org.drip.simm.commodity.CTRiskThresholdContainer21
-
Retrieve the Delta Vega Threshold Map
- DeltaVegaThresholdMap() - Static method in class org.drip.simm.equity.EQRiskThresholdContainer20
-
Retrieve the Delta Vega Threshold Map
- DeltaVegaThresholdMap() - Static method in class org.drip.simm.equity.EQRiskThresholdContainer21
-
Retrieve the Delta Vega Threshold Map
- deltaX(int, int, double, int) - Method in class org.drip.dynamics.hjm.G2PlusPlus
-
Compute the X Increment
- deltaY(int, int, double, int) - Method in class org.drip.dynamics.hjm.G2PlusPlus
-
Compute the Y Increment
- DEMHoliday - Class in org.drip.analytics.holset
-
- DEMHoliday() - Constructor for class org.drip.analytics.holset.DEMHoliday
-
- Dengzhou - Class in org.drip.sample.bondeos
-
Dengzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Dengzhou.
- Dengzhou() - Constructor for class org.drip.sample.bondeos.Dengzhou
-
- denomCcy() - Method in class org.drip.product.params.CurrencyPair
-
Get the denominator currency
- denomination() - Method in class org.drip.portfolioconstruction.optimizer.Unit
-
Retrieve the Denomination of the Unit
- denominationCurrency() - Method in class org.drip.product.params.NotionalSetting
-
Currency in which the Notional is specified
- denormalizeImpact(double) - Method in class org.drip.execution.parameters.AssetFlowSettings
-
De-normalize the Specified Temporary/Permanent Impact
- DENSE(String, ValuationParams, CalibratableComponent[], double[], String[], CalibratableComponent[], double[], String[], TurnListDiscountFactor) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
The Standard DENSE Curve Creation Methodology - this uses no re-construction set for the short term,
and uses 3M dense re-construction for the Swap Set.
- denseExposure(double[]) - Method in class org.drip.exposure.regression.AndersenPykhtinSokolStretch
-
Generate the Dense (Complete) Segment Exposures
- denseExposure(Map<Integer, Double>) - Method in class org.drip.exposure.regression.PykhtinBrownianBridgeStretch
-
Generate the Dense (Complete) Segment Exposures
- denseExposureTrajectoryUpdate(double[], double[]) - Method in class org.drip.exposure.regression.AndersenPykhtinSokolSegment
-
Generate the Dense (Complete) Segment Exposures
- denseExposureTrajectoryUpdate(Map<Integer, Double>, Map<Integer, Double>) - Method in class org.drip.exposure.regression.PykhtinBrownianBridgeSegment
-
Generate the Dense (Complete) Segment Exposures
- denseTradePayment(int, int) - Method in class org.drip.exposure.regressiontrade.AdjustedVariationMarginEstimator
-
Retrieve the Dense Trade Payment Array across the Exposure Date Range
- denseTradePaymentArray(int, int, MarketPath) - Method in class org.drip.exposure.generator.FixedStreamMPoR
-
- denseTradePaymentArray(int, int, MarketPath) - Method in class org.drip.exposure.generator.FixFloatMPoR
-
- denseTradePaymentArray(int, int, MarketPath) - Method in class org.drip.exposure.generator.FloatStreamMPoR
-
- denseTradePaymentArray(int, int, MarketPath) - Method in class org.drip.exposure.generator.NumeraireMPoR
-
- denseTradePaymentArray(int, int, MarketPath) - Method in class org.drip.exposure.generator.PortfolioMPoR
-
- denseTradePaymentArray(int, int, MarketPath) - Method in class org.drip.exposure.holdings.PositionGroupEstimator
-
- denseTradePaymentArray(int, int, MarketPath) - Method in interface org.drip.exposure.mpor.VariationMarginTradePaymentVertex
-
Estimate the Dense Exposure Vertex Date Trade Payment on all Dates from the specified Start to End
- denseTradePaymentArray() - Method in class org.drip.exposure.regression.AndersenPykhtinSokolStretch
-
Retrieve the Dense Trade Payment Array
- denseTradePaymentArray() - Method in class org.drip.exposure.regressiontrade.AdjustedVariationMarginEstimate
-
Retrieve the Path-wise Dense Trade Payment Array
- denseTradePaymentArray() - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolPath
-
Retrieve the Path-wise Dense Trade Payment Array
- denseTrajectory(LocalVolatilityGenerationControl, double[][]) - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble
-
Generate the Dense Variation Margin Trajectory
- denseVariationMargin(LocalVolatilityGenerationControl, double[][]) - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble
-
Generate the Path-wise Dense Variation Margin Array
- density(double) - Method in class org.drip.measure.continuous.R1
-
Compute the Density under the Distribution at the given Variate
- density(double[]) - Method in class org.drip.measure.continuous.R1Multivariate
-
Compute the Density under the Distribution at the given Multivariate
- density(double, double) - Method in class org.drip.measure.continuous.R1R1
-
Compute the Density under the Distribution at the given Variate Pair
- density(double[]) - Method in class org.drip.measure.continuous.Rd
-
Compute the Density under the Distribution at the given Variate Array
- density(double[], double) - Method in class org.drip.measure.continuous.RdR1
-
Compute the Density under the Distribution at the given Variate Array/Variate
- density(double) - Method in class org.drip.measure.discrete.BoundedUniformIntegerDistribution
-
- density(double) - Method in class org.drip.measure.discrete.PoissonDistribution
-
- Density(double) - Static method in class org.drip.measure.gaussian.NormalQuadrature
-
Retrieve the Density at the specified Point using Zero Mean and Unit Variance
- density(double[]) - Method in class org.drip.measure.gaussian.R1MultivariateNormal
-
- density(double) - Method in class org.drip.measure.gaussian.R1UnivariateNormal
-
- density(double) - Method in class org.drip.measure.lebesgue.R1PiecewiseDisplaced
-
- density(double) - Method in class org.drip.measure.lebesgue.R1PiecewiseLinear
-
- density(double) - Method in class org.drip.measure.lebesgue.R1Uniform
-
- density(double[]) - Method in class org.drip.measure.lebesgue.RdUniform
-
- densityDisplacement() - Method in class org.drip.measure.lebesgue.R1PiecewiseDisplaced
-
Retrieve the Density Displacement
- densityEvaluator() - Method in class org.drip.measure.dynamics.SingleJumpEvaluator
-
Retrieve the Jump Density Evaluator
- densityRdToR1() - Method in class org.drip.measure.continuous.R1Multivariate
-
Convert the Multivariate Density into an RdToR1 Functions Instance
- densityRescale(double) - Method in class org.drip.exposure.csadynamics.NumeraireInducedMeasureShift
-
Compute the No CSA/CSA Density Re-scaling using the Antonov and Arneguy (2009) Linear Proxy Approach
- Deposit(JulianDate, JulianDate, ForwardLabel) - Static method in class org.drip.product.creator.SingleStreamComponentBuilder
-
Create a Deposit Product from the Effective and the Maturity Dates, and the Forward Label
- DepositClient - Class in org.drip.sample.service
-
DepositClient demonstrates the Invocation and Examination of the JSON-based Deposit Valuation Service
Client.
- DepositClient() - Constructor for class org.drip.sample.service.DepositClient
-
- DepositComponentQuoteSet - Class in org.drip.product.calib
-
DepositComponentQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the
Deposit Component.
- DepositComponentQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.DepositComponentQuoteSet
-
DepositComponentQuoteSet Constructor
- DepositPeriods - Class in org.drip.sample.cashflow
-
DepositPeriods demonstrates the Cash Flow Period Details for a Deposit.
- DepositPeriods() - Constructor for class org.drip.sample.cashflow.DepositPeriods
-
- DepositProcessor - Class in org.drip.service.json
-
DepositProcessor Sets Up and Executes a JSON Based In/Out Deposit Valuation Processor.
- DepositProcessor() - Constructor for class org.drip.service.json.DepositProcessor
-
- depositQuote() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Array of Deposit Instrument Quotes
- depositTenor() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Array of Deposit Instrument Maturity Tenors
- DerivArrayFromSlope(int, double) - Static method in class org.drip.quant.common.CollectionUtil
-
Populate an array of derivatives using the input slope (and setting the other to zero)
- derivative(double, int) - Method in class org.drip.execution.athl.PermanentImpactNoArbitrage
-
- derivative(double, int) - Method in class org.drip.execution.athl.PermanentImpactQuasiArbitrage
-
- derivative(double, int) - Method in class org.drip.execution.athl.TemporaryImpact
-
- derivative(double, int) - Method in class org.drip.execution.impact.ParticipationRateLinear
-
- derivative(double, int) - Method in class org.drip.execution.impact.ParticipationRatePower
-
- derivative(double, int) - Method in class org.drip.function.definition.R1ToR1
-
Calculate the derivative as a double
- derivative(double, int) - Method in class org.drip.function.definition.R1ToRd
-
Calculate the Derivative Array as a double
- derivative(double[], int, int) - Method in class org.drip.function.definition.RdToR1
-
Calculate the derivative as a double
- derivative(double[], int, int) - Method in class org.drip.function.definition.RdToRd
-
Calculate the Derivative Array as a double
- derivative(double, int) - Method in class org.drip.function.r1tor1.ExponentialDecay
-
- derivative(double, int) - Method in class org.drip.function.r1tor1.ExponentialTension
-
- derivative(double, int) - Method in class org.drip.function.r1tor1.FunctionClassSupremum
-
- derivative(double, int) - Method in class org.drip.function.r1tor1.HyperbolicTension
-
- derivative(double, int) - Method in class org.drip.function.r1tor1.LinearRationalShapeControl
-
- derivative(double, int) - Method in class org.drip.function.r1tor1.NaturalLogSeriesElement
-
- derivative(double, int) - Method in class org.drip.function.r1tor1.OffsetIdempotent
-
- derivative(double, int) - Method in class org.drip.function.r1tor1.Polynomial
-
- derivative(double, int) - Method in class org.drip.function.r1tor1.QuadraticRationalShapeControl
-
- derivative(double, int) - Method in class org.drip.function.r1tor1.UnivariateConvolution
-
- derivative(double, int) - Method in class org.drip.function.r1tor1.UnivariateReflection
-
- derivative(double[], int, int) - Method in class org.drip.portfolioconstruction.optimizer.ObjectiveFunction
-
- derivative(double, int) - Method in class org.drip.spline.bspline.CubicRationalLeftRaw
-
- derivative(double, int) - Method in class org.drip.spline.bspline.CubicRationalRightRaw
-
- derivative(double, int) - Method in class org.drip.spline.bspline.ExponentialTensionLeftHat
-
- derivative(double, int) - Method in class org.drip.spline.bspline.ExponentialTensionLeftRaw
-
- derivative(double, int) - Method in class org.drip.spline.bspline.ExponentialTensionRightHat
-
- derivative(double, int) - Method in class org.drip.spline.bspline.ExponentialTensionRightRaw
-
- derivative(double, int) - Method in class org.drip.spline.bspline.LeftHatShapeControl
-
- derivative(double, int) - Method in class org.drip.spline.bspline.RightHatShapeControl
-
- derivative(double, int) - Method in class org.drip.spline.bspline.SegmentMonicBasisFunction
-
- derivative(double, int) - Method in class org.drip.spline.bspline.TensionProcessedBasisHat
-
- derivative(double, int) - Method in class org.drip.spline.tension.KLKHyperbolicTensionPhy
-
- derivative(double, int) - Method in class org.drip.spline.tension.KLKHyperbolicTensionPsy
-
- DerivativeControl - Class in org.drip.quant.calculus
-
DerivativeControl provides bumps needed for numerically approximating derivatives.
- DerivativeControl() - Constructor for class org.drip.quant.calculus.DerivativeControl
-
Empty DerivativeControl constructor
- DerivativeControl(double) - Constructor for class org.drip.quant.calculus.DerivativeControl
-
DerivativeControl constructor
- derivativeExpectation(double, int) - Method in interface org.drip.measure.stochastic.R1R1ToR1
-
Evaluate the Derivative Expectation at the given variate
- derivativeFairValue() - Method in class org.drip.xva.derivative.PositionGreekVertex
-
Retrieve the Derivative De-XVA "Fair" Value
- derivativeInfusion(double) - Method in class org.drip.xva.definition.SimpleBalanceSheet
-
Generate the Updated Balance Sheet resulting from a Derivative Value Infusion
- derivativeOrder() - Method in class org.drip.spline.params.SegmentFlexurePenaltyControl
-
Retrieve the Derivative Order
- derivativeRealization(double, int) - Method in interface org.drip.measure.stochastic.R1R1ToR1
-
Evaluate the Derivative for a Single Realization for the given variate
- derivativeXVA() - Method in class org.drip.xva.derivative.PositionGreekVertex
-
Retrieve the Derivative XVA Adjustment
- derivativeXVAClientDefaultGrowth() - Method in class org.drip.xva.pde.BurgardKjaerEdgeAttribution
-
Retrieve the Client Default Component of the Derivative XVA Value Growth
- derivativeXVAClientDefaultGrowth() - Method in class org.drip.xva.pde.BurgardKjaerEdgeRun
-
Retrieve the Client Default Component of the Derivative XVA Value Growth
- derivativeXVACollateralGrowth() - Method in class org.drip.xva.pde.BurgardKjaerEdge
-
Retrieve the Collateral Component of the Derivative XVA Value Growth
- derivativeXVADealerDefaultGrowth() - Method in class org.drip.xva.pde.BurgardKjaerEdgeAttribution
-
Retrieve the Dealer Default Component of the Derivative XVA Value Growth
- derivativeXVADealerDefaultGrowth() - Method in class org.drip.xva.pde.BurgardKjaerEdgeRun
-
Retrieve the Dealer Default Component of the Derivative XVA Value Growth
- derivativeXVAEarlyTerminationGrowth() - Method in class org.drip.xva.pde.BurgardKjaerEdgeAttribution
-
Retrieve the Early Termination Component of the Derivative XVA Value Growth
- derivativeXVAFundingGrowth() - Method in class org.drip.xva.pde.BurgardKjaerEdgeAttribution
-
Retrieve the Funding Component of the Derivative XVA Value Growth
- derivativeXVAFundingGrowth() - Method in class org.drip.xva.pde.BurgardKjaerEdgeRun
-
Retrieve the Funding Component of the Derivative XVA Value Growth
- derivativeXVAHedgeErrorGrowth() - Method in class org.drip.xva.pde.BurgardKjaerEdgeRun
-
Retrieve the Hedge Error Component of the Derivative XVA Value Growth
- derivativeXVAStochasticGrowth() - Method in class org.drip.xva.pde.BurgardKjaerEdge
-
Retrieve the Stochastic Component of the Derivative XVA Value Growth
- derivativeXVAStochasticGrowthDown() - Method in class org.drip.xva.pde.BurgardKjaerEdge
-
Retrieve the Stochastic Down Component of the Derivative XVA Value
- derivativeXVAStochasticGrowthUp() - Method in class org.drip.xva.pde.BurgardKjaerEdge
-
Retrieve the Stochastic Up Component of the Derivative XVA Value
- derivativeXVAValue() - Method in class org.drip.xva.derivative.PositionGreekVertex
-
Retrieve the Derivative XVA Value
- derivativeXVAValueDelta() - Method in class org.drip.xva.derivative.PositionGreekVertex
-
Retrieve the Derivative XVA Value Delta
- derivativeXVAValueEdge() - Method in class org.drip.xva.derivative.CashAccountRebalancer
-
Retrieve the Derivative XVA Value Increment
- derivativeXVAValueGamma() - Method in class org.drip.xva.derivative.PositionGreekVertex
-
Retrieve the Derivative XVA Value Gamma
- derived() - Method in class org.drip.measure.process.OrnsteinUhlenbeckPair
-
Retrieve the Derived R^1 Ornstein-Uhlenbeck Evaluator
- derivedComponent() - Method in class org.drip.product.fx.ComponentPair
-
Retrieve the Derived Component
- derivedCompoundedToReference() - Method in class org.drip.market.otc.FloatFloatSwapConvention
-
Retrieve the Flag indicating whether the Derived Periods are to be compounded onto the Reference
Period
- derivedConvention() - Method in class org.drip.market.otc.CrossFloatSwapConvention
-
Retrieve the Derived Convention
- derivedForwardSpec(ValuationParams, CurveSurfaceQuoteContainer, double, boolean, boolean) - Method in class org.drip.product.fx.ComponentPair
-
Generate the Derived Forward Latent State Segment Specification
- DerivedForwardState - Class in org.drip.template.state
-
DerivedForwardState sets up the Calibration of the Derived Forward Latent State and examine the Emitted
Metrics.
- DerivedForwardState() - Constructor for class org.drip.template.state.DerivedForwardState
-
- DerivedForwardStateShifted - Class in org.drip.template.statebump
-
DerivedForwardStateShifted demonstrates the Generation of Tenor-bumped Derived Forward State.
- DerivedForwardStateShifted() - Constructor for class org.drip.template.statebump.DerivedForwardStateShifted
-
- derivedFundingForwardSpec(ValuationParams, CurveSurfaceQuoteContainer, double, boolean, double) - Method in class org.drip.product.fx.ComponentPair
-
Generate the Derived Funding/Forward Merged Latent State Segment Specification
- derivedIndex() - Method in class org.drip.state.basis.BasisCurve
-
- derivedIndex() - Method in interface org.drip.state.basis.BasisEstimator
-
Retrieve the Derived Index
- derivedParBasisSpread() - Method in class org.drip.product.calib.FixFloatQuoteSet
-
Retrieve the Derived Par Basis Spread
- derivedParBasisSpread() - Method in class org.drip.product.calib.FloatFloatQuoteSet
-
Retrieve the Derived Par Basis Spread
- derivedStream() - Method in class org.drip.product.rates.DualStreamComponent
-
Retrieve the Derived Stream
- derivedStream() - Method in class org.drip.product.rates.FixFloatComponent
-
- derivedStream() - Method in class org.drip.product.rates.FloatFloatComponent
-
- DerivedZeroRate - Class in org.drip.state.curve
-
DerivedZeroRate implements the delegated ZeroCurve functionality.
- descendingNodeArray(double[], int) - Method in class org.drip.spaces.big.BinaryTree
-
Build a Consolidated Descending Array of all the Constituent Nodes
- descendingNodeList(List<Double>) - Method in class org.drip.spaces.big.BinaryTree
-
Build a Consolidated Descending List of all the Constituent Nodes
- descendingNodeList() - Method in class org.drip.spaces.big.BinaryTree
-
Build a Consolidated Descending List of all the Constituent Nodes
- description() - Method in class org.drip.analytics.eventday.Base
-
Return the description
- description() - Method in class org.drip.optimization.necessary.ConditionQualifier
-
Retrieve the Condition Qualifier Description
- description() - Method in class org.drip.optimization.regularity.ConstraintQualifier
-
Retrieve the Constraint Qualifier Description
- description() - Method in class org.drip.portfolioconstruction.core.Block
-
Retrieve the Description
- description() - Method in class org.drip.simm.fx.FXRiskGroup
-
Retrieve the FX Risk Group Description
- description() - Method in class org.drip.xva.basel.ValueCategory
-
Retrieve the Category Description
- designControl() - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Retrieve the Segment Inelastic Design Control
- destination() - Method in class org.drip.spaces.graph.Edge
-
Retrieve the Destination Vertex
- deterministic() - Method in class org.drip.execution.evolution.MarketImpactComposite
-
Retrieve the Deterministic Impact Component Instance
- deterministic() - Method in class org.drip.measure.realization.JumpDiffusionEdge
-
Retrieve the Deterministic Component
- DeterministicCollateralChoiceDiscountCurve - Class in org.drip.state.curve
-
DeterministicCollateralChoiceDiscountCurve implements the Dynamically Switchable Collateral Choice
Discount Curve among the choice of provided "deterministic" collateral curves.
- DeterministicCollateralChoiceDiscountCurve(MergedDiscountForwardCurve, ForeignCollateralizedDiscountCurve[], int) - Constructor for class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
-
DeterministicCollateralChoiceDiscountCurve constructor
- DeterministicCollateralChoiceZeroCoupon - Class in org.drip.sample.piterbarg2012
-
DeterministicCollateralChoiceZeroCoupon contains an analysis of the impact on the single cash flow
discount factor of a Zero Coupon collateralized using a deterministic choice of collateral.
- DeterministicCollateralChoiceZeroCoupon() - Constructor for class org.drip.sample.piterbarg2012.DeterministicCollateralChoiceZeroCoupon
-
- DeterministicCoordinatedVariation(double, CoordinatedVariation) - Static method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParametersBuilder
-
Construct a Arithmetic Price Evolution Parameters from a Deterministic Coordinated Variation Instance
- DeterministicVolBlackScholes - Class in org.drip.sample.option
-
DeterministicVolBlackScholes contains an illustration of the Black Scholes based European Call and Put
Options Pricer that uses deterministic Volatility Function.
- DeterministicVolBlackScholes() - Constructor for class org.drip.sample.option.DeterministicVolBlackScholes
-
- DeterministicVolTermStructure - Class in org.drip.sample.option
-
DeterministicVolatilityTermStructure contains an illustration of the Calibration and Extraction of the
Implied and the Deterministic Volatility Term Structures.
- DeterministicVolTermStructure() - Constructor for class org.drip.sample.option.DeterministicVolTermStructure
-
- DEVELOPED_COUNTRIES - Static variable in class org.drip.simm.equity.RegionSystemics
-
Array of Developed Countries
- DEVELOPED_MARKETS - Static variable in class org.drip.simm.equity.RegionSystemics
-
The "Developed Markets" Region
- deviationProbabilityUpperBound(int, double) - Method in class org.drip.learning.bound.CoveringNumberLossBound
-
Compute the Upper Bound of the Probability of the Absolute Deviation between the Empirical and the
Population Means
- Dewas - Class in org.drip.sample.bondmetrics
-
Dewas demonstrates the Analytics Calculation/Reconciliation for the Floater Dewas.
- Dewas() - Constructor for class org.drip.sample.bondmetrics.Dewas
-
- Dezhou - Class in org.drip.sample.bondeos
-
Dezhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Dezhou.
- Dezhou() - Constructor for class org.drip.sample.bondeos.Dezhou
-
- df(CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Retrieve the Coupon Period Discount Factor
- df() - Method in class org.drip.analytics.output.BulletMetrics
-
Retrieve the Terminal DF
- df() - Method in class org.drip.pricer.option.Greeks
-
The Option Terminal Discount Factor
- df(int) - Method in class org.drip.state.csa.MultilateralBasisCurve
-
- df(JulianDate) - Method in class org.drip.state.csa.MultilateralBasisCurve
-
- df(String) - Method in class org.drip.state.csa.MultilateralBasisCurve
-
- df(int) - Method in class org.drip.state.curve.DerivedZeroRate
-
- df(String) - Method in class org.drip.state.curve.DerivedZeroRate
-
- df(JulianDate) - Method in class org.drip.state.curve.DerivedZeroRate
-
- df(int) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
-
- df(int) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
-
- df(int) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
-
- df(int) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
-
- df(int) - Method in interface org.drip.state.discount.DiscountFactorEstimator
-
Calculate the Discount Factor to the given Date
- df(JulianDate) - Method in interface org.drip.state.discount.DiscountFactorEstimator
-
Calculate the discount factor to the given date
- df(String) - Method in interface org.drip.state.discount.DiscountFactorEstimator
-
Calculate the Discount Factor to the given Tenor
- df(JulianDate) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
- df(String) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
- df(int) - Method in class org.drip.state.govvie.GovvieCurve
-
- df(JulianDate) - Method in class org.drip.state.govvie.GovvieCurve
-
- df(String) - Method in class org.drip.state.govvie.GovvieCurve
-
- df(int) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
-
- DF2Yield(int, double, double) - Static method in class org.drip.analytics.support.Helper
-
Calculate the yield from the specified discount factor to the given time.
- DFRateShapePreserver(String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, String, FunctionSetBuilderParams, CalibratableComponent[], double[], String[], CalibratableComponent[], double[], String[], double, boolean) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set
builder parameters.
- DGBBenchmarkAttribution - Class in org.drip.sample.treasurypnl
-
DGBBenchmarkAttribution demonstrates the Computation of the PnL Time Series Metrics for the DGB Benchmark
Bond Series.
- DGBBenchmarkAttribution() - Constructor for class org.drip.sample.treasurypnl.DGBBenchmarkAttribution
-
- DGBReconstitutor - Class in org.drip.sample.treasuryfeed
-
DGBReconstitutor demonstrates the Cleansing and Re-constitution of the DGB Yield Marks obtained from
Historical Yield Curve Prints.
- DGBReconstitutor() - Constructor for class org.drip.sample.treasuryfeed.DGBReconstitutor
-
- Dhanbad - Class in org.drip.sample.bondeos
-
Dhanbad demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Dhanbad.
- Dhanbad() - Constructor for class org.drip.sample.bondeos.Dhanbad
-
- Dhule - Class in org.drip.sample.securitysuite
-
Dhule generates the Full Suite of Replication Metrics for Bond Dhule.
- Dhule() - Constructor for class org.drip.sample.securitysuite.Dhule
-
- DiagonalizeRow(int, double[][], double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Diagonalize the specified row in the source matrix, and apply comparable operations to the target
- diagonallyScaledFeatureSpace(DiagonalScalingOperator) - Method in class org.drip.learning.kernel.IntegralOperatorEigenContainer
-
Generate the Diagonally Scaled Normed Vector Space of the RKHS Feature Space Bounds that results on
applying the Diagonal Scaling Operator
- DiagonalOperatorCoveringBound - Class in org.drip.learning.bound
-
DiagonalOperatorCoveringBound implements the Behavior of the Bound on the Covering Number of the Diagonal
Scaling Operator.
- DiagonalOperatorCoveringBound(int, double) - Constructor for class org.drip.learning.bound.DiagonalOperatorCoveringBound
-
DiagonalOperatorCoveringBound Constructor
- DiagonalScalingOperator - Class in org.drip.learning.kernel
-
DiagonalScalingOperator implements the Scaling Operator that is used to determine the Bounds of the R^x L2
To R^x L2 Kernel Linear Integral Operator defined by:
T_k [f(.)] := Integral Over Input Space {k (., y) * f(y) * d[Prob(y)]}
The References are:
1) Ash, R.
- DiagonalScalingOperator(double[]) - Constructor for class org.drip.learning.kernel.DiagonalScalingOperator
-
DiagonalScalingOperator Constructor
- differenceMetric() - Method in class org.drip.historical.attribution.PositionChangeComponents
-
Retrieve the Map of Difference Metrics
- DIFFERENT_ISSUER_SENIORITY_NON_RESIDUAL - Static variable in class org.drip.simm.credit.CRQBucketCorrelation20
-
Correlation between Sensitivities having Different Issuer/Seniority falling under Same Regular Bucket
- DIFFERENT_ISSUER_SENIORITY_NON_RESIDUAL - Static variable in class org.drip.simm.credit.CRQBucketCorrelation21
-
Correlation between Sensitivities having Different Issuer/Seniority falling under Same Regular Bucket
- DIFFERENT_ISSUER_SENIORITY_RESIDUAL - Static variable in class org.drip.simm.credit.CRQBucketCorrelation20
-
Correlation between Sensitivities having Different Issuer/Seniority falling under Same Residual Bucket
- DIFFERENT_ISSUER_SENIORITY_RESIDUAL - Static variable in class org.drip.simm.credit.CRQBucketCorrelation21
-
Correlation between Sensitivities having Different Issuer/Seniority falling under Same Residual Bucket
- differential(double, double, int) - Method in class org.drip.function.definition.R1ToR1
-
Calculate the Differential
- differential(double, int) - Method in class org.drip.function.definition.R1ToR1
-
Calculate the Differential
- differential(double, int) - Method in class org.drip.function.definition.R1ToRd
-
Calculate the Array of Differentials
- differential(double[], int, int) - Method in class org.drip.function.definition.RdToR1
-
Calculate the Differential
- differential(double[], int, int) - Method in class org.drip.function.definition.RdToRd
-
Calculate the Array of Differentials
- differential(double, double, int) - Method in class org.drip.function.r1tor1.FlatUnivariate
-
- Differential - Class in org.drip.quant.calculus
-
Differential holds the incremental differentials for the variate and the objective function.
- Differential(double, double) - Constructor for class org.drip.quant.calculus.Differential
-
Differential constructor
- Diffusion(double[], double[]) - Static method in class org.drip.measure.realization.JumpDiffusionEdgeUnit
-
Generate an Array of R^1 Diffusion Realizations
- diffusion() - Method in class org.drip.measure.realization.JumpDiffusionEdgeUnit
-
Retrieve the Diffusion Unit Random Variable
- DiffusionEvaluator - Class in org.drip.measure.dynamics
-
DiffusionEvaluator implements the Drift/Volatility Evaluators for R^1 Random Diffusion Process.
- DiffusionEvaluator(LocalEvaluator, LocalEvaluator) - Constructor for class org.drip.measure.dynamics.DiffusionEvaluator
-
DiffusionEvaluator Constructor
- DiffusionEvaluatorLinear - Class in org.drip.measure.dynamics
-
DiffusionEvaluatorLinear implements the Linear Drift and Volatility Evaluators for R^1 Random Diffusion
Process.
- DiffusionEvaluatorLogarithmic - Class in org.drip.measure.dynamics
-
DiffusionEvaluatorLogarithmic evaluates the Drift/Volatility of the Diffusion Random Variable Evolution
according to R^1 Logarithmic Process.
- DiffusionEvaluatorMeanReversion - Class in org.drip.measure.dynamics
-
DiffusionEvaluatorMeanReversion evaluates the Drift/Volatility of the Diffusion Random Variable Evolution
according to R^1 Mean Reversion Process.
- DiffusionEvaluatorOrnsteinUhlenbeck - Class in org.drip.measure.dynamics
-
DiffusionEvaluatorOrnsteinUhlenbeck evaluates the Drift/Volatility of the Diffusion Random Variable
Evolution according to R^1 Ornstein Uhlenbeck Process.
- DiffusionEvolver - Class in org.drip.measure.process
-
DiffusionEvolver implements the Functionality that guides the Single Factor R^1 Diffusion Random Process
Variable Evolution.
- DiffusionEvolver(DiffusionEvaluator) - Constructor for class org.drip.measure.process.DiffusionEvolver
-
DiffusionEvolver Constructor
- diffusionEvolver() - Method in class org.drip.service.scenario.EOSMetricsReplicator
-
Retrieve the Diffusion Evolver
- diffusionStochastic() - Method in class org.drip.measure.realization.JumpDiffusionEdge
-
Retrieve the Diffusion Stochastic Component
- diffusionWander() - Method in class org.drip.measure.realization.JumpDiffusionEdge
-
Retrieve the Diffusion Wander Realization
- DIFutures - Class in org.drip.sample.forwardratefutures
-
DIFutures contains the demonstration of the construction and the Valuation of the DI Futures Contract.
- DIFutures() - Constructor for class org.drip.sample.forwardratefutures.DIFutures
-
- digest() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
-
Generate the "Digest" containing the "Thin" Path Statistics
- Dijkstra - Class in org.drip.sample.graph
-
Dijkstra illustrates the Execution of the Dijkstra Algorithm.
- Dijkstra() - Constructor for class org.drip.sample.graph.Dijkstra
-
- Dijkstra(Topography, String) - Static method in class org.drip.spaces.graph.ShortestPathFirstWengert
-
Generate a ShortestPathFirstWengert from the Topography and the Source using the Dijkstra Scheme
- DijkstraScheme - Class in org.drip.spaces.graph
-
DijkstraScheme implements the Dijkstra Algorithm for finding the Shortest Path between a Pair of Vertexes
in a Graph.
- DijkstraScheme(Topography) - Constructor for class org.drip.spaces.graph.DijkstraScheme
-
DijkstraScheme Constructor
- dimension() - Method in class org.drip.function.definition.RdToR1
-
Retrieve the Dimension of the Input Variate
- dimension() - Method in class org.drip.function.rdtor1.AffineBoundMultivariate
-
- dimension() - Method in class org.drip.function.rdtor1.AffineMultivariate
-
- dimension() - Method in class org.drip.function.rdtor1.CovarianceEllipsoidMultivariate
-
Retrieve the Input Variate Dimension
- dimension() - Method in class org.drip.function.rdtor1.LagrangianMultivariate
-
- dimension() - Method in class org.drip.function.rdtor1.RiskObjectiveUtilityMultivariate
-
Retrieve the Input Variate Dimension
- dimension() - Method in class org.drip.function.rdtor1solver.ConstraintFunctionPointMetrics
-
Retrieve the Constraint Dimension
- dimension() - Method in class org.drip.function.rdtor1solver.ObjectiveFunctionPointMetrics
-
Retrieve the Dimension
- dimension() - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
-
- dimension() - Method in class org.drip.portfolioconstruction.optimizer.ObjectiveFunction
-
- dimension() - Method in class org.drip.sequence.custom.GlivenkoCantelliFunctionSupremum
-
- dimension() - Method in class org.drip.sequence.custom.GlivenkoCantelliUniformDeviation
-
- dimension() - Method in class org.drip.sequence.custom.KernelDensityEstimationL1
-
- dimension() - Method in class org.drip.sequence.custom.LongestCommonSubsequence
-
- dimension() - Method in class org.drip.sequence.custom.OrientedPercolationFirstPassage
-
- dimension() - Method in class org.drip.sequence.functional.FlatMultivariateRandom
-
- dimension() - Method in class org.drip.spaces.iterator.RdSpanningStateSpaceScan
-
Retrieve the Dimension
- dimension() - Method in class org.drip.spaces.tensor.RdAggregate
-
- dimension() - Method in interface org.drip.spaces.tensor.RdGeneralizedVector
-
Retrieve the Dimension of the Space
- dimension() - Method in class org.drip.state.sequence.GovvieBuilderSettings
-
Retrieve the Calibration Instrument Dimension
- dimension() - Method in class org.drip.state.sequence.PathRd
-
Retrieve the R^d Dimension
- dimension() - Method in class org.drip.state.sequence.PathVertexRd
-
Retrieve the Latent State Dimension
- DIMENSION_NOT_FIXED - Static variable in class org.drip.function.definition.RdToR1
-
- dimExpiry() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
-
Retrieve the Date In Month Expiry Settings
- Dingzhou - Class in org.drip.sample.bondeos
-
Dingzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Dingzhou.
- Dingzhou() - Constructor for class org.drip.sample.bondeos.Dingzhou
-
- direction() - Method in class org.drip.function.definition.SizedVector
-
Retrieve the Unit Direction Vector
- directionalIncrement(double[], double) - Method in class org.drip.function.definition.UnitVector
-
Compute the Directional Increment along the Vector
- dirty1DPnL() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Dirty PnL
- dirty1DPnLWithFixing() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Dirty PnL With Fixing
- Discount(MergedDiscountForwardCurve) - Static method in class org.drip.param.creator.MarketParamsBuilder
-
Create a Market Parameters instance with the Funding Curve alone
- DISCOUNT_QM_COMPOUNDED_SHORT_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
-
Discount Latent State Quantification Metric - Compounded Short Rate
- DISCOUNT_QM_DISCOUNT_FACTOR - Static variable in class org.drip.analytics.definition.LatentStateStatic
-
Discount Latent State Quantification Metric - Discount Factor
- DISCOUNT_QM_FORWARD_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
-
Discount Latent State Quantification Metric - Forward Rate
- DISCOUNT_QM_ZERO_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
-
Discount Latent State Quantification Metric - Zero Rate
- discountCurve() - Method in class org.drip.dynamics.lmm.BGMCurveUpdate
-
Retrieve the Discount Factor Curve
- discountCurve() - Method in class org.drip.dynamics.lmm.LognormalLIBORPointEvolver
-
Retrieve the Discount Curve Instance
- DiscountCurve - Class in org.drip.state.discount
-
DiscountCurve Interface combines the Interfaces of Latent State Curve Representation and Discount Factor
Estimator.
- DiscountCurve() - Constructor for class org.drip.state.discount.DiscountCurve
-
- DiscountCurve(ValuationParams, Component[], double[], String[], double, boolean, ExplicitBootDiscountCurve, GovvieCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Static method in class org.drip.state.nonlinear.NonlinearCurveBuilder
-
Boot-strap a Discount Curve from the set of calibration components
- discountCurveBasis(ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, double, double, boolean) - Method in class org.drip.product.fx.FXForwardComponent
-
Calculate the basis to either the numerator or the denominator discount curve
- DiscountCurveFromRatesInstruments() - Static method in class org.drip.sample.funding.NonlinearCurveMeasures
-
- discountCurveIncrement() - Method in class org.drip.dynamics.lmm.BGMCurveUpdate
-
Retrieve the Discount Factor Discount Curve Increment
- DiscountCurveInputInstrument - Class in org.drip.service.api
-
DiscountCuveInputInstrument contains the input instruments and their quotes.
- DiscountCurveInputInstrument(JulianDate, List<String>, List<Double>, List<String>, List<Double>, List<String>, List<Double>) - Constructor for class org.drip.service.api.DiscountCurveInputInstrument
-
DiscountCurveInputInstrument constructor
- DiscountCurveJacobianRegressorSet - Class in org.drip.regression.curvejacobian
-
DiscountCurveJacobianRegressorSet implements the regression analysis for the full discount curve (built
from cash/future/swap) Sensitivity Jacobians.
- DiscountCurveJacobianRegressorSet() - Constructor for class org.drip.regression.curvejacobian.DiscountCurveJacobianRegressorSet
-
- DiscountCurveNode(ValuationParams, Component, double, String, boolean, int, ExplicitBootDiscountCurve, GovvieCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Static method in class org.drip.state.nonlinear.NonlinearCurveBuilder
-
Calibrate a Single Discount Curve Segment from the corresponding Component
- DiscountCurveRegressor - Class in org.drip.regression.curve
-
DiscountCurveRegressor implements the regression set analysis for the Discount Curve.
- DiscountCurveRegressor() - Constructor for class org.drip.regression.curve.DiscountCurveRegressor
-
Do Nothing DiscountCurveRegressor constructor
- DiscountCurveScenario - Class in org.drip.state.boot
-
DiscountCurveScenario uses the interest rate calibration instruments along with the component calibrator
to produce scenario interest rate curves.
- DiscountCurveScenario() - Constructor for class org.drip.state.boot.DiscountCurveScenario
-
- DiscountCurveScenarioContainer - Class in org.drip.param.market
-
DiscountCurveScenarioContainer implements the RatesScenarioCurve abstract class that exposes the interface
the constructs scenario discount curves.
- DiscountCurveScenarioContainer(CalibratableComponent[]) - Constructor for class org.drip.param.market.DiscountCurveScenarioContainer
-
Constructs an DiscountCurveScenarioContainer instance from the corresponding
DiscountCurveScenarioGenerator
- discountFactor() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
-
Retrieve the Discount Factor
- discountFactor() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
-
Retrieve the Discount Factor
- discountFactor() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateUpdate
-
Retrieve the Discount Factor
- DiscountFactorDiscountCurve - Class in org.drip.state.curve
-
DiscountFactorDiscountCurve manages the Discounting Latent State, using the Discount Factor as the State
Response Representation.
- DiscountFactorDiscountCurve(String, Span) - Constructor for class org.drip.state.curve.DiscountFactorDiscountCurve
-
DiscountFactorDiscountCurve constructor
- DiscountFactorEstimator - Interface in org.drip.state.discount
-
DiscountFactorEstimator is the interface that exposes the calculation of the Discount Factor for a
specific Sovereign/Jurisdiction Span.
- discountFactorFundingLoading(FundingLabel) - Method in class org.drip.analytics.output.BulletMetrics
-
Retrieve the Discount Factor Loading Coefficient for the specified Funding Latent State
- discountFactorIncrement() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
-
Retrieve the Discount Factor Increment
- discountFactorIncrement() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
-
Retrieve the Discount Factor Increment
- discountFactorIncrement() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateUpdate
-
Retrieve the Discount Factor Increment
- discountFactorIncrements() - Method in class org.drip.dynamics.lmm.BGMTenorNodeSequence
-
Retrieve the Array of Tenor Discount Factor Increments
- discountFactors() - Method in class org.drip.dynamics.lmm.BGMTenorNodeSequence
-
Retrieve the Array of Tenor Discount Factors
- DiscountForward(MergedDiscountForwardCurve, ForwardCurve) - Static method in class org.drip.param.creator.MarketParamsBuilder
-
Create a Market Parameters instance with the Funding Curve and the forward Curve
- discountFunctionValue(int, boolean) - Method in class org.drip.dynamics.lmm.ContinuouslyCompoundedForwardProcess
-
Retrieve a Realized/Expected Value of the Discount to the Target Date
- discountMargin() - Method in class org.drip.analytics.output.BondRVMeasures
-
Retrieve the Discount Margin
- discountMarginFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from ASW to Work-out
- discountMarginFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from ASW to Maturity
- discountMarginFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from ASW to Optimal Exercise
- discountMarginFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Bond Basis to Work-out
- discountMarginFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Bond Basis to Maturity
- discountMarginFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Bond Basis to Optimal Exercise
- discountMarginFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Credit Basis to Work-out
- discountMarginFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Credit Basis to Maturity
- discountMarginFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Credit Basis to Optimal Exercise
- discountMarginFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from E Spread to Work-out
- discountMarginFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from E Spread to Maturity
- discountMarginFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from E Spread to Optimal Exercise
- discountMarginFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from G Spread to Work-out
- discountMarginFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from G Spread to Maturity
- discountMarginFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from G Spread to Optimal Exercise
- discountMarginFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from I Spread to Work-out
- discountMarginFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from I Spread to Maturity
- discountMarginFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from I Spread to Optimal Exercise
- discountMarginFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from J Spread to Work-out
- discountMarginFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from J Spread to Maturity
- discountMarginFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from J Spread to Optimal Exercise
- discountMarginFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from N Spread to Work-out
- discountMarginFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from N Spread to Maturity
- discountMarginFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from N Spread to Optimal Exercise
- discountMarginFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from OAS to Work-out
- discountMarginFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from OAS to Maturity
- discountMarginFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from OAS to Optimal Exercise
- discountMarginFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from PECS to Work-out
- discountMarginFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from PECS to Maturity
- discountMarginFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from PECS to Optimal Exercise
- discountMarginFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Price to Work-out
- discountMarginFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Price to Maturity
- discountMarginFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Price to Optimal Exercise
- discountMarginFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from TSY Spread to Work-out
- discountMarginFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from TSY Spread to Maturity
- discountMarginFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from TSY Spread to Optimal Exercise
- discountMarginFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Yield to Work-out
- discountMarginFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Yield to Maturity
- discountMarginFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Yield Spread to Work-out
- discountMarginFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Yield Spread to Maturity
- discountMarginFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Yield Spread to Optimal Exercise
- discountMarginFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Yield to Optimal Exercise
- discountMarginFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Z Spread to Work-out
- discountMarginFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Z Spread to Maturity
- discountMarginFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- discountMarginFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Discount Margin from Z Spread to Optimal Exercise
- DiscountRate - Class in org.drip.portfolioconstruction.alm
-
DiscountRate holds the Cash Flow Discount Rate Parameters for each Type, i.e., Discount Rates for Working
Age Income, Pension Benefits, and Basic Consumption.
- DiscountRate(double, double, double, double) - Constructor for class org.drip.portfolioconstruction.alm.DiscountRate
-
DiscountRate Constructor
- DiscreteAlmgrenChriss - Class in org.drip.execution.nonadaptive
-
DiscreteAlmgrenChriss generates the Trade/Holdings List of Optimal Execution Schedule for the Equally
Spaced Trading Intervals based on the No-Drift Linear Impact Evolution Walk Parameters specified.
- DiscreteAlmgrenChrissDrift - Class in org.drip.execution.nonadaptive
-
DiscreteAlmgrenChrissDrift generates the Trade/Holdings List of Optimal Execution Schedule for the Equally
Spaced Trading Intervals based on the Linear Impact Evolution Walk Parameters with Drift specified.
- discreteCompounding() - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
-
Retrieve the Discrete Compounding Flag
- DiscreteLinearTradingEnhanced - Class in org.drip.execution.nonadaptive
-
DiscreteLinearTradingEnhanced contains the Volatility Trading Trajectory generated by the Almgren (2003)
Scheme under the Criterion of No-Drift AND Linear Temporary Impact Volatility.
- DiscretelyCompoundedFlatRate(JulianDate, String, double, String, int) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
Create a Discount Curve from the Discretely Compounded Flat Rate
- DiscreteTradingTrajectory - Class in org.drip.execution.strategy
-
DiscreteTradingTrajectory holds the Trajectory of a Trading Block that is to be executed over a Discrete
Time Set.
- DiscreteTradingTrajectory(double[], double[], double[]) - Constructor for class org.drip.execution.strategy.DiscreteTradingTrajectory
-
DiscreteTradingTrajectory Constructor
- DiscreteTradingTrajectoryControl - Class in org.drip.execution.strategy
-
DiscreteTradingTrajectoryControl holds the Time Trajectory Control Settings of a Trading Block that is to
be executed over a Discrete Time Sequence.
- DiscreteTradingTrajectoryControl(double, double[]) - Constructor for class org.drip.execution.strategy.DiscreteTradingTrajectoryControl
-
DiscreteTradingTrajectoryControl Constructor
- discretizationScheme() - Method in class org.drip.param.pricer.CreditPricerParams
-
Retrieve the Discretization Scheme
- display() - Method in class org.drip.optimization.necessary.ConditionQualifier
-
Convert the Condition Qualifier into a Display String
- display() - Method in class org.drip.optimization.regularity.ConstraintQualifier
-
Convert the Constraint Qualifier into a Display String
- display() - Method in class org.drip.quant.fourier.ComplexNumber
-
Display the Real/Imaginary Contents
- display() - Method in class org.drip.service.api.CDXCOB
-
Display the CDXCOB Content
- display() - Method in class org.drip.service.scenario.BondReplicationRun
-
Display the Measures
- display(String) - Method in class org.drip.spline.params.SegmentResponseValueConstraint
-
- displayString() - Method in class org.drip.function.r1tor1solver.BracketingOutput
-
- displayString() - Method in class org.drip.function.r1tor1solver.ExecutionInitializationOutput
-
Return a string form of the Initializer output
- displayString() - Method in class org.drip.function.r1tor1solver.FixedPointFinderOutput
-
Return a string form of the root finder output
- displayString() - Method in class org.drip.quant.calculus.WengertJacobian
-
Stringifies the contents of WengertJacobian
- displayString(boolean) - Method in class org.drip.regression.core.RegressionRunOutput
-
Print the contents of the regression output
- displayString(String) - Method in class org.drip.regression.core.UnitRegressionStat
-
Return the string version of the statistics
- displayString() - Method in class org.drip.spline.grid.AggregatedSpan
-
- displayString() - Method in class org.drip.spline.grid.OverlappingStretchSpan
-
- displayString() - Method in interface org.drip.spline.grid.Span
-
Display the Span Edge Coordinates
- displayString() - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Display the string representation for diagnostic purposes
- displayString() - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- displayString() - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Display the Segments
- displayString(String) - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint
-
Display the Constraints and the corresponding Weights
- displayString(String) - Method in class org.drip.state.representation.LatentStateSpecification
-
Display the Latent State Details
- distribution() - Method in class org.drip.measure.bayesian.ProjectionDistributionLoading
-
Retrieve the Projection Distribution
- DIStylePriceFromRate(double, int, int, String) - Static method in class org.drip.analytics.support.Helper
-
Compute the DI-Style Price given the Rate
- DIStyleRateFromPrice(double, int, int, String) - Static method in class org.drip.analytics.support.Helper
-
Compute the DI-Style Rate given the Price
- Divide(ComplexNumber, ComplexNumber) - Static method in class org.drip.quant.fourier.ComplexNumber
-
Divide the Numerator Complex Number by the Denominator
- dividendRate() - Method in class org.drip.exposure.evolver.Equity
-
Retrieve the Equity Dividend Rate
- DKK - Class in org.drip.template.irs
-
DKK contains a Templated Pricing of the OTC Fix-Float DKK IRS Instrument.
- DKK() - Constructor for class org.drip.template.irs.DKK
-
- DKK3M6MUSD3M6M - Class in org.drip.sample.dual
-
DKK3M6MUSD3M6M demonstrates the setup and construction of the USD 3M Forward Curve from DKK3M6MUSD3M6M
CCBS, DKK 3M, DKK 6M, and USD 6M Quotes.
- DKK3M6MUSD3M6M() - Constructor for class org.drip.sample.dual.DKK3M6MUSD3M6M
-
- DKKHoliday - Class in org.drip.analytics.holset
-
- DKKHoliday() - Constructor for class org.drip.analytics.holset.DKKHoliday
-
- DKKIRSAttribution - Class in org.drip.sample.fixfloatpnl
-
DKKIRSAttribution generates the Historical PnL Attribution for DKK IRS.
- DKKIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.DKKIRSAttribution
-
- DKKShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
-
DKKShapePreserving1YStart Generates the Historical DKK Shape Preserving Funding Curve Native Compounded
Forward Rate starting at 1Y Tenor.
- DKKShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.DKKShapePreserving1YStart
-
- DKKShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
-
DKKShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the
DKK Input Marks.
- DKKShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.DKKShapePreservingReconstitutor
-
- DomesticCollateralForeignForex - Class in org.drip.sample.piterbarg2012
-
DomesticCollateralForeignForex demonstrates the construction and the usage of Domestic Currency
Collateralized Foreign Pay-out FX forward product, and the generation of its measures.
- DomesticCollateralForeignForex() - Constructor for class org.drip.sample.piterbarg2012.DomesticCollateralForeignForex
-
- DomesticCollateralForeignForexAnalysis - Class in org.drip.sample.piterbarg2012
-
DomesticCollateralForeignForexAnalysis contains an analysis of the correlation and volatility impact on the
price of a Domestic Collateralized ForeignPay-out Forex Contract.
- DomesticCollateralForeignForexAnalysis() - Constructor for class org.drip.sample.piterbarg2012.DomesticCollateralForeignForexAnalysis
-
- DomesticCollateralizedForeignForward - Class in org.drip.product.fx
-
DomesticCollateralizedForeignForward contains the Domestic Currency Collateralized Foreign Payout FX
forward product contract details.
- DomesticCollateralizedForeignForward(CurrencyPair, double, JulianDate) - Constructor for class org.drip.product.fx.DomesticCollateralizedForeignForward
-
Create an DomesticCollateralizedForeignForward from the currency pair, the strike, and the maturity
dates
- done(double, double, double, double, double) - Method in class org.drip.function.r1tor1solver.BracketingOutput
-
Set the brackets in the output object
- done(double) - Method in class org.drip.function.r1tor1solver.ConvergenceOutput
-
Indicate that the initialization is completed
- done() - Method in class org.drip.function.r1tor1solver.ExecutionInitializationOutput
-
- Dongguan - Class in org.drip.sample.bondeos
-
Dongguan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Dongguan.
- Dongguan() - Constructor for class org.drip.sample.bondeos.Dongguan
-
- Dongying - Class in org.drip.sample.bondeos
-
Dongying demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Dongying.
- Dongying() - Constructor for class org.drip.sample.bondeos.Dongying
-
- DOPHoliday - Class in org.drip.analytics.holset
-
- DOPHoliday() - Constructor for class org.drip.analytics.holset.DOPHoliday
-
- DotProduct(double[], double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Dot Product of Vectors A and E
- doubleArrayAtColumn(int, double) - Method in class org.drip.feed.loader.CSVGrid
-
Retrieve the Array of Double Values corresponding to the specified Column Index
- doubleArrayAtColumn(int) - Method in class org.drip.feed.loader.CSVGrid
-
Retrieve the Array of Double Values corresponding to the specified Column Index
- DoubleArrayEntry(JSONObject, String) - Static method in class org.drip.json.parser.Converter
-
Convert the JSON Entry to a Double Array
- DoubleEntry(JSONObject, String) - Static method in class org.drip.json.parser.Converter
-
Convert the JSON Entry to a Double
- doubleMap(double) - Method in class org.drip.feed.loader.CSVGrid
-
Construct a Historical Map of Scaled/Keyed Double
- downNodeMetrics() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
-
Retrieve the "Down" Node Metrics
- drift() - Method in class org.drip.execution.athl.TransactionSignal
-
Retrieve the Drift of the Transaction Signal
- drift() - Method in class org.drip.execution.parameters.ArithmeticPriceDynamicsSettings
-
Retrieve the Asset Annual Logarithmic Drift
- drift() - Method in class org.drip.measure.dynamics.DiffusionEvaluator
-
Retrieve the Drift Evaluator
- driftExpectationEstimate() - Method in class org.drip.execution.cost.LinearTemporaryImpact
-
Retrieve the Drift Expectation Estimate
- driftGainUpperBound() - Method in class org.drip.execution.optimum.AlmgrenChrissDriftDiscrete
-
Retrieve the Gain Upper Bound induced by the Drift
- driftLDEV() - Method in class org.drip.measure.joint.Evolver
-
Retrieve the Array of the LDEV Drift Functions of the Individual Marginal Processes
- driftValue() - Method in class org.drip.measure.dynamics.DiffusionEvaluatorLinear
-
Retrieve the Linear Drift Value
- driftValue() - Method in class org.drip.measure.dynamics.DiffusionEvaluatorLogarithmic
-
Retrieve the Logarithmic Drift Value
- driftVolatilityEstimate() - Method in class org.drip.execution.cost.LinearTemporaryImpact
-
Retrieve the Drift Volatility Estimate
- DRIP_COMPUTE_ENGINE_PORT - Static variable in class org.drip.service.engine.ComputeServer
-
The DRIP compute Service Engine Port
- dripVersion() - Method in class org.drip.service.env.BuildRecord
-
Retrieve the DRIP Build Version
- DTFHoliday - Class in org.drip.analytics.holset
-
- DTFHoliday() - Constructor for class org.drip.analytics.holset.DTFHoliday
-
- DTIExMortgage - Class in org.drip.assetbacked.borrower
-
DTIExMortgage contains the Borrower's current ex-of-mortgage Debt-to-Income Ratio.
- DTIExMortgage(double) - Constructor for class org.drip.assetbacked.borrower.DTIExMortgage
-
DTIExMortgage Constructor
- DU1 - Class in org.drip.sample.treasuryfuturesapi
-
DU1 demonstrates the Invocation and Examination of the DU1 2Y SCHATZ DBR Treasury Futures.
- DU1() - Constructor for class org.drip.sample.treasuryfuturesapi.DU1
-
- DU1Attribution - Class in org.drip.sample.treasuryfuturespnl
-
DU1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
DU1 Series.
- DU1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.DU1Attribution
-
- DU1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
-
DU1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated DU1 Closes Feed.
- DU1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.DU1ClosesReconstitutor
-
- DU1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
-
DU1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the DU1 Treasury Futures.
- DU1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.DU1KeyRateDuration
-
- DualConstrainedEllipsoidVariance - Class in org.drip.sample.semidefinite
-
DualConstrainedEllipsoidVariance demonstrates the Application of the Interior Point Method for Minimizing
the Variance Across The Specified Ellipsoid under both Normalization and first Moment Constraints.
- DualConstrainedEllipsoidVariance() - Constructor for class org.drip.sample.semidefinite.DualConstrainedEllipsoidVariance
-
- DualConstrainedVariateConvergence - Class in org.drip.sample.assetallocation
-
DualConstrainedVariateConvergence demonstrates the Sequential Convergence of the Constrained Optimal R^d
Space.
- DualConstrainedVariateConvergence() - Constructor for class org.drip.sample.assetallocation.DualConstrainedVariateConvergence
-
- DUALDENSE(String, ValuationParams, CalibratableComponent[], double[], String, String[], CalibratableComponent[], double[], String, String[], TurnListDiscountFactor) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
The DUAL DENSE Curve Creation Methodology - this uses configurable re-construction set for the short
term, and another configurable re-construction for the Swap Set.
- DualDoubleArrayEntry(JSONObject, String) - Static method in class org.drip.json.parser.Converter
-
Convert the JSON Entry to a Dual Double Array
- dualFeasibility() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions
-
Retrieve the Dual Feasibility Necessary Condition
- dualFeasibilityCheck() - Method in class org.drip.optimization.constrained.FritzJohnMultipliers
-
Indicate of the Multipliers constitute Valid Dual Feasibility
- DualRandomSequenceBound - Class in org.drip.sample.sequence
-
DualRandomSequenceBound demonstrates the Computation of the Probabilistic Bounds for a Joint Realizations
of a Sample Random Sequence.
- DualRandomSequenceBound() - Constructor for class org.drip.sample.sequence.DualRandomSequenceBound
-
- DualSequenceAgnosticMetrics - Class in org.drip.sequence.metrics
-
DualSequenceAgnosticMetrics contains the Joint Distribution Metrics and Agnostic Bounds related to the
specified Sequence Pair.
- DualSequenceAgnosticMetrics(SingleSequenceAgnosticMetrics, SingleSequenceAgnosticMetrics) - Constructor for class org.drip.sequence.metrics.DualSequenceAgnosticMetrics
-
DualSequenceAgnosticMetrics Constructor
- DualStreamComponent - Class in org.drip.product.rates
-
DualStreamComponent is the abstract class that extends the CalibratableFixedIncomeComponent on top of
which all the dual stream rates components (fix-float, float-float, IRS etc.) are implemented.
- DualStreamComponent() - Constructor for class org.drip.product.rates.DualStreamComponent
-
- DualStreamComponentBuilder - Class in org.drip.product.creator
-
DualStreamComponentBuilder contains the suite of helper functions for creating the Stream-based Dual
Streams from different kinds of inputs.
- DualStreamComponentBuilder() - Constructor for class org.drip.product.creator.DualStreamComponentBuilder
-
- DualStreamForwardArray(DualStreamComponent) - Static method in class org.drip.analytics.support.ForwardDecompositionUtil
-
Decompose the Dual Stream Component into an Array of Single Forward Period Dual Streams
- Dumdum - Class in org.drip.sample.bondmetrics
-
Dumdum generates the Full Suite of Replication Metrics for a Sample Bond.
- Dumdum() - Constructor for class org.drip.sample.bondmetrics.Dumdum
-
- DumpIndexArray(String, int[]) - Static method in class org.drip.spaces.iterator.IterationHelper
-
Display the Contents of the Index Array
- durationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from ASW to Work-out
- durationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from ASW to Maturity
- durationFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from ASW to Optimal Exercise
- durationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Bond Basis to Work-out
- durationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Bond Basis to Maturity
- durationFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Bond Basis to Optimal Exercise
- durationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Credit Basis to Work-out
- durationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Credit Basis to Maturity
- durationFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Credit Basis to Optimal Exercise
- durationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Discount Margin to Work-out
- durationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Discount Margin to Maturity
- durationFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Discount Margin to Optimal Exercise
- durationFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from E Spread to Work-out
- durationFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from E Spread to Maturity
- durationFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from E Spread to Optimal Exercise
- durationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from G Spread to Work-out
- durationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from G Spread to Maturity
- durationFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from G Spread to Optimal Exercise
- durationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from I Spread to Work-out
- durationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from I Spread to Maturity
- durationFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from I Spread to Optimal Exercise
- durationFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from J Spread to Work-out
- durationFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from J Spread to Maturity
- durationFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from J Spread to Optimal Exercise
- durationFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from N Spread to Work-out
- durationFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from N Spread to Maturity
- durationFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from N Spread to Optimal Exercise
- durationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from OAS to Work-out
- durationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from OAS to Maturity
- durationFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from OAS to Optimal Exercise
- durationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from PECS to Work-out
- durationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from PECS to Maturity
- durationFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from PECS to Optimal Exercise
- durationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Price to Work-out
- durationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Price to Maturity
- durationFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Price to Optimal Exercise
- durationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from TSY Spread to Work-out
- durationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from TSY Spread to Maturity
- durationFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from TSY Spread to Optimal Exercise
- durationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Yield to Work-out
- durationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Yield to Maturity
- durationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Yield Spread to Work-out
- durationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Yield Spread to Maturity
- durationFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Yield Spread to Optimal Exercise
- durationFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Yield to Optimal Exercise
- durationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Z Spread to Work-out
- durationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Z Spread to Maturity
- durationFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- durationFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Duration from Z Spread to Optimal Exercise
- Durgapur - Class in org.drip.sample.bondmetrics
-
Durgapur demonstrates the Analytics Calculation/Reconciliation for the Bond Durgapur.
- Durgapur() - Constructor for class org.drip.sample.bondmetrics.Durgapur
-
- dv01() - Method in class org.drip.analytics.output.BondCouponMeasures
-
Retrieve the DV01
- DV01() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the DV01
- DV01WithFixing() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the DV01 With Fixing
- DVA(double) - Static method in class org.drip.xva.basel.ValueAdjustment
-
Construct the DVA Value Adjustment Instance
- dva() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
-
Retrieve the Expected DVA
- dva() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
-
Retrieve the Univariate Thin Statistics for DVA
- DVA2(double) - Static method in class org.drip.xva.basel.ValueAdjustment
-
Construct the DVA2 Value Adjustment Instance
- dva2() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
-
Retrieve the Expected DVA2
- dva2() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
-
Retrieve the Univariate Thin Statistics for DVA2
- DyadicEntropyNumber(double) - Static method in class org.drip.spaces.cover.CoveringBoundsHelper
-
Compute the Dyadic Entropy Number from the nth Entropy Number
- dyadicEntropyUpperBound(int) - Method in class org.drip.spaces.cover.MaureyOperatorCoveringBounds
-
Compute the Upper Bound for the Dyadic Entropy Number
- DynamicsContainer - Class in org.drip.exposure.evolver
-
DynamicsContainer holds the Dynamics of the Economy with the following Traded Assets - the Numeraire
Evolver Dynamics, the Terminal Latent State Evolver Dynamics, and the Primary Security Evolver Dynamics.
- DynamicsContainer() - Constructor for class org.drip.exposure.evolver.DynamicsContainer
-
Empty DynamicsContainer Constructor
- DynamicsParameters - Class in org.drip.execution.athl
-
DynamicsParameters generates the Variants of the Market Dynamics Parameters constructed using the
Methodologies presented in Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren
(2003).
- DynamicsParameters(AssetFlowSettings) - Constructor for class org.drip.execution.athl.DynamicsParameters
-
DynamicsParameters Constructor
- eadMultiplier() - Method in class org.drip.xva.settings.StandardizedExposureGeneratorScheme
-
Retrieve the EAD Multiplier
- EarlyTerminationDate(JulianDate) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
-
Construct the Early Termination Date (ETD) CSA Event Date
- ECSHoliday - Class in org.drip.analytics.holset
-
- ECSHoliday() - Constructor for class org.drip.analytics.holset.ECSHoliday
-
- ED(JulianDate) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
-
Construct the Event of Default CSA Event Date
- ed() - Method in class org.drip.exposure.csatimeline.EventSequence
-
Retrieve the ED Event Date
- ED1Attribution - Class in org.drip.sample.forwardratefuturespnl
-
ED1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
ED1 Series.
- ED1Attribution() - Constructor for class org.drip.sample.forwardratefuturespnl.ED1Attribution
-
- ED1ClosesReconstitutor - Class in org.drip.sample.forwardratefuturesfeed
-
ED1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formatted ED1 Closes Feed.
- ED1ClosesReconstitutor() - Constructor for class org.drip.sample.forwardratefuturesfeed.ED1ClosesReconstitutor
-
- ED_COMMUNICATION_DELAY_AGGRESSIVE - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
-
ED Communication Delay - Aggressive
- ED_COMMUNICATION_DELAY_CONSERVATIVE - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
-
ED Communication Delay - Conservative
- EDCommunication(JulianDate) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
-
Construct the ED Communication CSA Event Date
- edCommunication() - Method in class org.drip.exposure.csatimeline.EventSequence
-
Retrieve the ED Communication Event Date
- EDFJacobianRegressorSet - Class in org.drip.regression.curvejacobian
-
EDFJacobianRegressorSet implements the regression analysis set for the EDF product related Sensitivity
Jacobians.
- EDFJacobianRegressorSet() - Constructor for class org.drip.regression.curvejacobian.EDFJacobianRegressorSet
-
- Edge - Class in org.drip.measure.joint
-
Edge implements the Deterministic and the Stochastic Components of a Joint R^1 Random Increment.
- Edge(JumpDiffusionEdge[]) - Constructor for class org.drip.measure.joint.Edge
-
Edge Constructor
- Edge - Class in org.drip.spaces.graph
-
Edge represents the Connection between a Pair of Vertexes.
- Edge(String, String, double) - Constructor for class org.drip.spaces.graph.Edge
-
Edge Constructor
- edge(String, String) - Method in class org.drip.spaces.graph.TopographyEdgeMap
-
Retrieve the Edge connecting the Source and the Destination
- EDGE_DATE_SEQUENCE_FORWARD - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
-
Edge Date Generation Sequence - Forward
- EDGE_DATE_SEQUENCE_OVERNIGHT - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
-
Edge Date Generation Sequence - Overnight
- EDGE_DATE_SEQUENCE_REGULAR - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
-
Edge Date Generation Sequence - Regular
- EDGE_DATE_SEQUENCE_REVERSE - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
-
Edge Date Generation Sequence - Reverse
- EDGE_DATE_SEQUENCE_SINGLE - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
-
Edge Date Generation Sequence - Single Edge Date Pair Between Dates
- edgeDateSequenceScheme() - Method in class org.drip.param.period.ComposableUnitBuilderSetting
-
Retrieve the Edge Date Generation Scheme
- edgeList(String) - Method in class org.drip.spaces.graph.TopographyEdgeMap
-
Retrieve all the Edges corresponding to the Source Vertex
- edgeMap() - Method in class org.drip.spaces.graph.TopographyEdgeMap
-
Retrieve the Edge Map
- EdgePair(JulianDate, JulianDate) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
-
Generate a single Spanning Edge Pair between the specified dates, using the specified Calendar
- edgeRun(MarketEdge, EvolutionTrajectoryVertex, double) - Method in class org.drip.xva.pde.BurgardKjaerOperator
-
Generate the Derivative Value Time Increment using the Burgard Kjaer Scheme
- edgeRunAttribution(MarketEdge, EvolutionTrajectoryVertex, double) - Method in class org.drip.xva.pde.BurgardKjaerOperator
-
Generate the Time Increment Run Attribution using the Burgard Kjaer Scheme
- edgeWeightVariance() - Method in class org.drip.sequence.custom.OrientedPercolationFirstPassage
-
Retrieve the Edge Width Variance
- EEKHoliday - Class in org.drip.analytics.holset
-
- EEKHoliday() - Constructor for class org.drip.analytics.holset.EEKHoliday
-
- EF1Attribution - Class in org.drip.sample.forwardratefuturespnl
-
EF1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
EF1 Series.
- EF1Attribution() - Constructor for class org.drip.sample.forwardratefuturespnl.EF1Attribution
-
- EF1ClosesReconstitutor - Class in org.drip.sample.forwardratefuturesfeed
-
EF1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formatted EF1 Closes Feed.
- EF1ClosesReconstitutor() - Constructor for class org.drip.sample.forwardratefuturesfeed.EF1ClosesReconstitutor
-
- effective() - Method in class org.drip.product.definition.BasketProduct
-
Returns the effective date of the basket product
- effective() - Method in class org.drip.product.rates.Stream
-
Retrieve the Effective Date
- effectiveDate() - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Retrieve the Effective Date
- effectiveDate() - Method in class org.drip.market.otc.CreditIndexConvention
-
Retrieve the Effective Date
- effectiveDate() - Method in class org.drip.product.credit.BondComponent
-
- effectiveDate() - Method in class org.drip.product.credit.CDSComponent
-
- effectiveDate() - Method in class org.drip.product.definition.Component
-
Get the Effective Date
- effectiveDate() - Method in class org.drip.product.fx.FXForwardComponent
-
- effectiveDate() - Method in class org.drip.product.govvie.TreasuryFutures
-
- effectiveDate() - Method in class org.drip.product.option.OptionComponent
-
- effectiveDate() - Method in class org.drip.product.rates.FixFloatComponent
-
- effectiveDate() - Method in class org.drip.product.rates.FloatFloatComponent
-
- effectiveDate() - Method in class org.drip.product.rates.RatesBasket
-
- effectiveDate() - Method in class org.drip.product.rates.SingleStreamComponent
-
- effectiveDF() - Method in class org.drip.analytics.cashflow.LossQuadratureMetrics
-
Get the Period Effective Discount Factor
- effectiveDF(int, int) - Method in class org.drip.state.csa.MultilateralBasisCurve
-
- effectiveDF(JulianDate, JulianDate) - Method in class org.drip.state.csa.MultilateralBasisCurve
-
- effectiveDF(String, String) - Method in class org.drip.state.csa.MultilateralBasisCurve
-
- effectiveDF(int, int) - Method in class org.drip.state.curve.DerivedZeroRate
-
- effectiveDF(JulianDate, JulianDate) - Method in class org.drip.state.curve.DerivedZeroRate
-
- effectiveDF(String, String) - Method in class org.drip.state.curve.DerivedZeroRate
-
- effectiveDF(int, int) - Method in interface org.drip.state.discount.DiscountFactorEstimator
-
Compute the time-weighted discount factor between 2 dates
- effectiveDF(JulianDate, JulianDate) - Method in interface org.drip.state.discount.DiscountFactorEstimator
-
Compute the time-weighted discount factor between 2 dates
- effectiveDF(String, String) - Method in interface org.drip.state.discount.DiscountFactorEstimator
-
Compute the time-weighted discount factor between 2 tenors
- effectiveDF(int, int) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
- effectiveDF(JulianDate, JulianDate) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
- effectiveDF(String, String) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
- effectiveDF(int, int) - Method in class org.drip.state.govvie.GovvieCurve
-
- effectiveDF(JulianDate, JulianDate) - Method in class org.drip.state.govvie.GovvieCurve
-
- effectiveDF(String, String) - Method in class org.drip.state.govvie.GovvieCurve
-
- effectiveExpectedExposure() - Method in class org.drip.xva.gross.BaselExposureDigest
-
Retrieve the Effective Expected Exposure
- effectiveExpectedPositiveExposure() - Method in class org.drip.xva.gross.BaselExposureDigest
-
Retrieve the Effective Expected Positive Exposure
- effectiveNotional() - Method in class org.drip.analytics.cashflow.LossQuadratureMetrics
-
Get the Period Effective Notional
- effectiveRecovery() - Method in class org.drip.analytics.cashflow.LossQuadratureMetrics
-
Get the Period Effective Recovery
- effectiveRecovery(int, int) - Method in class org.drip.state.credit.CreditCurve
-
Calculate the time-weighted recovery between a pair of dates
- effectiveRecovery(JulianDate, JulianDate) - Method in class org.drip.state.credit.CreditCurve
-
Calculate the time-weighted recovery between a pair of dates
- effectiveRecovery(String, String) - Method in class org.drip.state.credit.CreditCurve
-
Calculate the time-weighted recovery between a pair of tenors
- effectiveSurvival(int, int) - Method in class org.drip.state.credit.CreditCurve
-
Calculate the time-weighted survival between a pair of 2 dates
- effectiveSurvival(JulianDate, JulianDate) - Method in class org.drip.state.credit.CreditCurve
-
Calculate the time-weighted survival between a pair of 2 dates
- effectiveSurvival(String, String) - Method in class org.drip.state.credit.CreditCurve
-
Calculate the time-weighted survival between a pair of 2 tenors
- effectiveTreasuryBenchmarkYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- effectiveTreasuryBenchmarkYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Retrieve the effective treasury benchmark yield from the valuation, the component market parameters,
and the market price
- effectiveVolatility() - Method in class org.drip.pricer.option.Greeks
-
The "Effective" Volatility
- efficientFrontier(PortfolioConstructionParameters, AssetUniverseStatisticalProperties, int) - Method in class org.drip.portfolioconstruction.allocator.MeanVarianceOptimizer
-
Generate the Efficient Frontier given the Portfolio Construction Parameters
- EfficientFrontierNoDrift - Class in org.drip.sample.almgrenchriss
-
EfficientFrontierNoDrift constructs the Efficient Frontier over a Sequence of Risk Aversion Parameters for
Optimal Trading Trajectories computed in accordance with the Specification of Almgren and Chriss (2000),
and calculates the corresponding Execution Half Life and the Trajectory Penalty without regard to the
Drift.
- EfficientFrontierNoDrift() - Constructor for class org.drip.sample.almgrenchriss.EfficientFrontierNoDrift
-
- EfficientFrontierWithDrift - Class in org.drip.sample.almgrenchriss
-
EfficientFrontierWithDrift constructs the Efficient Frontier over a Sequence of Risk Aversion Parameters
for Optimal Trading Trajectories computed in accordance with the Specification of Almgren and Chriss
(2000), and calculates the corresponding Execution Half Life and the Trajectory Penalty incorporating the
Impact of Drift.
- EfficientFrontierWithDrift() - Constructor for class org.drip.sample.almgrenchriss.EfficientFrontierWithDrift
-
- EfficientTradingTrajectory - Interface in org.drip.execution.optimum
-
EfficientTradingTrajectory contains the Efficient Trading Trajectory generated by one of the Methods
outlined in the Almgren and Chriss (2000) and Almgren (2003) Scheme for Discrete and Continuous Trading
Approximation respectively.
- EfficientTradingTrajectoryContinuous - Class in org.drip.execution.optimum
-
EfficientTradingTrajectoryContinuous contains the Efficient Trading Trajectory generated by one of the
Methods outlined in the Almgren (2003) Scheme for Continuous Trading Approximation.
- EfficientTradingTrajectoryContinuous(double, double, double, double, double, R1ToR1, R1ToR1, R1ToR1, R1ToR1) - Constructor for class org.drip.execution.optimum.EfficientTradingTrajectoryContinuous
-
EfficientTradingTrajectoryContinuous Constructor
- EfficientTradingTrajectoryDiscrete - Class in org.drip.execution.optimum
-
EfficientTradingTrajectoryDiscrete contains the Discrete Trading Trajectory generated by a given Optimal
Trajectory Generation Scheme.
- EfficientTradingTrajectoryDiscrete(double[], double[], double[], double, double, double) - Constructor for class org.drip.execution.optimum.EfficientTradingTrajectoryDiscrete
-
EfficientTradingTrajectoryDiscrete Constructor
- efficientTrajectory() - Method in class org.drip.execution.principal.GrossProfitEstimator
-
Retrieve the Optimal Efficient Trajectory
- EfronSteinMetrics - Class in org.drip.sequence.functional
-
EfronSteinMetrics contains the Variance-based non-exponential Sample Distribution/Bounding Metrics and
Agnostic Bounds related to the Functional Transformation of the specified Sequence.
- EfronSteinMetrics(MultivariateRandom, SingleSequenceAgnosticMetrics[]) - Constructor for class org.drip.sequence.functional.EfronSteinMetrics
-
EfronSteinMetrics Constructor
- efronSteinSteeleBound(SingleSequenceAgnosticMetrics[]) - Method in class org.drip.sequence.functional.EfronSteinMetrics
-
Compute the Efron-Stein-Steele Variance Upper Bound using the Ghost Variables
- EGPHoliday - Class in org.drip.analytics.holset
-
- EGPHoliday() - Constructor for class org.drip.analytics.holset.EGPHoliday
-
- egressMap() - Method in class org.drip.spaces.graph.Vertex
-
Retrieve the Egress Map
- EigenComponent - Class in org.drip.quant.eigen
-
EigenComponent holds the Component's Eigenvector and the corresponding Eigenvalue.
- EigenComponent(double[], double) - Constructor for class org.drip.quant.eigen.EigenComponent
-
EigenComponent Constructor
- eigenComponents() - Method in class org.drip.learning.kernel.IntegralOperatorEigenContainer
-
Retrieve the Array of the Integral Operator Eigen-Components
- eigenComponentSuite() - Method in class org.drip.learning.kernel.MercerKernel
-
Retrieve the Suite of Eigen Components
- eigenFunction() - Method in class org.drip.learning.kernel.IntegralOperatorEigenComponent
-
Retrieve the Eigen-Function
- EigenFunctionRdToR1 - Class in org.drip.learning.kernel
-
EigenFunctionRdToR1 holds the Eigen-vector Function and its corresponding Space of the R^d To R^1 Kernel
Linear Integral Operator defined by:
T_k [f(.)] := Integral Over Input Space {k (., y) * f(y) * d[Prob(y)]}
The References are:
1) Ash, R.
- EigenFunctionRdToR1(RdNormed, R1Normed, RdToR1, double) - Constructor for class org.drip.learning.kernel.EigenFunctionRdToR1
-
- Eigenization - Class in org.drip.sample.matrix
-
Eigenization demonstrates how to generate the eigenvalue and eigenvector for the Input Matrix.
- Eigenization() - Constructor for class org.drip.sample.matrix.Eigenization
-
- eigenize() - Method in class org.drip.learning.kernel.IntegralOperator
-
Eigenize the Kernel Integral Operator
- eigenize(double[][]) - Method in interface org.drip.quant.eigen.ComponentExtractor
-
Eigenize and Extract the Components of the Specified Matrix
- eigenize(double[][]) - Method in class org.drip.quant.eigen.PowerIterationComponentExtractor
-
- eigenize(double[][]) - Method in class org.drip.quant.eigen.QREigenComponentExtractor
-
- EigenOutput - Class in org.drip.quant.eigen
-
EigenOutput holds the results of the Eigenization Operation - the Eigenvectors and the Eigenvalues.
- EigenOutput(double[][], double[]) - Constructor for class org.drip.quant.eigen.EigenOutput
-
EigenOutput Constructor
- eigenvalue() - Method in class org.drip.learning.kernel.IntegralOperatorEigenComponent
-
Retrieve the Eigenvalue
- eigenvalue() - Method in class org.drip.quant.eigen.EigenComponent
-
Retrieve the Eigenvalue
- eigenvalue() - Method in class org.drip.quant.eigen.EigenOutput
-
Retrieve the Array of Eigenvalues
- eigenvector() - Method in class org.drip.quant.eigen.EigenComponent
-
Retrieve the Eigenvector
- eigenvector() - Method in class org.drip.quant.eigen.EigenOutput
-
Retrieve the Array of Eigenvectors
- elapsed(boolean) - Method in class org.drip.service.env.InvocationRecord
-
Retrieve the Elapsed Time
- elementSpace() - Method in class org.drip.spaces.tensor.R1CombinatorialVector
-
Retrieve the Full Candidate List of Elements
- eligibility() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
-
Retrieve the Treasury Futures Eligibility Settings
- EliminateSpuriousExtrema(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
Eliminate the Spurious Extrema in the Input C1 Entry
- eliminateSpuriousExtrema() - Method in class org.drip.state.estimator.LocalControlCurveParams
-
Retrieve the Eliminate Spurious Extrema Flag
- elme() - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
-
Retrieve the Empirical Learning Metric Estimator Instance
- EmbeddedOptionSchedule - Class in org.drip.product.params
-
EmbeddedOptionSchedule is a place holder for the embedded option schedule for the component.
- EmbeddedOptionSchedule(int[], double[], boolean, int, boolean, double, String, double) - Constructor for class org.drip.product.params.EmbeddedOptionSchedule
-
Construct the EOS from the array of dates and factors
- EmbeddedOptionSchedule(EmbeddedOptionSchedule) - Constructor for class org.drip.product.params.EmbeddedOptionSchedule
-
Construct a Deep Copy EOS from another EOS
- EMERGING_MARKETS - Static variable in class org.drip.simm.equity.RegionSystemics
-
The "Emerging Markets" Region
- emitSignal(double, double) - Method in class org.drip.execution.athl.TransactionRealization
-
Emit the IJK Signal
- empiricalAnchorMoment(int, double, boolean) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Compute the Specified Anchor Moment of the Sample Sequence
- empiricalCentralMoment(int, boolean) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Compute the Specified Central Moment of the Sample Sequence
- empiricalExpectation() - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Retrieve the Sample Expectation
- EmpiricalLearnerLoss - Class in org.drip.learning.bound
-
EmpiricalLearnerLoss Function computes the Empirical Loss of a Learning Operation resulting from the Use
of a Learning Function in Conjunction with the corresponding Empirical Realization.
- EmpiricalLearnerLoss(R1ToR1, double) - Constructor for class org.drip.learning.bound.EmpiricalLearnerLoss
-
EmpiricalLearnerLoss Constructor
- EmpiricalLearningMetricEstimator - Interface in org.drip.learning.rxtor1
-
EmpiricalLearningMetricEstimator is the Estimator of the Empirical Loss and Risk, as well as the
corresponding Covering Numbers.
- empiricalLoss(R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Compute the Empirical Sample Loss
- empiricalLoss(RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Compute the Empirical Sample Loss
- empiricalLoss(R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.L1LossLearner
-
- empiricalLoss(RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.L1LossLearner
-
- empiricalLoss(R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.LipschitzLossLearner
-
- empiricalLoss(RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.LipschitzLossLearner
-
- empiricalLoss(R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.LpLossLearner
-
- empiricalLoss(RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.LpLossLearner
-
- empiricalOutcomes() - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
-
Retrieve the Validated Outcome Instance
- EmpiricalPenaltySupremum - Class in org.drip.learning.rxtor1
-
EmpiricalPenaltySupremum holds the Learning Function that corresponds to the Empirical Supremum, as well
as the corresponding Supremum Value.
- EmpiricalPenaltySupremum(int, double) - Constructor for class org.drip.learning.rxtor1.EmpiricalPenaltySupremum
-
- EmpiricalPenaltySupremumEstimator - Class in org.drip.learning.rxtor1
-
EmpiricalPenaltySupremumEstimator contains the Implementation of the Empirical Penalty Supremum Estimator
dependent on Multivariate Random Variables where the Multivariate Function is a Linear Combination of
Bounded Univariate Functions acting on each Random Variate.
- EmpiricalPenaltySupremumEstimator(int, EmpiricalLearningMetricEstimator, GeneralizedValidatedVector, R1R1, RdR1) - Constructor for class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
-
EmpiricalPenaltySupremumEstimator Constructor
- empiricalPenaltySupremumEstimator() - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumMetrics
-
Retrieve the Empirical Penalty Supremum Function
- EmpiricalPenaltySupremumMetrics - Class in org.drip.learning.rxtor1
-
EmpiricalPenaltySupremumMetrics computes Efron-Stein Metrics for the Penalty Supremum R^x To R^1
Functions.
- EmpiricalPenaltySupremumMetrics(EmpiricalPenaltySupremumEstimator, SingleSequenceAgnosticMetrics[], MeasureConcentrationExpectationBound) - Constructor for class org.drip.learning.rxtor1.EmpiricalPenaltySupremumMetrics
-
EmpiricalPenaltySupremumMetrics Constructor
- empiricalRawMoment(int, boolean) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Compute the Specified Raw Moment of the Sample Sequence
- empiricalRealization() - Method in class org.drip.learning.bound.EmpiricalLearnerLoss
-
Retrieve the Empirical Realization
- empiricalRisk(R1R1, R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Compute the Empirical Sample Risk
- empiricalRisk(RdR1, RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Compute the Empirical Sample Risk
- empiricalRisk(R1R1, R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.L1LossLearner
-
- empiricalRisk(RdR1, RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.L1LossLearner
-
- empiricalRisk(R1R1, R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.LipschitzLossLearner
-
- empiricalRisk(RdR1, RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.LipschitzLossLearner
-
- empiricalRisk(R1R1, R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.LpLossLearner
-
- empiricalRisk(RdR1, RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.LpLossLearner
-
- empiricalVariance() - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Retrieve the Sample Variance
- enclosingCUP(int) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Return the Unit Period to which the Date belongs
- enclosingXIndex(double) - Method in class org.drip.spline.multidimensional.WireSurfacePiecewiseConstant
-
Enclosing X Index
- enclosingYIndex(double) - Method in class org.drip.spline.multidimensional.WireSurfacePiecewiseConstant
-
Enclosing Y Index
- end() - Method in class org.drip.state.representation.LatentStateMergeSubStretch
-
Retrieve the Merge Stretch End Date
- endArray() - Method in interface org.drip.json.parser.ContentHandler
-
Receive notification of the end of a JSON array.
- endDate() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
-
Retrieve the Accrual End Date
- endDate() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Retrieve the Period End Date
- endDate() - Method in class org.drip.analytics.cashflow.LossQuadratureMetrics
-
Period End Date
- endDate() - Method in class org.drip.analytics.cashflow.ReferenceIndexPeriod
-
Reference Period End Date
- endDate() - Method in class org.drip.analytics.output.UnitPeriodConvexityMetrics
-
Retrieve the End Date
- endJSON() - Method in interface org.drip.json.parser.ContentHandler
-
Receive notification of the end of JSON processing.
- endObject() - Method in interface org.drip.json.parser.ContentHandler
-
Receive notification of the end of a JSON object.
- endObjectEntry() - Method in interface org.drip.json.parser.ContentHandler
-
Receive notification of the end of the value of previous object entry.
- endSurvival() - Method in class org.drip.analytics.cashflow.LossQuadratureMetrics
-
Survival at the Period End
- enforceable() - Method in class org.drip.xva.proto.CreditDebtGroupSpecification
-
Indicate if the Netting is Enforceable
- enforcePositivity() - Method in class org.drip.spline.pchip.MonotoneConvexHaganWest
-
Enforce the Positivity of the Inferred Response Values
- EnhancedEulerScheme - Class in org.drip.sample.almgren2009
-
EnhancedEulerScheme demonstrates the Enhancement used by Almgren (2009, 2012) to deal with Time Evolution
under Singular Initial Conditions.
- EnhancedEulerScheme() - Constructor for class org.drip.sample.almgren2009.EnhancedEulerScheme
-
- ensembleAdjustedVariationMarginDynamics() - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble
-
Generate the Ensemble Adjusted Variation Margin Dynamics
- ensemblePillarDynamics() - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble
-
Generate the Ensemble Pillar Dynamics Array
- EnsembleTradeFlowAdjustment - Class in org.drip.sample.andersen2017vm
-
EnsembleTradeFlowAdjustment generates the Trade Flow Adjusted Variation Margin from Sparse Nodes for a
Fix-Float Swap across the Ensemble of Paths.
- EnsembleTradeFlowAdjustment() - Constructor for class org.drip.sample.andersen2017vm.EnsembleTradeFlowAdjustment
-
- EnsembleVariationMarginEstimate - Class in org.drip.sample.andersen2017vm
-
EnsembleVariationMarginEstimate generates the Ensemble of Dense Variation Margin Estimates from Sparse
Nodes for a Fix-Float Swap across the Ensemble of Paths.
- EnsembleVariationMarginEstimate() - Constructor for class org.drip.sample.andersen2017vm.EnsembleVariationMarginEstimate
-
- entity() - Method in class org.drip.simm.commodity.CTBucket
-
Retrieve the SIMM Bucket Entity
- EntityCDSLabel - Class in org.drip.state.identifier
-
EntityCDSLabel contains the Identifier Parameters referencing the Latent State of the named Entity CDS
Curve.
- EntityCDSLabel(String, String, String) - Constructor for class org.drip.state.identifier.EntityCDSLabel
-
EntityCDSLabel constructor
- entityCredit(EntityCDSLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Entity Credit Latent State
- entityCredit() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve the Entity Credit Latent State Node Container
- entityCredit(EntityCreditLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve of Labeled Entity Credit
- entityCreditExists(EntityCDSLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Indicate if the Entity Credit Latent State Exists
- EntityCreditLabel - Class in org.drip.state.identifier
-
EntityCreditLabel contains the Identifier Parameters referencing the Latent State of the named Entity
Credit Curve.
- EntityCreditLabel(String, String, String) - Constructor for class org.drip.state.identifier.EntityCreditLabel
-
- entityCreditMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Entity Credit Evolver Map
- EntityDesignateLabel - Class in org.drip.state.identifier
-
EntityDesignateLabel contains the Identifier Parameters referencing the Latent State of an Entity
Designate.
- EntityDesignateLabel(String, String) - Constructor for class org.drip.state.identifier.EntityDesignateLabel
-
- EntityDynamicsContainer - Class in org.drip.exposure.evolver
-
EntityDynamicsContainer contains the Dealer and the Client Hazard and Recovery Latent State Evolvers.
- EntityDynamicsContainer(TerminalLatentState, TerminalLatentState, TerminalLatentState, TerminalLatentState, TerminalLatentState) - Constructor for class org.drip.exposure.evolver.EntityDynamicsContainer
-
EntityDynamicsContainer Constructor
- entityDynamicsContainer() - Method in class org.drip.exposure.universe.MarketVertexGenerator
-
Retrieve the Entity Dynamics Container
- entityEquity(EntityEquityLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Entity Equity Latent State
- entityEquity() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve the Entity Equity Latent State Node Container
- entityEquity(EntityEquityLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve of Labeled Entity Equity
- entityEquityExists(EntityEquityLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Indicate if the Entity Equity Latent State Exists
- EntityEquityLabel - Class in org.drip.state.identifier
-
EntityEquityLabel contains the Identifier Parameters referencing the Latent State of the Entity Equity
Curve.
- entityEquityMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Equity Evolver Map
- entityFunding(EntityFundingLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Entity Funding Latent State
- entityFunding() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve the Entity Funding Latent State Node Container
- entityFunding(EntityFundingLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve of Labeled Entity Funding
- entityFundingExists(EntityFundingLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Indicate if the Entity Funding Latent State Exists
- EntityFundingLabel - Class in org.drip.state.identifier
-
EntityFundingLabel contains the Identifier Parameters referencing the Latent State of the Entity Funding
Curve.
- EntityFundingLabel(String, String, String) - Constructor for class org.drip.state.identifier.EntityFundingLabel
-
EntityFundingLabel constructor
- entityFundingMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Entity Funding Evolver Map
- entityHazard(EntityHazardLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Entity Hazard Latent State
- entityHazard() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve the Entity Hazard Latent State Node Container
- entityHazard(EntityHazardLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve of Labeled Entity Hazard
- entityHazardExists(EntityHazardLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Indicate if the Entity Hazard Latent State Exists
- EntityHazardLabel - Class in org.drip.state.identifier
-
EntityHazardLabel contains the Identifier Parameters referencing the Latent State of the Entity Hazard
Curve.
- EntityHazardLabel(String, String) - Constructor for class org.drip.state.identifier.EntityHazardLabel
-
EntityHazardLabel constructor
- entityHazardMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Entity Hazard Evolver Map
- entityRecovery(EntityRecoveryLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Entity Recovery Latent State
- entityRecovery() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve the Entity Recovery Latent State Node Container
- entityRecovery(EntityRecoveryLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve of Labeled Entity Recovery
- entityRecoveryExists(EntityRecoveryLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Indicate if the Entity Recovery Latent State Exists
- EntityRecoveryLabel - Class in org.drip.state.identifier
-
EntityRecoveryLabel contains the Identifier Parameters referencing the Latent State of the Entity Recovery
Curve.
- entityRecoveryMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Entity Recovery Evolver Map
- entropyBoundNormA() - Method in class org.drip.spaces.cover.CarlStephaniNormedBounds
-
Retrieve the Entropy Bound using the Function Class Norm A
- entropyBoundNormB() - Method in class org.drip.spaces.cover.CarlStephaniNormedBounds
-
Retrieve the Entropy Bound using the Function Class Norm B
- entropyNumberAsymptote() - Method in interface org.drip.spaces.cover.OperatorClassCoveringBounds
-
Compute the Entropy Number Asymptotic Behavior
- entropyNumberAsymptoteExponent() - Method in class org.drip.learning.bound.DiagonalOperatorCoveringBound
-
Retrieve the Entropy Number Asymptote Exponent
- entropyNumberAsymptoteType() - Method in class org.drip.learning.bound.DiagonalOperatorCoveringBound
-
Retrieve the Entropy Number Asymptote Type
- entropyNumberIndex() - Method in class org.drip.learning.kernel.DiagonalScalingOperator
-
- entropyNumberIndex() - Method in interface org.drip.spaces.cover.OperatorClassCoveringBounds
-
Compute the Entropy Number Index of the Operator
- entropyNumberLowerBound() - Method in class org.drip.learning.kernel.DiagonalScalingOperator
-
- entropyNumberLowerBound() - Method in interface org.drip.spaces.cover.OperatorClassCoveringBounds
-
Lower Bound of the Operator Entropy Number
- entropyNumberUpperBound() - Method in class org.drip.learning.kernel.DiagonalScalingOperator
-
- entropyNumberUpperBound(int) - Method in class org.drip.spaces.cover.MaureyOperatorCoveringBounds
-
Compute the Upper Bound for the Entropy Number
- entropyNumberUpperBound() - Method in interface org.drip.spaces.cover.OperatorClassCoveringBounds
-
Upper Bound of the Operator Entropy Number
- entropyNumberUpperBounds(DiagonalScalingOperator, double) - Method in class org.drip.learning.svm.RdDecisionFunction
-
Compute the Entropy Number Upper Bounds Instance for the Specified Inputs
- entry(LatentStateLabel, LatentStateLabel) - Method in class org.drip.exposure.universe.MarketCorrelation
-
Retrieve the Cross State Correlation
- entry(String, String) - Method in class org.drip.measure.stochastic.LabelCorrelation
-
Retrieve the Correlation Entry for the Pair of Labels
- EnvManager - Class in org.drip.service.env
-
EnvManager sets the environment/connection parameters, and populates the market parameters for the given
EOD.
- EnvManager() - Constructor for class org.drip.service.env.EnvManager
-
- eomAdj() - Method in class org.drip.param.quoting.YieldInterpreter
-
Retrieve the EOM Adjustment
- EONIAFutures - Class in org.drip.sample.forwardratefutures
-
EONIAFutures contains the demonstration of the construction and the Valuation of the EONIA Futures
Contract.
- EONIAFutures() - Constructor for class org.drip.sample.forwardratefutures.EONIAFutures
-
- EOSBondPeriods - Class in org.drip.sample.cashflow
-
EOSBondPeriods demonstrates the Cash Flow Period Details for a Bond with Embedded Options.
- EOSBondPeriods() - Constructor for class org.drip.sample.cashflow.EOSBondPeriods
-
- eosMetricsReplicator() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the EOS Metrics Replicator
- EOSMetricsReplicator - Class in org.drip.service.scenario
-
EOSMetricsReplicator generates the EOS Metrics for Bonds with Embedded Option Schedules.
- EOSMetricsReplicator(BondComponent, ValuationParams, CurveSurfaceQuoteContainer, GovvieBuilderSettings, DiffusionEvolver, int, double) - Constructor for class org.drip.service.scenario.EOSMetricsReplicator
-
EOSMetricsReplicator Constructor
- epoch() - Method in interface org.drip.analytics.definition.Curve
-
Get the Epoch Date
- epoch() - Method in class org.drip.analytics.definition.MarketSurface
-
- epoch() - Method in class org.drip.analytics.definition.NodeStructure
-
- epoch() - Method in class org.drip.function.r1tor1.ExponentialDecay
-
Retrieve the Epoch
- epoch() - Method in class org.drip.function.r1tor1.SABRLIBORCapVolatility
-
Return the Epoch
- epoch() - Method in class org.drip.state.basis.BasisCurve
-
- epoch() - Method in class org.drip.state.credit.CreditCurve
-
- epoch() - Method in class org.drip.state.csa.MultilateralBasisCurve
-
- epoch() - Method in interface org.drip.state.discount.DiscountFactorEstimator
-
Retrieve the Starting (Epoch) Date
- epoch() - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
- epoch() - Method in class org.drip.state.discount.ZeroCurve
-
- epoch() - Method in class org.drip.state.forward.ForwardCurve
-
- epoch() - Method in class org.drip.state.fx.FXCurve
-
- epoch() - Method in class org.drip.state.govvie.GovvieCurve
-
- epoch() - Method in class org.drip.state.repo.RepoCurve
-
- Epochal(JulianDate, double, double, double, double, double, double, double, double, LatentStateVertexContainer) - Static method in class org.drip.exposure.universe.MarketVertex
-
Generate an Initial Instance of MarketVertex
- Epochal(JulianDate, double, double, double, double, double, double, double, double, double, double, LatentStateVertexContainer) - Static method in class org.drip.exposure.universe.MarketVertex
-
Generate an Initial Instance of MarketVertex
- epochalMarketVertex() - Method in class org.drip.exposure.universe.MarketPath
-
Retrieve the Epochal Market Vertex
- epochDate() - Method in class org.drip.exposure.regression.AndersenPykhtinSokolSegment
-
Retrieve the Epoch Date
- epochImpactFunction() - Method in interface org.drip.execution.profiletime.BackgroundParticipationRate
-
Compute the Epoch Market Impact Function
- epochImpactFunction() - Method in class org.drip.execution.profiletime.UniformParticipationRate
-
- epochImpactFunction() - Method in class org.drip.execution.profiletime.UniformParticipationRateLinear
-
- epochImpactFunction() - Method in class org.drip.execution.tradingtime.CoordinatedParticipationRateLinear
-
- epochLiquidityFunction() - Method in interface org.drip.execution.profiletime.BackgroundParticipationRateLinear
-
Compute the Epoch Liquidity Market Impact Function
- epochLiquidityFunction() - Method in class org.drip.execution.profiletime.UniformParticipationRateLinear
-
- epochLiquidityFunction() - Method in class org.drip.execution.tradingtime.CoordinatedParticipationRateLinear
-
- epochVolatility() - Method in class org.drip.execution.parameters.ArithmeticPriceDynamicsSettings
-
Retrieve the Asset Annual Volatility
- EPSILON_EXPONENT_AGNOSTIC_CONVEX_LEARNING - Static variable in class org.drip.learning.bound.CoveringNumberBoundBuilder
-
Epsilon Exponent for Agnostic Learning with Convex Functions
- EPSILON_EXPONENT_AGNOSTIC_LEARNING - Static variable in class org.drip.learning.bound.CoveringNumberBoundBuilder
-
Epsilon Exponent for Agnostic Learning
- EPSILON_EXPONENT_REGRESSION_LEARNING - Static variable in class org.drip.learning.bound.CoveringNumberBoundBuilder
-
Epsilon Exponent for Regression Learning
- epsilonExponent() - Method in class org.drip.learning.bound.CoveringNumberLossBound
-
Retrieve the Exponential Epsilon Exponent
- EQ - Static variable in class org.drip.simm.common.Chargram
-
The Equity Digram EQ
- EQ_CNRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Credit Non Qualifying and Equity Risk Classes
- EQ_CNRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Credit Non Qualifying and Equity Risk Classes
- EQ_CRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Credit Qualifying and Equity Risk Classes
- EQ_CRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Credit Qualifying and Equity Risk Classes
- EQ_CT - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Correlation between Equity and Commodity Risk Classes
- EQ_CT() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Equity and Commodity Risk Classes
- EQ_CT - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Correlation between Equity and Commodity Risk Classes
- EQ_CT() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Equity and Commodity Risk Classes
- EQ_FX - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Correlation between Equity and FX Risk Classes
- EQ_FX() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Equity and FX Risk Classes
- EQ_FX - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Correlation between Equity and FX Risk Classes
- EQ_FX() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Equity and FX Risk Classes
- EQ_IR() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Interest Rate and Equity Risk Classes
- EQ_IR() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Interest Rate and Equity Risk Classes
- EQBucket - Class in org.drip.simm.equity
-
EQBucket holds the ISDA SIMM Region, Sector, Member Correlation, and Risk Weights for a given Equity
Issuer Exposure Bucket.
- EQBucket(int, String, String, String[], double, double, double) - Constructor for class org.drip.simm.equity.EQBucket
-
EQBucket Constructor
- EQCrossBucketPrincipal - Class in org.drip.sample.simmvariance
-
EQCrossBucketPrincipal demonstrates the Computation of the Cross EQ Bucket Principal Component Co-variance
using the EQ Bucket Principal Component.
- EQCrossBucketPrincipal() - Constructor for class org.drip.sample.simmvariance.EQCrossBucketPrincipal
-
- EQMarginComparison - Class in org.drip.sample.simmvariance
-
EQMarginComparison illustrates the Comparison of the Equity Margin Estimates using difference Schemes for
Calculating the Position-Bucket Principal Component Co-variance.
- EQMarginComparison() - Constructor for class org.drip.sample.simmvariance.EQMarginComparison
-
- EQRiskThresholdContainer20 - Class in org.drip.simm.equity
-
EQRiskThresholdContainer20 holds the ISDA SIMM 2.0 Equity Risk Thresholds - the Equity Buckets and the
Delta/Vega Limits defined for the Concentration Thresholds.
- EQRiskThresholdContainer20() - Constructor for class org.drip.simm.equity.EQRiskThresholdContainer20
-
- EQRiskThresholdContainer21 - Class in org.drip.simm.equity
-
EQRiskThresholdContainer21 holds the ISDA SIMM 2.1 Equity Risk Thresholds - the Equity Buckets and the
Delta/Vega Limits defined for the Concentration Thresholds.
- EQRiskThresholdContainer21() - Constructor for class org.drip.simm.equity.EQRiskThresholdContainer21
-
- EQSettingsContainer20 - Class in org.drip.simm.equity
-
EQSettingsContainer20 holds the ISDA SIMM 2.0 Equity Buckets and their Correlations.
- EQSettingsContainer20() - Constructor for class org.drip.simm.equity.EQSettingsContainer20
-
- EQSettingsContainer21 - Class in org.drip.simm.equity
-
EQSettingsContainer21 holds the ISDA SIMM 2.1 Equity Buckets and their Correlations.
- EQSettingsContainer21() - Constructor for class org.drip.simm.equity.EQSettingsContainer21
-
- EQSystemics20 - Class in org.drip.simm.equity
-
EQSystemics20 contains the SIMM 2.0 Systemic Settings common to all Equity Risk Factors.
- EQSystemics20() - Constructor for class org.drip.simm.equity.EQSystemics20
-
- EQSystemics21 - Class in org.drip.simm.equity
-
EQSystemics21 contains the SIMM 2.1 Systemic Settings common to all Equity Risk Factors.
- EQSystemics21() - Constructor for class org.drip.simm.equity.EQSystemics21
-
- equalityConstraint() - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Retrieve the Array of R^d To R^1 Equality Constraint Functions
- equalityConstraintCoefficient() - Method in class org.drip.optimization.constrained.FritzJohnMultipliers
-
Retrieve the Array of the Equality Constraint Coefficients
- equalityConstraintRdToR1(AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.PortfolioConstructionParameters
-
Retrieve the Equality Constraint R^d To R^1 Corresponding to the Specified Constraint Type
- equalityConstraintValue(AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.PortfolioConstructionParameters
-
Retrieve the Equality Constraint Values Corresponding to the Specified Constraint Type
- equals(Object) - Method in class org.drip.analytics.date.JulianDate
-
- EqualWidth(int, int, int) - Static method in class org.drip.analytics.support.VertexDateBuilder
-
Generate Equal Width Vertex Dates from the specified Spot Date and the Terminal Date
- EquilibriumRiskAversion(double, double, double) - Static method in class org.drip.portfolioconstruction.allocator.RiskUtilitySettingsEstimator
-
Compute the Equilibrium Risk Aversion from the Portfolio Equilibrium Returns/Variance and the Risk
Free Rate
- EquilibriumRiskAversion(double, double) - Static method in class org.drip.portfolioconstruction.allocator.RiskUtilitySettingsEstimator
-
Compute the Equilibrium Risk Aversion from the Portfolio Equilibrium Returns/Variance
- Equity - Class in org.drip.exposure.evolver
-
Equity describes a Tradeable Equity.
- Equity(String, LatentStateLabel, DiffusionEvolver, double, double) - Constructor for class org.drip.exposure.evolver.Equity
-
Equity Constructor
- equity() - Method in class org.drip.xva.basel.BalanceSheetVertex
-
Estimate the Equity Account
- Equity20 - Class in org.drip.sample.simmsettings
-
Equity20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Single/Cross Currency Equity Bucket Risk
Weights, Correlations, and Systemics.
- Equity20() - Constructor for class org.drip.sample.simmsettings.Equity20
-
- Equity21 - Class in org.drip.sample.simmsettings
-
Equity21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Single/Cross Currency Equity Bucket Risk
Weights, Correlations, and Systemics.
- Equity21() - Constructor for class org.drip.sample.simmsettings.Equity21
-
- EquityClassMargin20 - Class in org.drip.sample.simmeq
-
EquityClassMargin20 illustrates the Computation of the ISDA 2.0 Aggregate Margin for across a Group of
Equity Bucket Exposure Sensitivities.
- EquityClassMargin20() - Constructor for class org.drip.sample.simmeq.EquityClassMargin20
-
- EquityClassMargin21 - Class in org.drip.sample.simmeq
-
EquityClassMargin21 illustrates the Computation of the ISDA 2.1 Aggregate Margin for across a Group of
Equity Bucket Exposure Sensitivities.
- EquityClassMargin21() - Constructor for class org.drip.sample.simmeq.EquityClassMargin21
-
- EquityCurvatureMargin20 - Class in org.drip.sample.simmeq
-
EquityCurvatureMargin20 illustrates the Computation of the SIMM 2.0 Curvature Margin for a Group of Equity
Bucket Exposure Sensitivities.
- EquityCurvatureMargin20() - Constructor for class org.drip.sample.simmeq.EquityCurvatureMargin20
-
- EquityCurvatureMargin21 - Class in org.drip.sample.simmeq
-
EquityCurvatureMargin21 illustrates the Computation of the SIMM 2.1 Curvature Margin for a Group of Equity
Bucket Exposure Sensitivities.
- EquityCurvatureMargin21() - Constructor for class org.drip.sample.simmeq.EquityCurvatureMargin21
-
- EquityDeltaMargin20 - Class in org.drip.sample.simmeq
-
EquityDeltaMargin20 illustrates the Computation of the SIMM 2.0 Delta Margin across a Group of Equity
Bucket Exposure Sensitivities.
- EquityDeltaMargin20() - Constructor for class org.drip.sample.simmeq.EquityDeltaMargin20
-
- EquityDeltaMargin21 - Class in org.drip.sample.simmeq
-
EquityDeltaMargin21 illustrates the Computation of the SIMM 2.1 Delta Margin across a Group of Equity
Bucket Exposure Sensitivities.
- EquityDeltaMargin21() - Constructor for class org.drip.sample.simmeq.EquityDeltaMargin21
-
- equityEquityCorrelation(EntityEquityLabel, EntityEquityLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Pair of Equity Latent States
- equityForwardCorrelation(EntityEquityLabel, ForwardLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Equity and the Forward Latent States
- equityFundingCorrelation(EntityEquityLabel, FundingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between Equity and the Funding Latent States
- equityFXCorrelation(EntityEquityLabel, FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Equity and the FX Latent States
- equityGovvieCorrelation(EntityEquityLabel, GovvieLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Equity and the Govvie Latent States
- EquityMarketImpactDRI - Class in org.drip.sample.athl
-
EquityMarketImpactDRI demonstrates the Reconciliation of the Equity Market Impact with that determined
empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for
DRI.
- EquityMarketImpactDRI() - Constructor for class org.drip.sample.athl.EquityMarketImpactDRI
-
- EquityMarketImpactIBM - Class in org.drip.sample.athl
-
EquityMarketImpactIBM demonstrates the Reconciliation of the Equity Market Impact with that determined
empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for
IBM.
- EquityMarketImpactIBM() - Constructor for class org.drip.sample.athl.EquityMarketImpactIBM
-
- equityMultiplicativeScale() - Method in class org.drip.simm.estimator.AdditionalInitialMargin
-
Retrieve the Equity Multiplicative Scale
- equityOvernightCorrelation(EntityEquityLabel, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between Equity and the Overnight Latent States
- equityPaydownCorrelation(EntityEquityLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Equity and the Pay-down Latent States
- equityRatingCorrelation(EntityEquityLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Equity and the Rating Latent States
- equityRecoveryCorrelation(EntityEquityLabel, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Equity and the Recovery Latent States
- equityRepoCorrelation(EntityEquityLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Equity and the Repo Latent States
- equityRiskClassAggregate() - Method in class org.drip.simm.estimator.ProductClassMargin
-
Retrieve the Equity Risk Class Aggregate
- equityRiskClassSensitivity() - Method in class org.drip.simm.estimator.ProductClassSensitivity
-
Retrieve the Equity Risk Class Sensitivity
- equityRiskClassSensitivitySettings() - Method in class org.drip.simm.estimator.ProductClassSettings
-
Retrieve the Equity Risk Class Sensitivity Settings
- EquityRiskConcentrationThreshold20 - Class in org.drip.sample.simmsettings
-
EquityRiskConcentrationThreshold20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Equity Risk
Concentration Thresholds.
- EquityRiskConcentrationThreshold20() - Constructor for class org.drip.sample.simmsettings.EquityRiskConcentrationThreshold20
-
- EquityRiskConcentrationThreshold21 - Class in org.drip.sample.simmsettings
-
EquityRiskConcentrationThreshold21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Equity Risk
Concentration Thresholds.
- EquityRiskConcentrationThreshold21() - Constructor for class org.drip.sample.simmsettings.EquityRiskConcentrationThreshold21
-
- equityState(EntityEquityLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Equity State for the specified Equity Latent State Label
- EquityVegaMargin20 - Class in org.drip.sample.simmeq
-
EquityVegaMargin20 illustrates the Computation of the SIMM 2.0 Vega Margin across a Group of Equity Bucket
Exposure Sensitivities.
- EquityVegaMargin20() - Constructor for class org.drip.sample.simmeq.EquityVegaMargin20
-
- EquityVegaMargin21 - Class in org.drip.sample.simmeq
-
EquityVegaMargin21 illustrates the Computation of the SIMM 2.1 Vega Margin across a Group of Equity Bucket
Exposure Sensitivities.
- EquityVegaMargin21() - Constructor for class org.drip.sample.simmeq.EquityVegaMargin21
-
- equityVolatility(EntityEquityLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Volatility Curve for the Equity Latent State
- ER1Attribution - Class in org.drip.sample.forwardratefuturespnl
-
ER1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
ER1 Series.
- ER1Attribution() - Constructor for class org.drip.sample.forwardratefuturespnl.ER1Attribution
-
- ER1ClosesReconstitutor - Class in org.drip.sample.forwardratefuturesfeed
-
ER1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formatted ER1 Closes Feed.
- ER1ClosesReconstitutor() - Constructor for class org.drip.sample.forwardratefuturesfeed.ER1ClosesReconstitutor
-
- Erode - Class in org.drip.sample.bondmetrics
-
Erode demonstrates the Analytics Calculation/Reconciliation for the Callable Bond Erode.
- Erode() - Constructor for class org.drip.sample.bondmetrics.Erode
-
- ERROR - Static variable in class org.drip.analytics.support.Logger
-
Logger level ERROR
- error() - Method in class org.drip.measure.statistics.MultivariateDiscrete
-
Retrieve the Multivariate Sequence "Error"
- error() - Method in class org.drip.measure.statistics.UnivariateDiscreteThin
-
Retrieve the Sequence Error
- ERROR_UNEXPECTED_CHAR - Static variable in exception org.drip.json.parser.ParseException
-
- ERROR_UNEXPECTED_EXCEPTION - Static variable in exception org.drip.json.parser.ParseException
-
- ERROR_UNEXPECTED_TOKEN - Static variable in exception org.drip.json.parser.ParseException
-
- errorFunction(double) - Method in class org.drip.measure.gaussian.R1UnivariateNormal
-
Compute the Error Function Around an Absolute Width around the Mean
- ES1Attribution - Class in org.drip.sample.forwardratefuturespnl
-
ES1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
ES1 Series.
- ES1Attribution() - Constructor for class org.drip.sample.forwardratefuturespnl.ES1Attribution
-
- ES1ClosesReconstitutor - Class in org.drip.sample.forwardratefuturesfeed
-
ES1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formatted ES1 Closes Feed.
- ES1ClosesReconstitutor() - Constructor for class org.drip.sample.forwardratefuturesfeed.ES1ClosesReconstitutor
-
- ESBHoliday - Class in org.drip.analytics.holset
-
- ESBHoliday() - Constructor for class org.drip.analytics.holset.ESBHoliday
-
- escape(String) - Static method in class org.drip.json.simple.JSONObject
-
Escape quotes, \, /, \r, \n, \b, \f, \t and other control characters (U+0000 through U+001F).
- escape(String) - Static method in class org.drip.json.simple.JSONValue
-
Escape quotes, \, /, \r, \n, \b, \f, \t and other control characters (U+0000 through U+001F).
- ESPHoliday - Class in org.drip.analytics.holset
-
- ESPHoliday() - Constructor for class org.drip.analytics.holset.ESPHoliday
-
- eSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from ASW to Work-out
- eSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from ASW to Maturity
- eSpreadFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from ASW to Optimal Exercise
- eSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from Bond Basis to Work-out
- eSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from Bond Basis to Maturity
- eSpreadFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from Bond Basis to Optimal Exercise
- eSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from Credit Basis to Work-out
- eSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from Credit Basis to Maturity
- eSpreadFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from Credit Basis to Optimal Exercise
- eSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from Discount Margin to Work-out
- eSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from Discount Margin to Maturity
- eSpreadFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from Discount Margin to Optimal Exercise
- eSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from G Spread to Work-out
- eSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from G Spread to Maturity
- eSpreadFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from G Spread to Optimal Exercise
- eSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from I Spread to Work-out
- eSpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from I Spread to Maturity
- eSpreadFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from I Spread to Optimal Exercise
- eSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from J Spread to Work-out
- eSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from J Spread to Maturity
- eSpreadFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from J Spread to Optimal Exercise
- eSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from N Spread to Work-out
- eSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from N Spread to Maturity
- eSpreadFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from N Spread to Optimal Exercise
- eSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from OAS to Work-out
- eSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from OAS to Maturity
- eSpreadFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from OAS to Optimal Exercise
- eSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from PECS to Work-out
- eSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from PECS to Maturity
- eSpreadFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from PECS to Optimal Exercise
- eSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from Price to Work-out
- eSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from Price to Maturity
- eSpreadFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from Price to Optimal Exercise
- eSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from TSY Spread to Work-out
- eSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from TSY Spread to Maturity
- eSpreadFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from TSY Spread to Optimal Exercise
- eSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from Yield to Work-out
- eSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from Yield to Maturity
- eSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from Yield Spread to Work-out
- eSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from Yield Spread to Maturity
- eSpreadFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from Yield Spread to Optimal Exercise
- eSpreadFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- eSpreadFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate E Spread from Yield to Optimal Exercise
- ESTHoliday - Class in org.drip.analytics.holset
-
- ESTHoliday() - Constructor for class org.drip.analytics.holset.ESTHoliday
-
- Estimate(JSONObject) - Static method in class org.drip.json.assetallocation.BlackLittermanProcessor
-
JSON Based in/out Bayesian Co-variance/Returns Estimation Thunker
- estimate(double, double) - Method in class org.drip.portfolioconstruction.cost.TransactionCharge
-
Estimate the Transaction Charge for a Single Holdings Change
- estimate(double, double) - Method in class org.drip.portfolioconstruction.cost.TransactionChargeFixed
-
- estimate(double, double) - Method in class org.drip.portfolioconstruction.cost.TransactionChargeLinear
-
- estimate(double, double) - Method in class org.drip.portfolioconstruction.cost.TransactionChargeMarketImpact
-
- estimate(ProductClassSettings, MarginEstimationSettings) - Method in class org.drip.simm.estimator.ProductClassSensitivity
-
Generate the Margin for the Product Class
- estimateManifestMeasure(String, int) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
Estimate the manifest measure value for the given date
- eta() - Method in class org.drip.dynamics.hjm.G2PlusPlus
-
Retrieve Eta
- ETD(JulianDate) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
-
Construct the Early Termination Date (ETD) CSA Event Date
- etd() - Method in class org.drip.exposure.csatimeline.EventSequence
-
Retrieve the ETD Event Date
- etd() - Method in class org.drip.exposure.csatimeline.LastFlowDates
-
Retrieve the ETD
- ETD_CALL_OUT_DELAY_AGGRESSIVE - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
-
ETD Call-out Delay - Aggressive
- ETD_CALL_OUT_DELAY_CONSERVATIVE - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
-
ETD Call-out Delay - Conservative
- ETD_DESIGNATION_DELAY_AGGRESSIVE - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
-
ETD Designation Delay - Aggressive
- ETD_DESIGNATION_DELAY_CONSERVATIVE - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
-
ETD Designation Delay - Conservative
- ETDDesignation(JulianDate) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
-
Construct the ETD Designation CSA Event Date
- etdDesignation() - Method in class org.drip.exposure.csatimeline.EventSequence
-
Retrieve the ETD Designation Event Date
- EUBHoliday - Class in org.drip.analytics.holset
-
- EUBHoliday() - Constructor for class org.drip.analytics.holset.EUBHoliday
-
- EulerEnhancedLinearThreshold(double, double, double) - Static method in class org.drip.execution.hjb.NonDimensionalCostSystemic
-
Generate a Euler Enhanced Linear Trading Systemic Non Dimensional Cost Instance
- EulerTrajectoryEvolutionScheme - Class in org.drip.sample.burgard2012
-
EulerTrajectoryEvolutionScheme computes the Sequence of XVA Paths arising out of the Joint Evolution of
Numeraires - the Continuous Asset, the Collateral, the Bank, and the Counter-Party Numeraires involved in
the Dynamic XVA Replication Portfolio of the Burgard and Kjaer (2011) Methodology.
- EulerTrajectoryEvolutionScheme() - Constructor for class org.drip.sample.burgard2012.EulerTrajectoryEvolutionScheme
-
- eulerWalk(MarketEdge, BurgardKjaerOperator, EvolutionTrajectoryVertex, double) - Method in class org.drip.xva.pde.TrajectoryEvolutionScheme
-
Execute a Single Euler Time Step Walk
- eulerWalk(MarketVertex[], BurgardKjaerOperator, EvolutionTrajectoryVertex, double) - Method in class org.drip.xva.pde.TrajectoryEvolutionScheme
-
Execute a Sequential Array of Euler Time Step Walks
- EUR - Class in org.drip.template.irs
-
EUR contains a Templated Pricing of the OTC Fix-Float EUR IRS Instrument.
- EUR() - Constructor for class org.drip.template.irs.EUR
-
- EUR3M6MUSD3M6M - Class in org.drip.sample.dual
-
EUR3M6MUSD3M6M demonstrates the setup and construction of the USD 3M Forward Curve from EUR3M6MUSD3M6M
CCBS, EUR 3M, EUR 6M, and USD 6M Quotes.
- EUR3M6MUSD3M6M() - Constructor for class org.drip.sample.dual.EUR3M6MUSD3M6M
-
- EURHoliday - Class in org.drip.analytics.holset
-
- EURHoliday() - Constructor for class org.drip.analytics.holset.EURHoliday
-
- EURIBOR3M - Class in org.drip.template.forwardratefutures
-
EURIBOR3M contains a Templated Pricing of the 3M EURIBOR EUR Instrument.
- EURIBOR3M() - Constructor for class org.drip.template.forwardratefutures.EURIBOR3M
-
- EURIRSAttribution - Class in org.drip.sample.fixfloatpnl
-
EURIRSAttribution generates the Historical PnL Attribution for EUR IRS.
- EURIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.EURIRSAttribution
-
- EuroDollar - Class in org.drip.template.forwardratefutures
-
EuroDollar contains a Templated Pricing of the EuroDollar (i.e, LIBOR 3M USD Futures) Instrument.
- EuroDollar() - Constructor for class org.drip.template.forwardratefutures.EuroDollar
-
- EUROISSmoothReconstitutor - Class in org.drip.sample.overnightfeed
-
EUROISSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the EUR Input OIS
Marks.
- EUROISSmoothReconstitutor() - Constructor for class org.drip.sample.overnightfeed.EUROISSmoothReconstitutor
-
- EuropeanCallPut - Class in org.drip.product.option
-
EuropeanCallPut implements a simple European Call/Put Option, and its Black Scholes Price.
- EuropeanCallPut(JulianDate, double) - Constructor for class org.drip.product.option.EuropeanCallPut
-
EuropeanCallPut constructor
- EURShapePreserving1YForward - Class in org.drip.sample.fundinghistorical
-
EURShapePreserving1YForward Generates the Historical EUR Shape Preserving Funding Curve Native 1Y
Compounded Forward Rate.
- EURShapePreserving1YForward() - Constructor for class org.drip.sample.fundinghistorical.EURShapePreserving1YForward
-
- EURShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
-
EURShapePreserving1YStart Generates the Historical EUR Shape Preserving Funding Curve Native Compounded
Forward Rate starting at 1Y Tenor.
- EURShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.EURShapePreserving1YStart
-
- EURShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
-
EURShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the
EUR Input Marks.
- EURShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.EURShapePreservingReconstitutor
-
- EURSmooth1MForward - Class in org.drip.sample.overnighthistorical
-
EURSmooth1MForward Generates the Historical EUR Smoothened Overnight Curve Native 1M Compounded Forward
Rate.
- EURSmooth1MForward() - Constructor for class org.drip.sample.overnighthistorical.EURSmooth1MForward
-
- EURSmooth1YForward - Class in org.drip.sample.fundinghistorical
-
EURSmooth1YForward Generates the Historical EUR Smoothened Funding Curve Native 1Y Compounded Forward
Rate.
- EURSmooth1YForward() - Constructor for class org.drip.sample.fundinghistorical.EURSmooth1YForward
-
- EURSmoothReconstitutor - Class in org.drip.sample.fundingfeed
-
EURSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the EUR Input Marks.
- EURSmoothReconstitutor() - Constructor for class org.drip.sample.fundingfeed.EURSmoothReconstitutor
-
- evaluate(double) - Method in class org.drip.execution.athl.PermanentImpactNoArbitrage
-
- evaluate(double) - Method in class org.drip.execution.athl.PermanentImpactQuasiArbitrage
-
- evaluate(double) - Method in class org.drip.execution.athl.TemporaryImpact
-
- evaluate(double) - Method in class org.drip.execution.impact.ParticipationRateLinear
-
- evaluate(double) - Method in class org.drip.execution.impact.ParticipationRatePower
-
- evaluate(double, double) - Method in class org.drip.execution.impact.TransactionFunction
-
Evaluate the Impact Function at the specified Trade Parameters
- evaluate(double) - Method in class org.drip.execution.principal.GrossProfitExpectation
-
- evaluate(double) - Method in class org.drip.function.definition.R1ToR1
-
Evaluate for the given variate
- evaluate(double) - Method in class org.drip.function.definition.R1ToRd
-
Evaluate for the given Input R^1 Variate
- evaluate(double[]) - Method in class org.drip.function.definition.RdToR1
-
Evaluate for the given Input Variates
- evaluate(double[]) - Method in class org.drip.function.definition.RdToRd
-
Evaluate for the given Input R^d Variates
- evaluate(double) - Method in class org.drip.function.r1tor1.AlmgrenEnhancedEulerUpdate
-
- evaluate(double) - Method in class org.drip.function.r1tor1.AndersenPiterbargMeanReverter
-
- evaluate(double) - Method in class org.drip.function.r1tor1.Bennett
-
- evaluate(double) - Method in class org.drip.function.r1tor1.ExponentialDecay
-
- evaluate(double) - Method in class org.drip.function.r1tor1.ExponentialTension
-
- evaluate(double) - Method in class org.drip.function.r1tor1.FlatUnivariate
-
- evaluate(double) - Method in class org.drip.function.r1tor1.FunctionClassSupremum
-
- evaluate(double) - Method in class org.drip.function.r1tor1.HyperbolicTension
-
- evaluate(double) - Method in class org.drip.function.r1tor1.ISDABucketCurvatureTenorScaler
-
- evaluate(double) - Method in class org.drip.function.r1tor1.LinearRationalShapeControl
-
- evaluate(double) - Method in class org.drip.function.r1tor1.NaturalLogSeriesElement
-
- evaluate(double) - Method in class org.drip.function.r1tor1.OffsetIdempotent
-
- evaluate(double) - Method in class org.drip.function.r1tor1.Polynomial
-
- evaluate(double) - Method in class org.drip.function.r1tor1.QuadraticRationalShapeControl
-
- evaluate(double) - Method in class org.drip.function.r1tor1.SABRLIBORCapVolatility
-
- evaluate(double) - Method in class org.drip.function.r1tor1.UnivariateConvolution
-
- evaluate(double) - Method in class org.drip.function.r1tor1.UnivariateReciprocal
-
- evaluate(double) - Method in class org.drip.function.r1tor1.UnivariateReflection
-
- evaluate(double[]) - Method in class org.drip.function.rdtor1.AffineBoundMultivariate
-
- evaluate(double[]) - Method in class org.drip.function.rdtor1.AffineMultivariate
-
- evaluate(double[]) - Method in class org.drip.function.rdtor1.CovarianceEllipsoidMultivariate
-
- evaluate(double[]) - Method in class org.drip.function.rdtor1.LagrangianMultivariate
-
- evaluate(double[]) - Method in class org.drip.function.rdtor1.RiskObjectiveUtilityMultivariate
-
- evaluate(double) - Method in class org.drip.learning.bound.EmpiricalLearnerLoss
-
- evaluate(double[], double[]) - Method in class org.drip.learning.kernel.IntegralOperatorEigenComponent
-
Compute the Eigen-Component Contribution to the Kernel Value
- evaluate(double[], double[]) - Method in class org.drip.learning.kernel.MercerKernel
-
- evaluate(double[], double[]) - Method in class org.drip.learning.kernel.SymmetricRdToNormedR1Kernel
-
Compute the Kernel's R^d X R^d To R^1 Value
- evaluate(double[], double[]) - Method in class org.drip.learning.kernel.SymmetricRdToNormedRdKernel
-
Compute the Kernel's R^d X R^d To R^1 Dot-Product Value
- evaluate(double[]) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
-
- evaluate(double[][]) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
-
Retrieve the Worst-case Loss over the Multivariate Sequence
- evaluate(double[]) - Method in class org.drip.learning.svm.KernelRdDecisionFunction
-
- evaluate(double[]) - Method in class org.drip.learning.svm.LinearRdDecisionFunction
-
- evaluate(double[]) - Method in class org.drip.portfolioconstruction.optimizer.ObjectiveFunction
-
- evaluate(double[]) - Method in class org.drip.sequence.custom.GlivenkoCantelliFunctionSupremum
-
- evaluate(double[]) - Method in class org.drip.sequence.custom.GlivenkoCantelliUniformDeviation
-
- evaluate(double[]) - Method in class org.drip.sequence.custom.KernelDensityEstimationL1
-
- evaluate(double[]) - Method in class org.drip.sequence.custom.LongestCommonSubsequence
-
- evaluate(double[]) - Method in class org.drip.sequence.custom.OrientedPercolationFirstPassage
-
- evaluate(double[]) - Method in class org.drip.sequence.functional.FlatMultivariateRandom
-
- evaluate(double) - Method in class org.drip.spline.bspline.CubicRationalLeftRaw
-
- evaluate(double) - Method in class org.drip.spline.bspline.CubicRationalRightRaw
-
- evaluate(double) - Method in class org.drip.spline.bspline.ExponentialTensionLeftHat
-
- evaluate(double) - Method in class org.drip.spline.bspline.ExponentialTensionLeftRaw
-
- evaluate(double) - Method in class org.drip.spline.bspline.ExponentialTensionRightHat
-
- evaluate(double) - Method in class org.drip.spline.bspline.ExponentialTensionRightRaw
-
- evaluate(double) - Method in class org.drip.spline.bspline.LeftHatShapeControl
-
- evaluate(double) - Method in class org.drip.spline.bspline.RightHatShapeControl
-
- evaluate(double) - Method in class org.drip.spline.bspline.SegmentMonicBasisFunction
-
- evaluate(double) - Method in class org.drip.spline.bspline.SegmentMulticBasisFunction
-
- evaluate(double) - Method in class org.drip.spline.bspline.TensionProcessedBasisHat
-
- evaluate(double) - Method in class org.drip.spline.pchip.MonotoneConvexHaganWest
-
- evaluate(double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- evaluate(double) - Method in class org.drip.spline.tension.KLKHyperbolicTensionPhy
-
- evaluate(double) - Method in class org.drip.spline.tension.KLKHyperbolicTensionPsy
-
- evaluateExpectation(double) - Method in interface org.drip.measure.stochastic.R1R1ToR1
-
Evaluate the Expectation for the given variate
- evaluateRealization(double) - Method in interface org.drip.measure.stochastic.R1R1ToR1
-
Evaluate a Single Realization for the given variate
- evaluator() - Method in class org.drip.measure.process.DiffusionEvolver
-
Retrieve the Diffusion Evaluator
- EventDate - Class in org.drip.exposure.csatimeline
-
EventDate holds a specific Date composing BCBS/IOSCO prescribed Events Time-line occurring Margin Period.
- EventDate(JulianDate, String, String) - Constructor for class org.drip.exposure.csatimeline.EventDate
-
EventDate Constructor
- EventDateBuilder - Class in org.drip.exposure.csatimeline
-
EventDateBuilder builds the CSA BCBS/IOSCO Dates prescribed Events Time-line occurring Margin Period.
- EventDateBuilder() - Constructor for class org.drip.exposure.csatimeline.EventDateBuilder
-
- eventDates(int, int) - Method in class org.drip.market.exchange.TreasuryFuturesConvention
-
Retrieve the TreasuryFuturesEventDates Instance corresponding to the Futures Expiry Year/Month
- eventIndicationEvaluator() - Method in class org.drip.measure.process.JumpDiffusionEvolver
-
Retrieve the Hazard Point Event Indicator Instance
- EventOfDefault(JulianDate) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
-
Construct the Event of Default CSA Event Date
- EventOfDefault(EventDate, String, int) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
-
Construct the Cure Period Adjusted ED
- EventSequence - Class in org.drip.exposure.csatimeline
-
EventSequence holds the BCBS/IOSCO prescribed Events Time-line occurring Margin Period.
- EventSequence(EventDate, EventDate, EventDate, EventDate, EventDate, EventDate, EventDate, EventDate, EventDate, EventDate, int, int, String) - Constructor for class org.drip.exposure.csatimeline.EventSequence
-
- evolutionFinishDate() - Method in class org.drip.dynamics.evolution.LSQMPointUpdate
-
Retrieve the Evolution Finish Date
- EvolutionIncrement - Class in org.drip.execution.discrete
-
EvolutionIncrement contains the Realized Stochastic Evolution Increments of the Price/Short-fall exhibited
by an Asset owing to the Volatility and the Market Impact Factors over the Slice Time Interval.
- EvolutionIncrement(MarketImpactComponent, MarketImpactComponent) - Constructor for class org.drip.execution.discrete.EvolutionIncrement
-
EvolutionIncrement Constructor
- EvolutionMetrics - Class in org.drip.sample.hullwhite
-
EvolutionMetrics demonstrates the Construction and Usage of the Hull-White Metrics Using Hull-White 1F
Model Dynamics for the Evolution of the Short Rate.
- EvolutionMetrics() - Constructor for class org.drip.sample.hullwhite.EvolutionMetrics
-
- evolutionStartDate() - Method in class org.drip.dynamics.evolution.LSQMPointUpdate
-
Retrieve the Evolution Start Date
- EvolutionTrajectoryEdge - Class in org.drip.xva.derivative
-
EvolutionTrajectoryEdge holds the Evolution Edges of the Trajectory, the Cash Account, and the Derivative
Values evolved in a Dynamically Adaptive Manner, as laid out in Burgard and Kjaer (2014).
- EvolutionTrajectoryEdge(EvolutionTrajectoryVertex, EvolutionTrajectoryVertex, CashAccountEdge) - Constructor for class org.drip.xva.derivative.EvolutionTrajectoryEdge
-
EvolutionTrajectoryEdge Constructor
- EvolutionTrajectoryVertex - Class in org.drip.xva.derivative
-
EvolutionTrajectoryVertex holds the Evolution Snapshot of the Trade-able Prices, the Cash Account, the
Replication Portfolio, and the corresponding Derivative Value, as laid out in Burgard and Kjaer (2014).
- EvolutionTrajectoryVertex(double, ReplicationPortfolioVertex, PositionGreekVertex, double, double, double, double) - Constructor for class org.drip.xva.derivative.EvolutionTrajectoryVertex
-
EvolutionTrajectoryVertex Constructor
- evolve(int, int, int, LSQMCurveUpdate) - Method in interface org.drip.dynamics.evolution.CurveStateEvolver
-
Evolve the Latent State and return the LSQM Curve Update
- evolve(int, int, int, LSQMPointUpdate) - Method in interface org.drip.dynamics.evolution.PointStateEvolver
-
Evolve the Latent State and return the LSQM Point Update
- evolve(int, int, int, LSQMPointUpdate) - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
-
- evolve(int, int, int, LSQMPointUpdate) - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
-
- evolve(int, int, int, LSQMPointUpdate) - Method in class org.drip.dynamics.lmm.ContinuousForwardRateEvolver
-
- evolve(int, int, int, LSQMCurveUpdate) - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
-
- evolve(int, int, int, LSQMPointUpdate) - Method in class org.drip.dynamics.lmm.LognormalLIBORPointEvolver
-
- evolve(int, int, int, LSQMPointUpdate) - Method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
-
- evolve(NonDimensionalCost, MarketState, double, double, double) - Method in class org.drip.execution.hjb.NonDimensionalCostEvolver
-
Evolve a Single Time Step of the Optimal Trajectory
- evolve(NonDimensionalCost, MarketState, double, double, double) - Method in class org.drip.execution.hjb.NonDimensionalCostEvolverCorrelated
-
- evolve(NonDimensionalCost, MarketState, double, double, double) - Method in class org.drip.execution.hjb.NonDimensionalCostEvolverSystemic
-
- evolver() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
-
Retrieve the Non Dimensional Cost Evolver
- evolver() - Method in class org.drip.exposure.evolver.ScalingNumeraire
-
Retrieve the Scaling Numeraire Evolver
- Evolver - Class in org.drip.measure.joint
-
Evolver exposes the Functionality that guides the Multi-Factor Random Process Variable Evolution.
- Evolver(LocalEvaluator[], LocalEvaluator[], double[][]) - Constructor for class org.drip.measure.joint.Evolver
-
- evolver() - Method in class org.drip.state.sequence.PathVertexRd
-
Retrieve the Array of the Latent State Diffusion Evolvers
- evolveTrinomialTree(int, int, int, TrinomialTreeNodeMetrics) - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
-
Generate the Metrics associated with the Transition that results from using a Trinomial Tree Using the
Starting Node Metrics
- evolveTrinomialTreeSequence(int, int, int, int, TrinomialTreeNodeMetrics, TrinomialTreeSequenceMetrics) - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
-
Evolve the Trinomial Tree Sequence
- evolveTrinomialTreeSequence(int, int, int) - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
-
Evolve the Trinomial Tree Sequence
- excessReturns(double) - Method in class org.drip.portfolioconstruction.mpt.AssetSecurityCharacteristicLine
-
Retrieve the Excess Returns over the Market for the Asset
- excessReturnsDistribution() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionSpecification
-
Retrieve the R^1 Projection Space Excess Returns Normal Distribution
- excessReturnsMean() - Method in class org.drip.portfolioconstruction.asset.PortfolioMetrics
-
Retrieve the Portfolio Expected Excess Returns
- excessReturnsStandardDeviation() - Method in class org.drip.portfolioconstruction.asset.PortfolioMetrics
-
Retrieve the Portfolio Excess Returns Standard Deviation
- excessReturnsVariance() - Method in class org.drip.portfolioconstruction.asset.PortfolioMetrics
-
Retrieve the Portfolio Excess Returns Variance
- ExchangeInfo(String, String) - Static method in class org.drip.market.exchange.FuturesOptionsContainer
-
Retrieve the FuturesOptions Exchange Info
- ExchangeInfo(ForwardLabel) - Static method in class org.drip.market.exchange.ShortTermFuturesContainer
-
Retrieve the Short Term Futures Exchange Info From the Corresponding Forward Label
- ExchangeInfo(String) - Static method in class org.drip.market.exchange.ShortTermFuturesContainer
-
Retrieve the Short Term Futures Exchange Info From the Corresponding Forward Label
- ExchangeInstrumentBuilder - Class in org.drip.service.template
-
ExchangeInstrumentBuilder contains static Helper API to facilitate Construction of Exchange-traded
Instruments.
- ExchangeInstrumentBuilder() - Constructor for class org.drip.service.template.ExchangeInstrumentBuilder
-
- exchanges() - Method in class org.drip.market.exchange.FuturesOptions
-
Retrieve the Set of Traded Exchanges
- exchanges() - Method in class org.drip.market.exchange.ShortTermFutures
-
Retrieve the List of Exchanges
- exchanges() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
-
Retrieve the Bond Futures Exchanges Array
- ExchangeTradedFuturesOption(JulianDate, ForwardLabel, double, String, boolean, String, String) - Static method in class org.drip.product.creator.SingleStreamOptionBuilder
-
Create an Exchange-traded Standard Futures Option
- ExchangeTradedOptionDefinitions - Class in org.drip.sample.treasuryfutures
-
ExchangeTradedOptionDefinitions contains all the pre-fixed Definitions of Exchange-traded Options on Bond
Futures Contracts.
- ExchangeTradedOptionDefinitions() - Constructor for class org.drip.sample.treasuryfutures.ExchangeTradedOptionDefinitions
-
- execRegression() - Method in class org.drip.regression.core.UnitRegressionExecutor
-
Execute the regression call within this function
- execRegression() - Method in class org.drip.regression.spline.BasisSplineRegressor
-
- execRegression() - Method in class org.drip.regression.spline.HermiteBasisSplineRegressor
-
- execRegression() - Method in class org.drip.regression.spline.LagrangePolynomialStretchRegressor
-
- execRegression() - Method in class org.drip.regression.spline.LocalControlBasisSplineRegressor
-
- executedBlockSize() - Method in class org.drip.execution.strategy.ContinuousTradingTrajectory
-
- executedBlockSize() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectory
-
- executedBlockSize() - Method in interface org.drip.execution.strategy.TradingTrajectory
-
Retrieve the Executed Block Size
- ExecutionControl - Class in org.drip.function.r1tor1solver
-
ExecutionControl implements the core fixed point search execution control and customization functionality.
- ExecutionControl(R1ToR1, ExecutionControlParams) - Constructor for class org.drip.function.r1tor1solver.ExecutionControl
-
ExecutionControl constructor
- ExecutionControlParams - Class in org.drip.function.r1tor1solver
-
ExecutionControlParams holds the parameters needed for controlling the execution of the fixed point
finder.
- ExecutionControlParams() - Constructor for class org.drip.function.r1tor1solver.ExecutionControlParams
-
Default Execution Control Parameters constructor
- ExecutionControlParams(int, boolean, double, double, double, double) - Constructor for class org.drip.function.r1tor1solver.ExecutionControlParams
-
Execution Control Parameters constructor
- ExecutionInitializationOutput - Class in org.drip.function.r1tor1solver
-
ExecutionInitializationOutput holds the output of the root initializer calculation.
- ExecutionInitializationOutput() - Constructor for class org.drip.function.r1tor1solver.ExecutionInitializationOutput
-
- ExecutionInitializationOutput(ExecutionInitializationOutput) - Constructor for class org.drip.function.r1tor1solver.ExecutionInitializationOutput
-
- ExecutionInitializer - Class in org.drip.function.r1tor1solver
-
ExecutionInitializer implements the initialization execution and customization functionality.
- ExecutionInitializer(R1ToR1, ConvergenceControlParams, boolean) - Constructor for class org.drip.function.r1tor1solver.ExecutionInitializer
-
ExecutionInitializer constructor
- executionTime() - Method in class org.drip.execution.strategy.ContinuousTradingTrajectory
-
- executionTime() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectory
-
- executionTime() - Method in interface org.drip.execution.strategy.TradingTrajectory
-
Retrieve the Execution Time
- executionTimeNode() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectory
-
Retrieve the Array containing the Execution Time Nodes Sequence
- executionTimeNodes() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectoryControl
-
Retrieve the Array containing the Execution Time Nodes
- executionTimeUpperBound() - Method in class org.drip.execution.optimum.PowerImpactContinuous
-
Retrieve the Optimal Trajectory Execution Time Upper Bound (if it exists)
- exercised() - Method in class org.drip.product.credit.BondComponent
-
- exercised() - Method in class org.drip.product.definition.Bond
-
Indicate if the bond has been exercised
- exercised() - Method in class org.drip.product.params.TerminationSetting
-
Indicate if the contract has been exercised
- exerciseDate() - Method in class org.drip.product.option.OptionComponent
-
Retrieve the Option Exercise Date
- exerciseDates(int) - Method in class org.drip.product.params.EmbeddedOptionSchedule
-
Generate the Possible Exercise Dates from the Spot Date and the Notice Period
- exerciseFactors(int) - Method in class org.drip.product.params.EmbeddedOptionSchedule
-
Generate the Possible Exercise Factors from the Spot Date and the Notice Period
- exerciseIndicator() - Method in class org.drip.analytics.output.BondEOSMetrics
-
Retrieve the Path/Vertex Exercise Indicator Double Array
- ExerciseInfo - Class in org.drip.analytics.output
-
ExerciseInfo is a place-holder for the set of exercise information.
- ExerciseInfo(int, double, int) - Constructor for class org.drip.analytics.output.ExerciseInfo
-
Constructs the ExerciseInfo from the work-out date, type, and the exercise factor
- exerciseNoticePeriod() - Method in class org.drip.product.params.EmbeddedOptionSchedule
-
Retrieve the exercise notice period
- exerciseYieldFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- exerciseYieldFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Retrieve the work-out information from price
- ExhaustivePermutationScan(String, int) - Static method in class org.drip.spaces.big.SubStringSetExtractor
-
Locate the String Set of the Target Size using an Exhaustive Permutation Scan
- exists(CSALabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Check Presence of Labeled CSA
- exists(FXLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Check Presence of Labeled FX
- exists(RepoLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Check Presence of Labeled Repo
- exists(CustomLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Check Presence of Labeled Custom
- exists(GovvieLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Check Presence of Labeled Govvie
- exists(RatingLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Check Presence of Labeled Rating
- exists(ForwardLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Check Presence of Labeled Forward
- exists(FundingLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Check Presence of Labeled Funding
- exists(PaydownLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Check Presence of Labeled Pay Down
- exists(OvernightLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Check Presence of Labeled Overnight
- exists(CollateralLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Check Presence of Labeled Collateral
- exists(VolatilityLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Check Presence of Labeled Volatility
- exists(OTCFixFloatLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Check Presence of Labeled OTC Fix Float
- exists(EntityCreditLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Check Presence of Labeled Entity Credit
- exists(EntityEquityLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Check Presence of Labeled Entity Equity
- exists(EntityHazardLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Check Presence of Labeled Entity Hazard
- exists(EntityFundingLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Check Presence of Labeled Entity Funding
- exists(EntityRecoveryLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Check Presence of Labeled Entity Recovery
- expectation() - Method in class org.drip.execution.bayesian.PriorDriftDistribution
-
Retrieve the Expectation of the Prior Drift Distribution
- expectation() - Method in class org.drip.execution.discrete.ShortfallIncrementDistribution
-
Retrieve the Total Expectation
- expectation(RdToR1) - Method in class org.drip.measure.continuous.R1Multivariate
-
Compute the Expectation of the Specified R^d To R^1 Function Instance
- expectationConjecture(double[]) - Method in class org.drip.sequence.custom.LongestCommonSubsequence
-
Conjecture of the Expected Value of the LCS Length
- expectationConjectureLowerBound(double[]) - Method in class org.drip.sequence.custom.LongestCommonSubsequence
-
Lower Bound of the Conjecture of the Expected Value of the LCS Length
- expectationConjectureUpperBound(double[]) - Method in class org.drip.sequence.custom.LongestCommonSubsequence
-
Upper Bound of the Conjecture of the Expected Value of the LCS Length
- expectationContribution(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
-
- expectationContribution(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
-
- expectationContribution(ArithmeticPriceEvolutionParameters) - Method in interface org.drip.execution.sensitivity.ControlNodesGreekGenerator
-
Generate the Total Expectation Contribution
- expectedAssetExcessReturns() - Method in class org.drip.portfolioconstruction.allocator.ForwardReverseOptimizationOutput
-
Retrieve the Array of Expected Excess Returns for each Asset
- expectedATMPayoff() - Method in class org.drip.pricer.option.Greeks
-
The Expected ATM Payoff
- ExpectedBasicConsumption - Class in org.drip.portfolioconstruction.alm
-
ExpectedBasicConsumption holds the Parameters required for estimating the Investor's Basic Consumption
Profile.
- ExpectedBasicConsumption(double, double) - Constructor for class org.drip.portfolioconstruction.alm.ExpectedBasicConsumption
-
ExpectedBasicConsumption Constructor
- ExpectedExcessReturnsWeights - Class in org.drip.sample.idzorek
-
ExpectedExcessReturnsWeights reconciles the Expected Returns and the corresponding Weights for different
Input Asset Distributions using the Black-Litterman Model Process.
- ExpectedExcessReturnsWeights() - Constructor for class org.drip.sample.idzorek.ExpectedExcessReturnsWeights
-
- expectedExposure() - Method in class org.drip.xva.gross.BaselExposureDigest
-
Retrieve the Expected Exposure
- expectedFinalShortRate() - Method in class org.drip.dynamics.hullwhite.ShortRateUpdate
-
Retrieve the Expected Final Short Rate
- ExpectedNonFinancialIncome - Class in org.drip.portfolioconstruction.alm
-
ExpectedNonFinancialIncome holds the Parameters required for estimating the Investor's Non-Financial
Income Profile.
- ExpectedNonFinancialIncome(double) - Constructor for class org.drip.portfolioconstruction.alm.ExpectedNonFinancialIncome
-
ExpectedNonFinancialIncome Constructor
- expectedPayoff() - Method in class org.drip.pricer.option.Greeks
-
The Expected Payoff
- expectedPositiveExposure() - Method in class org.drip.xva.gross.BaselExposureDigest
-
Retrieve the Expected Positive Exposure
- expectedRecovery() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve the Expected Recovery
- expectedReturn(AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.asset.Portfolio
-
Retrieve the Expected Returns of the Portfolio
- expectedReturn() - Method in class org.drip.portfolioconstruction.params.AssetStatisticalProperties
-
Retrieve the Expected Returns of the Asset
- expectedReturns() - Method in class org.drip.function.rdtor1.RiskObjectiveUtilityMultivariate
-
Retrieve the Array of Expected Returns
- expectedReturns(String[]) - Method in class org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
-
Retrieve the Asset Expected Returns Array
- ExpectedReturnsTerm - Class in org.drip.portfolioconstruction.objective
-
ExpectedReturnsTerm holds the Details of the Portfolio Expected Returns Based Objective Terms.
- ExpectedReturnsTerm(String, double[], double[], double[]) - Constructor for class org.drip.portfolioconstruction.objective.ExpectedReturnsTerm
-
ExpectedReturnsTerm Constructor
- expectedTerminalX() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
-
Retrieve the Expected Final/Terminal Value for X
- expiry() - Method in class org.drip.market.exchange.TreasuryFuturesEventDates
-
Retrieve the Expiry Date
- expiry() - Method in class org.drip.product.govvie.TreasuryFutures
-
Retrieve the Futures Expiration Date
- expiryCleanPrice() - Method in class org.drip.historical.attribution.TreasuryFuturesMarketSnap
-
Retrieve the Clean Price at Expiry
- expiryDate() - Method in class org.drip.historical.attribution.TreasuryFuturesMarketSnap
-
Retrieve the Expiry Date
- expiryDeliveryNoticeLag() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
-
Retrieve the Lag Between the Expiry and the Delivery Notice Dates
- ExpiryDeliveryTradingDates - Class in org.drip.sample.treasuryfutures
-
ExpiryDeliveryTradingDates illustrates Generation of Event Dates from the Expiry Month/Year of the Bond
Futures Contracts.
- ExpiryDeliveryTradingDates() - Constructor for class org.drip.sample.treasuryfutures.ExpiryDeliveryTradingDates
-
- expiryFinalDeliveryLag() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
-
Retrieve the Lag Between the Expiry and the Final Delivery Dates
- expiryFirstDeliveryLag() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
-
Retrieve the Lag Between the Expiry and the First Delivery Dates
- expiryLastTradingLag() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
-
Retrieve the Lag Between the Expiry and the Last Trading Dates
- explainedChange() - Method in class org.drip.historical.attribution.PositionChangeComponents
-
Retrieve the Explained Interval Change
- ExplicitBootCreditCurve - Class in org.drip.state.credit
-
ExplicitBootCreditCurve exposes the functionality associated with the bootstrapped Credit Curve.
- ExplicitBootCreditCurve(int, EntityCDSLabel, String) - Constructor for class org.drip.state.credit.ExplicitBootCreditCurve
-
- ExplicitBootCurve - Interface in org.drip.analytics.definition
-
In ExplicitBootCurve, the segment boundaries explicitly line up with the instrument maturity boundaries.
- ExplicitBootDiscountCurve - Class in org.drip.state.discount
-
ExplicitBootDiscountCurve exposes the functionality associated with the bootstrapped Discount Curve.
- ExplicitBootDiscountCurve(int, String) - Constructor for class org.drip.state.discount.ExplicitBootDiscountCurve
-
- ExplicitBootFXCurve - Class in org.drip.state.fx
-
ExplicitBootFXCurve exposes the functionality associated with the bootstrapped FX Curve.
- ExplicitBootFXCurve(int, CurrencyPair) - Constructor for class org.drip.state.fx.ExplicitBootFXCurve
-
- ExplicitBootGovvieCurve - Class in org.drip.state.govvie
-
ExplicitBootGovvieCurve exposes the Functionality associated with the bootstrapped Govvie Curve.
- ExplicitBootGovvieCurve(int, String, String) - Constructor for class org.drip.state.govvie.ExplicitBootGovvieCurve
-
- ExplicitBootRepoCurve - Class in org.drip.state.repo
-
ExplicitBootRepoCurve exposes the functionality associated with the bootstrapped Repo Curve.
- ExplicitBootRepoCurve(int, Component) - Constructor for class org.drip.state.repo.ExplicitBootRepoCurve
-
- ExplicitBootVolatilityCurve - Class in org.drip.state.volatility
-
ExplicitBootVolatilityCurve exposes the functionality associated with the bootstrapped Volatility Curve.
- ExplicitBootVolatilityCurve(int, VolatilityLabel, String) - Constructor for class org.drip.state.volatility.ExplicitBootVolatilityCurve
-
- exponent() - Method in class org.drip.execution.athl.PermanentImpactQuasiArbitrage
-
- exponent() - Method in class org.drip.execution.athl.TemporaryImpact
-
- exponent() - Method in class org.drip.execution.impact.ParticipationRatePower
-
- exponent() - Method in class org.drip.execution.impact.TransactionFunctionPower
-
Retrieve the Power Law Exponent Market Impact Parameter
- exponent() - Method in class org.drip.learning.bound.MeasureConcentrationExpectationBound
-
Retrieve the Asymptote Exponent
- exponent() - Method in class org.drip.portfolioconstruction.cost.TransactionChargeMarketImpact
-
Retrieve the Transaction Charge Exponent
- ExponentialDecay - Class in org.drip.function.r1tor1
-
ExponentialDecay implements the scaled exponential decay Univariate Function.
- ExponentialDecay(double, double) - Constructor for class org.drip.function.r1tor1.ExponentialDecay
-
ExponentialDecay constructor
- ExponentiallyCompoundedFlatRate(JulianDate, String, double) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
Create a Discount Curve from the Exponentially Compounded Flat Rate
- ExponentialMixtureBasisSet(ExponentialMixtureSetParams) - Static method in class org.drip.spline.basis.FunctionSetBuilder
-
Construct the Exponential Mixture Basis Set
y = A + B * exp(-l_1 * x) + C * exp(-l_2 * x) + D * exp(-l_3 * x)
- ExponentialMixtureSetParams - Class in org.drip.spline.basis
-
ExponentialMixtureSetParams implements per-segment parameters for the exponential mixture basis set -
the array of the exponential tension parameters, one per each entity in the mixture.
- ExponentialMixtureSetParams(double[]) - Constructor for class org.drip.spline.basis.ExponentialMixtureSetParams
-
ExponentialMixtureSetParams constructor
- ExponentialRationalBasisSet(ExponentialRationalSetParams) - Static method in class org.drip.spline.basis.FunctionSetBuilder
-
Construct the Exponential Rational Basis Set
y = A + B / (1+x) + C * exp(-x) + D * exp(-x) / (1+x)
- ExponentialRationalSetParams - Class in org.drip.spline.basis
-
ExponentialRationalSetParams implements per-segment parameters for the exponential rational basis set
- the exponential tension and the rational tension parameters.
- ExponentialRationalSetParams(double, double) - Constructor for class org.drip.spline.basis.ExponentialRationalSetParams
-
ExponentialRationalSetParams constructor
- ExponentialTension - Class in org.drip.function.r1tor1
-
ExponentialTension provides the evaluation of the Exponential Tension Function and its derivatives for a
specified variate.
- ExponentialTension(double, double) - Constructor for class org.drip.function.r1tor1.ExponentialTension
-
ExponentialTension constructor
- exponentialTension() - Method in class org.drip.spline.basis.ExponentialRationalSetParams
-
Get the Exponential Tension
- ExponentialTensionBasisSet(ExponentialTensionSetParams) - Static method in class org.drip.spline.basis.FunctionSetBuilder
-
This function implements the elastic coefficients for the segment using tension exponential basis
splines inside - [0,...,1) - Globally [x_0,...,x_1).
- ExponentialTensionLeftHat - Class in org.drip.spline.bspline
-
ExponentialTensionLeftHat implements the TensionBasisHat interface in accordance with the left exponential
hat basis function laid out in the basic framework outlined in Koch and Lyche (1989), Koch and Lyche
(1993), and Kvasov (2000) Papers.
- ExponentialTensionLeftHat(double, double, double) - Constructor for class org.drip.spline.bspline.ExponentialTensionLeftHat
-
ExponentialTensionLeftHat constructor
- ExponentialTensionLeftRaw - Class in org.drip.spline.bspline
-
ExponentialTensionLeftRaw implements the TensionBasisHat interface in accordance with the raw left
exponential hat basis function laid out in the basic framework outlined in Koch and Lyche (1989), Koch
and Lyche (1993), and Kvasov (2000) Papers.
- ExponentialTensionLeftRaw(double, double, double) - Constructor for class org.drip.spline.bspline.ExponentialTensionLeftRaw
-
ExponentialTensionLeftRaw constructor
- ExponentialTensionRightHat - Class in org.drip.spline.bspline
-
ExponentialTensionRightHat implements the TensionBasisHat interface in accordance with the right
exponential hat basis function laid out in the basic framework outlined in Koch and Lyche (1989), Koch
and Lyche (1993), and Kvasov (2000) Papers.
- ExponentialTensionRightHat(double, double, double) - Constructor for class org.drip.spline.bspline.ExponentialTensionRightHat
-
ExponentialTensionRightHat constructor
- ExponentialTensionRightRaw - Class in org.drip.spline.bspline
-
ExponentialTensionRightRaw implements the TensionBasisHat interface in accordance with the raw right
exponential hat basis function laid out in the basic framework outlined in Koch and Lyche (1989), Koch
and Lyche (1993), and Kvasov (2000) Papers.
- ExponentialTensionRightRaw(double, double, double) - Constructor for class org.drip.spline.bspline.ExponentialTensionRightRaw
-
ExponentialTensionRightRaw constructor
- ExponentialTensionSegmentControlParams(double, SegmentInelasticDesignControl, ResponseScalingShapeControl) - Static method in class org.drip.sample.stretch.KnotInsertionPolynomialEstimator
-
- ExponentialTensionSetParams - Class in org.drip.spline.basis
-
ExponentialTensionSetParams implements per-segment parameters for the exponential tension basis set -
currently it only contains the tension parameter.
- ExponentialTensionSetParams(double) - Constructor for class org.drip.spline.basis.ExponentialTensionSetParams
-
ExponentialTensionSetParams constructor
- Exponentiate(ComplexNumber) - Static method in class org.drip.quant.fourier.ComplexNumber
-
Exponentiate the Complex Number
- exponentScaler() - Method in class org.drip.learning.bound.CoveringNumberLossBound
-
Retrieve the Exponent Scaler
- exposure() - Method in class org.drip.exposure.regression.PillarVertex
-
Retrieve the Path Pillar Exposure
- exposure() - Method in class org.drip.exposure.regression.PykhtinPillar
-
Retrieve the Point Exposure
- ExposureAdjustmentAggregator - Class in org.drip.xva.gross
-
ExposureAdjustmentAggregator aggregates across Multiple Exposure/Adjustment Paths belonging to the Counter
Party.
- ExposureAdjustmentAggregator(PathExposureAdjustment[]) - Constructor for class org.drip.xva.gross.ExposureAdjustmentAggregator
-
ExposureAdjustmentAggregator Constructor
- ExposureAdjustmentDigest - Class in org.drip.xva.gross
-
ExposureAdjustmentDigest holds the "thin" Statistics of the Aggregations across Multiple Path Projection
Runs along the Granularity of a Counter Party Group (i.e., across multiple Funding and Credit/Debt
Netting groups).
- ExposureAdjustmentDigest(double[], double[], double[], double[], double[], double[], double[], double[], double[], double[], double[], double[], double[], double[][], double[][], double[][], double[][], double[][], double[][], double[][], double[][], double[][], double[][], double[][], double[][], double[][], double[][]) - Constructor for class org.drip.xva.gross.ExposureAdjustmentDigest
-
ExposureAdjustmentDigest Constructor
- exposureAtDefault() - Method in class org.drip.xva.gross.BaselExposureDigest
-
Retrieve the Exposure At Default
- exposureDateArray() - Method in class org.drip.exposure.mpor.PathVariationMarginTrajectoryEstimator
-
Retrieve the Array of Exposure Dates
- exposureList() - Method in class org.drip.exposure.regression.PykhtinPillarDynamics
-
Retrieve the Exposure Set
- ExposurePathBrownianBridge - Class in org.drip.sample.pykhtin2009
-
ExposurePathBrownianBridge sets up a Brownian Bridge Scheme base on the Pykhtin (2009) local Volatility
Methodology to estimate Exposures at Secondary Nodes.
- ExposurePathBrownianBridge() - Constructor for class org.drip.sample.pykhtin2009.ExposurePathBrownianBridge
-
- ExposurePathFixFloat - Class in org.drip.sample.pykhtin2009
-
ExposurePathFixFloat sets up a Brownian Bridge Based Dense Exposure Generation from Sparse Nodes for a
Fix-Float Swap.
- ExposurePathFixFloat() - Constructor for class org.drip.sample.pykhtin2009.ExposurePathFixFloat
-
- ExposurePathLocalVolatility - Class in org.drip.sample.pykhtin2009
-
ExposurePathLocalVolatility estimates the Path-wise Local Volatility Realizations using the Pykhtin (2009)
Scheme.
- ExposurePathLocalVolatility() - Constructor for class org.drip.sample.pykhtin2009.ExposurePathLocalVolatility
-
- extraFamilyCrossTenorCorrelation() - Method in class org.drip.simm.parameters.BucketSensitivitySettingsCR
-
Retrieve the Extra-Family Cross Tenor Correlation
- extraGroupCorrelation() - Method in class org.drip.simm.foundation.RiskGroupPrincipalCovariance
-
Retrieve the Cross Group Correlation
- Ezhou - Class in org.drip.sample.bondeos
-
Ezhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Ezhou.
- Ezhou() - Constructor for class org.drip.sample.bondeos.Ezhou
-
- factor() - Method in class org.drip.analytics.output.ExerciseInfo
-
Retrieve the Exercise Factor
- factor() - Method in class org.drip.param.valuation.WorkoutInfo
-
Retrieve the Work-out Factor
- Factor - Class in org.drip.portfolioconstruction.core
-
Factor holds the Details of a specific Factor.
- Factor(String, String, String) - Constructor for class org.drip.portfolioconstruction.core.Factor
-
Factor Constructor
- factor(int) - Method in class org.drip.product.params.EmbeddedOptionSchedule
-
Get the specific indexed factor
- factorAssetLoading() - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
-
Retrieve the Joint Factor-Asset Loading Map
- factorAssetLoading(String) - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
-
Retrieve the Loadings for the specified Factor
- Factorial(int) - Static method in class org.drip.quant.common.NumberUtil
-
This function implements Factorial N.
- factorizingOperator() - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
-
Retrieve the Factorizing Diagonal Scaling Operator Instance
- factorJointAttribute() - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
-
Retrieve the Factor-to-Factor Attribute Map
- factorPointVolatility(int, int, int) - Method in class org.drip.dynamics.hjm.MultiFactorVolatility
-
Compute the Factor Point Volatility
- factorPointVolatility(int, int) - Method in class org.drip.dynamics.hjm.MultiFactorVolatility
-
Compute the Array of Factor Point Volatilities
- factors() - Method in class org.drip.product.params.EmbeddedOptionSchedule
-
Get the array of factors
- factors() - Method in class org.drip.sequence.random.PrincipalFactorSequenceGenerator
-
Retrieve the Principal Component Factor Array
- factorSchedule() - Method in class org.drip.product.params.CouponSetting
-
Retrieve the Factor Schedule
- factorWeight() - Method in class org.drip.sequence.random.PrincipalFactorSequenceGenerator
-
Retrieve the Array of Factor Weights
- FALSE_POSITION - Static variable in class org.drip.function.r1tor1solver.VariateIteratorPrimitive
-
False Position
- FalsePosition(double, double, double, double) - Static method in class org.drip.function.r1tor1solver.VariateIteratorPrimitive
-
Iterate for the next variate using false position
- family() - Method in class org.drip.market.definition.FloaterIndex
-
Retrieve the Index Family
- family() - Method in class org.drip.simm.product.CreditEntity
-
Retrieve the Credit Entity Family
- family() - Method in class org.drip.state.identifier.FloaterLabel
-
Retrieve the Family
- family() - Method in class org.drip.state.identifier.OvernightLabel
-
Retrieve the Family
- Faridabad - Class in org.drip.sample.bondeos
-
Faridabad demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Faridabad.
- Faridabad() - Constructor for class org.drip.sample.bondeos.Faridabad
-
- fatShatteringFunction() - Method in class org.drip.spaces.cover.ScaleSensitiveCoveringBounds
-
Retrieve the Fat Shattering Coefficient Function
- fba() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
-
Retrieve the Expected FBA
- fba() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
-
Retrieve the Univariate Thin Statistics for FBA
- FBB1 - Class in org.drip.sample.treasuryfuturesapi
-
FBB1 demonstrates the Invocation and Examination of the FBB1 10Y SPGB Treasury Futures.
- FBB1() - Constructor for class org.drip.sample.treasuryfuturesapi.FBB1
-
- FBB1Attribution - Class in org.drip.sample.treasuryfuturespnl
-
FBB1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
FBB1 Series.
- FBB1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.FBB1Attribution
-
- FBB1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
-
FBB1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated FBB1 Closes Feed.
- FBB1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.FBB1ClosesReconstitutor
-
- FBB1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
-
FBB1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the FBB1 Treasury Futures.
- FBB1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.FBB1KeyRateDuration
-
- fca() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
-
Retrieve the Expected FCA
- fca() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
-
Retrieve the Univariate Thin Statistics for FCA
- FDA(double) - Static method in class org.drip.xva.basel.ValueAdjustment
-
Construct the FDA Value Adjustment Instance
- fda() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
-
Retrieve the Expected FDA
- fda() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
-
Retrieve the Univariate Thin Statistics for FDA
- feasibleStart() - Method in class org.drip.portfolioconstruction.allocator.BoundedPortfolioConstructionParameters
-
Retrieve an Array of Viable Starting Variates From Within the Feasible Region
- feasibleStart() - Method in class org.drip.portfolioconstruction.asset.AssetBounds
-
Retrieve a Viable Feasible Starting Point
- featureMaureyOperatorEntropy(int) - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
-
Compute the Decision Function Entropy Number Upper Bound using the Product of the Feature Space's
Maurey Upper Bound for the Entropy for the specified Entropy Number and the Scaling Operator Entropy
Number Upper Bound
- featureMaureyOperatorNorm(int) - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
-
Compute the Decision Function Entropy Number Upper Bound using the Product of the Feature Space's
Maurey Upper Bound for the Entropy for the specified Entropy Number and the Scaling Operator Norm
- featureNormOperatorEntropy() - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
-
Compute the Decision Function Entropy Number Upper Bound using the Product of the Feature Space's
Norm for the Upper Bound of the Entropy Number and the Scaling Operator Entropy Number Upper Bound
- featureSpaceDimension() - Method in class org.drip.learning.kernel.SymmetricRdToNormedR1Kernel
-
Compute the Feature Space Input Dimension
- featureSpaceDimension() - Method in class org.drip.learning.kernel.SymmetricRdToNormedRdKernel
-
Compute the Feature Space Input Dimension
- featureSpaceDimension() - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
-
Retrieve the Feature Space Dimension
- featureSpaceMaureyBound(int) - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
-
Compute the Feature Space's Maurey Bound for the Entropy Number given the specified Entropy Number
- featureSpaceMaureyConstant() - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
-
Retrieve the Feature Space Maurey Constant
- FEBRUARY - Static variable in class org.drip.analytics.date.DateUtil
-
Integer Month - February
- FedFundFutures - Class in org.drip.sample.forwardratefutures
-
FedFundFutures contains the demonstration of the construction and the Valuation of the Fed Fund Futures
Contract.
- FedFundFutures() - Constructor for class org.drip.sample.forwardratefutures.FedFundFutures
-
- FedFundOvernightCompounding - Class in org.drip.sample.fedfund
-
FedFundOvernightCompounding demonstrates in detail the methodology behind the overnight compounding used
in the Overnight fund Floating Stream Accrual.
- FedFundOvernightCompounding() - Constructor for class org.drip.sample.fedfund.FedFundOvernightCompounding
-
- feePolicy(ExposureAdjustmentAggregator) - Method in class org.drip.xva.basel.OTCAccountingModus
-
Generate the Fee Policy Based on the Aggregation Incremental
- feePolicy(ExposureAdjustmentAggregator) - Method in class org.drip.xva.basel.OTCAccountingModusFCAFBA
-
- feePolicy(ExposureAdjustmentAggregator) - Method in class org.drip.xva.basel.OTCAccountingModusFVAFDA
-
- Feicheng - Class in org.drip.sample.bondeos
-
Feicheng demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Feicheng.
- Feicheng() - Constructor for class org.drip.sample.bondeos.Feicheng
-
- fields() - Method in class org.drip.product.calib.ProductQuoteSet
-
Return the Set of Fields Available
- FIFOListFromArray(double[]) - Static method in class org.drip.spaces.graph.SinglyLinkedNode
-
Generate a FIFO Linked List from the Value Array
- FIMHoliday - Class in org.drip.analytics.holset
-
- FIMHoliday() - Constructor for class org.drip.analytics.holset.FIMHoliday
-
- finalDate() - Method in class org.drip.dynamics.evolution.LSQMCurveUpdate
-
Retrieve the Final Date
- finalDelivery() - Method in class org.drip.market.exchange.TreasuryFuturesEventDates
-
Retrieve the Final Delivery Date
- finalHoldings() - Method in class org.drip.portfolioconstruction.optimizer.RebalancerAnalytics
-
Retrieve the Final Holdings of the Optimizer Run
- finalMaturity() - Method in class org.drip.product.credit.BondComponent
-
- finalMaturity() - Method in class org.drip.product.definition.Bond
-
Return the bond's final maturity
- finalMaturityDate() - Method in class org.drip.product.params.BondStream
-
Retrieve the Final Maturity Date
- finalShortRateVariance() - Method in class org.drip.dynamics.hullwhite.ShortRateUpdate
-
Retrieve the Final Short Rate Variance
- FINANCIALS - Static variable in class org.drip.simm.credit.SectorSystemics
-
The Financials Sector
- FinancialStandard() - Static method in class org.drip.spline.stretch.BoundarySettings
-
Return the Instance of the Standard Financial Boundary Condition
- find(VariateInequalityConstraintMultiplier) - Method in class org.drip.function.rdtor1solver.FixedRdFinder
-
Find the Optimal Variate-Inequality Constraint Multiplier Tuple using the Iteration Parameters
provided by the Convergence Control Instance
- findRoot(InitializationHeuristics) - Method in class org.drip.function.r1tor1solver.FixedPointFinder
-
Invoke the solution 1D root finding sequence
- findRoot() - Method in class org.drip.function.r1tor1solver.FixedPointFinder
-
Invoke the solution 1D root finding sequence
- finish() - Method in class org.drip.exposure.universe.MarketEdge
-
Retrieve the Market State Vertex Finish
- finish() - Method in class org.drip.measure.discrete.BoundedUniformIntegerDistribution
-
Retrieve the Finish
- finish() - Method in class org.drip.measure.realization.JumpDiffusionEdge
-
Retrieve the Finish Realization
- finish() - Method in class org.drip.sequence.random.BoundedUniformInteger
-
Retrieve the Finish
- finishDate() - Method in class org.drip.analytics.definition.Turn
-
Retrieve the Finish Date
- finishSnap() - Method in class org.drip.service.env.InvocationRecord
-
Retrieve the Finish Snapshot
- finishTime() - Method in class org.drip.execution.cost.LinearTemporaryImpact
-
Retrieve the Finish Time
- finishTime() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectoryControl
-
Retrieve the Finish Time of the Trading Trajectory
- Firozabad - Class in org.drip.sample.bondsink
-
Firozabad generates the Full Suite of Replication Metrics for the Sinker Bond Firozabad.
- Firozabad() - Constructor for class org.drip.sample.bondsink.Firozabad
-
- first() - Method in class org.drip.spaces.iterator.SequenceIndexIterator
-
Retrieve the First Cursor
- firstCouponDate() - Method in class org.drip.product.credit.BondComponent
-
- firstCouponDate() - Method in class org.drip.product.credit.CDSComponent
-
- firstCouponDate() - Method in class org.drip.product.definition.BasketProduct
-
Get the first coupon date
- firstCouponDate() - Method in class org.drip.product.definition.Component
-
Get the First Coupon Date
- firstCouponDate() - Method in class org.drip.product.fx.FXForwardComponent
-
- firstCouponDate() - Method in class org.drip.product.govvie.TreasuryFutures
-
- firstCouponDate() - Method in class org.drip.product.option.OptionComponent
-
- firstCouponDate() - Method in class org.drip.product.rates.FixFloatComponent
-
- firstCouponDate() - Method in class org.drip.product.rates.FloatFloatComponent
-
- firstCouponDate() - Method in class org.drip.product.rates.RatesBasket
-
- firstCouponDate() - Method in class org.drip.product.rates.SingleStreamComponent
-
- firstCouponDate() - Method in class org.drip.product.rates.Stream
-
Retrieve the First Coupon Pay Date
- firstCouponRate() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve the First Coupon Rate
- firstDate() - Method in class org.drip.historical.attribution.PositionChangeComponents
-
Retrieve the First Date
- firstDate() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
-
Retrieve the First Date of the Horizon Change
- firstDelivery() - Method in class org.drip.market.exchange.TreasuryFuturesEventDates
-
Retrieve the First Delivery Date
- firstDerivative(int, int) - Method in class org.drip.quant.calculus.WengertJacobian
-
Retrieve {D(Wengert)}/{D(Parameter)} for the Wengert and the parameter identified by their indices
- firstIndexRate() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve the First Index Rate
- firstMarketParameters() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
-
Retrieve the First Date's Market Parameters
- FirstPenultimateDateFixedFloat(int, int, int, int, int, double, String, String, int, int, int, int, double, DateAdjustParams, DateAdjustParams, DateAdjustParams, ForwardLabel, EntityCDSLabel) - Static method in class org.drip.product.creator.StreamBuilder
-
Generate Mixed Fixed-Float Stream off of the specified Parameters
- FirstPenultimateDateFixedStream(int, int, int, int, int, double, String, String, DateAdjustParams, DateAdjustParams, DateAdjustParams, String, EntityCDSLabel) - Static method in class org.drip.product.creator.StreamBuilder
-
Generate the Fixed Stream Off of the specified Parameters
- FirstPenultimateDateFloatStream(int, int, int, int, int, double, DateAdjustParams, DateAdjustParams, DateAdjustParams, FloaterLabel, EntityCDSLabel) - Static method in class org.drip.product.creator.StreamBuilder
-
Generate the Float Stream off of the specified Parameters
- firstPeriod() - Method in class org.drip.product.params.BondStream
-
Return the first Coupon period
- firstSettleDate() - Method in class org.drip.product.params.QuoteConvention
-
Retrieve the First Settle Date
- Fixed - Class in org.drip.analytics.eventday
-
Fixed contains the fixed holiday’s date and month.
- Fixed(int, int, Weekend, String) - Constructor for class org.drip.analytics.eventday.Fixed
-
Construct the object from the day, month, weekend, and description
- fixed1DAccrualDays() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Fixed Accrual Period
- fixed1DDCF() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the Period 1D Fixed DCF
- fixed1MDCF() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the Period 1M Fixed DCF
- fixed3MDCF() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the Period 3M Fixed DCF
- FixedAssetBackedClient - Class in org.drip.sample.service
-
FixedAssetBackedClient demonstrates the Invocation and Examination of the JSON-based Fixed Payment Asset
Backed Loan Service Client.
- FixedAssetBackedClient() - Constructor for class org.drip.sample.service.FixedAssetBackedClient
-
- FixedAssetBackedProcessor - Class in org.drip.service.json
-
FixedAssetBackedProcessor Sets Up and Executes a JSON Based In/Out Product Constant Payment Asset Backed
Loan Processor.
- FixedAssetBackedProcessor() - Constructor for class org.drip.service.json.FixedAssetBackedProcessor
-
- FixedBondAPI - Class in org.drip.service.product
-
BondAPI demonstrates the Details behind the Pricing and the Scenario Runs behind a Generic Bond.
- FixedBondAPI() - Constructor for class org.drip.service.product.FixedBondAPI
-
- FixedBullet1 - Class in org.drip.sample.agency
-
FixedBullet1 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure
Generation Functionality.
- FixedBullet1() - Constructor for class org.drip.sample.agency.FixedBullet1
-
- FixedBullet1 - Class in org.drip.sample.corporate
-
FixedBullet1 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation
Functionality.
- FixedBullet1() - Constructor for class org.drip.sample.corporate.FixedBullet1
-
- FixedBullet2 - Class in org.drip.sample.agency
-
FixedBullet2 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure
Generation Functionality.
- FixedBullet2() - Constructor for class org.drip.sample.agency.FixedBullet2
-
- FixedBullet2 - Class in org.drip.sample.corporate
-
FixedBullet2 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation
Functionality.
- FixedBullet2() - Constructor for class org.drip.sample.corporate.FixedBullet2
-
- FixedBullet3 - Class in org.drip.sample.corporate
-
FixedBullet3 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation
Functionality.
- FixedBullet3() - Constructor for class org.drip.sample.corporate.FixedBullet3
-
- FixedBullet4 - Class in org.drip.sample.corporate
-
FixedBullet4 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation
Functionality.
- FixedBullet4() - Constructor for class org.drip.sample.corporate.FixedBullet4
-
- FixedBullet5 - Class in org.drip.sample.corporate
-
FixedBullet5 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation
Functionality.
- FixedBullet5() - Constructor for class org.drip.sample.corporate.FixedBullet5
-
- FixedBullet6 - Class in org.drip.sample.corporate
-
FixedBullet6 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation
Functionality.
- FixedBullet6() - Constructor for class org.drip.sample.corporate.FixedBullet6
-
- FixedBullet7 - Class in org.drip.sample.corporate
-
FixedBullet7 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation
Functionality.
- FixedBullet7() - Constructor for class org.drip.sample.corporate.FixedBullet7
-
- FixedBullet8 - Class in org.drip.sample.corporate
-
FixedBullet8 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure Generation
Functionality.
- FixedBullet8() - Constructor for class org.drip.sample.corporate.FixedBullet8
-
- fixedCharge() - Method in class org.drip.portfolioconstruction.cost.TransactionChargeFixed
-
Retrieve the Fixed Transaction Cost Charge
- FixedChargeBuyTerm - Class in org.drip.portfolioconstruction.objective
-
FixedChargeBuyTerm implements the Objective Term that optimizes the Charges incurred by the Buy Trades in
the Target Portfolio under a Fixed Charge from the Starting Allocation.
- FixedChargeBuyTerm(String, double[], TransactionChargeFixed[]) - Constructor for class org.drip.portfolioconstruction.objective.FixedChargeBuyTerm
-
FixedChargeBuyTerm Conastructor
- FixedChargeSellTerm - Class in org.drip.portfolioconstruction.objective
-
FixedChargeSellTerm implements the Objective Term that optimizes the Charge incurred by the Sell Trades in
the Target Portfolio under a Fixed Charge from the Starting Allocation.
- FixedChargeSellTerm(String, double[], TransactionChargeFixed[]) - Constructor for class org.drip.portfolioconstruction.objective.FixedChargeSellTerm
-
FixedChargeSellTerm Conastructor
- FixedChargeTerm - Class in org.drip.portfolioconstruction.objective
-
FixedChargeTerm implements the Objective Term that optimizes the Charge incurred by the Buy/Sell Trades in
the Target Portfolio under a Fixed Charge from the Starting Allocation.
- FixedChargeTerm(String, double[], TransactionCharge[]) - Constructor for class org.drip.portfolioconstruction.objective.FixedChargeTerm
-
FixedChargeTerm Constructor
- FixedCompositeUnit(List<Integer>, CompositePeriodSetting, UnitCouponAccrualSetting, ComposableFixedUnitSetting) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
-
Construct the List of Composite Fixed Periods from the corresponding Composable Fixed Period Units
- fixedCoupon() - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Retrieve the Fixed Coupon
- fixedCoupon() - Method in class org.drip.market.otc.CreditIndexConvention
-
Retrieve the Fixed Coupon
- fixedCoupon() - Method in class org.drip.param.period.ComposableFixedUnitSetting
-
Retrieve the Fixed Coupon
- FixedCoupon - Class in org.drip.sample.bondapi
-
FixedCoupon demonstrates the Invocation and Examination of the Metrics for the Fixed Coupon Bond.
- FixedCoupon() - Constructor for class org.drip.sample.bondapi.FixedCoupon
-
- FixedCouponBondPeriods - Class in org.drip.sample.cashflow
-
FixedCouponBondPeriods demonstrates the Cash Flow Period Details for a Fixed Coupon Bond.
- FixedCouponBondPeriods() - Constructor for class org.drip.sample.cashflow.FixedCouponBondPeriods
-
- FixedCouponKeyRateDuration - Class in org.drip.sample.bondapi
-
FixedCouponKeyRateDuration demonstrates the Invocation and Examination of the Key Rate Duration
Computation for the Specified Treasury Futures.
- FixedCouponKeyRateDuration() - Constructor for class org.drip.sample.bondapi.FixedCouponKeyRateDuration
-
- FixedCouponRVMeasures - Class in org.drip.sample.bondapi
-
FixedCouponRVMeasures demonstrates the Invocation and Examination of the Relative Value Metrics for the
Fixed Coupon Bond.
- FixedCouponRVMeasures() - Constructor for class org.drip.sample.bondapi.FixedCouponRVMeasures
-
- FixedDriftTrajectoryComparator - Class in org.drip.sample.trend
-
FixedDriftTrajectoryComparator demonstrates the Optimal Trajectory for a Price Process with Bayes' Drift,
Arithmetic Volatility, and Linear Temporary Market Impact.
- FixedDriftTrajectoryComparator() - Constructor for class org.drip.sample.trend.FixedDriftTrajectoryComparator
-
- FixedFloatSwapConvention - Class in org.drip.market.otc
-
FixedFloatSwapConvention contains the Details of the Fixed-Float Swap Component of an OTC contact.
- FixedFloatSwapConvention(FixedStreamConvention, FloatStreamConvention, int) - Constructor for class org.drip.market.otc.FixedFloatSwapConvention
-
FixedFloatSwapConvention Constructor
- FixedFPToFloatFP(String, String, int, int, int, int, int, double, String, String, int, int, int, int, double, String, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams) - Static method in class org.drip.product.creator.BondBuilder
-
Construct a Fixed To Float Bond Component
- FixedFToFloatF(String, String, int, int, int, int, double, String, String, int, int, int, double, String, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams) - Static method in class org.drip.product.creator.BondBuilder
-
Construct a Fixed To Float Bond Component
- FixedFToFloatP(String, String, int, int, int, int, double, String, String, int, int, int, double, String, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams) - Static method in class org.drip.product.creator.BondBuilder
-
Construct a Fixed To Float Bond Component
- FixedInterval(OrderSpecification, int) - Static method in class org.drip.execution.strategy.DiscreteTradingTrajectoryControl
-
Create a DiscreteTradingTrajectoryControl from Fixed Intervals
- FixedPointFinder - Class in org.drip.function.r1tor1solver
-
FixedPointFinder is the base abstract class that is implemented by customized invocations, e.g., Newton's
method, or any of the bracketing methodologies.
- FixedPointFinder(double, R1ToR1, ExecutionControl, boolean) - Constructor for class org.drip.function.r1tor1solver.FixedPointFinder
-
- FixedPointFinderBracketing - Class in org.drip.function.r1tor1solver
-
FixedPointFinderBracketing customizes the FixedPointFinder for bracketing based fixed point finder
functionality.
- FixedPointFinderBracketing(double, R1ToR1, ExecutionControl, int, boolean) - Constructor for class org.drip.function.r1tor1solver.FixedPointFinderBracketing
-
FixedPointFinderBracketing constructor
- FixedPointFinderBrent - Class in org.drip.function.r1tor1solver
-
FixedPointFinderBrent customizes FixedPointFinderBracketing by applying the Brent's scheme of compound
variate selector.
- FixedPointFinderBrent(double, R1ToR1, boolean) - Constructor for class org.drip.function.r1tor1solver.FixedPointFinderBrent
-
FixedPointFinderBrent constructor
- FixedPointFinderNewton - Class in org.drip.function.r1tor1solver
-
FixedPointFinderNewton customizes the FixedPointFinder for Open (Newton's) fixed point finder
functionality.
- FixedPointFinderNewton(double, R1ToR1, boolean) - Constructor for class org.drip.function.r1tor1solver.FixedPointFinderNewton
-
FixedPointFinderNewton constructor
- FixedPointFinderOutput - Class in org.drip.function.r1tor1solver
-
FixedPointFinderOutput holds the result of the fixed point search.
- FixedPointFinderOutput(ExecutionInitializationOutput) - Constructor for class org.drip.function.r1tor1solver.FixedPointFinderOutput
-
FixedPointFinderOutput constructor
- FixedPointFinderRegressionEngine - Class in org.drip.regression.fixedpointfinder
-
FixedPointFinderRegressionEngine implements the RegressionEngine for the Fixed Point Finder regression.
- FixedPointFinderRegressionEngine(int, int) - Constructor for class org.drip.regression.fixedpointfinder.FixedPointFinderRegressionEngine
-
- FixedPointFinderZheng - Class in org.drip.function.r1tor1solver
-
FixedPointFinderZheng implements the fixed point locator using Zheng's improvement to Brent's method.
- FixedPointFinderZheng(double, R1ToR1, boolean) - Constructor for class org.drip.function.r1tor1solver.FixedPointFinderZheng
-
FixedPointFinderZheng constructor
- FixedPointSearch - Class in org.drip.sample.numerical
-
FixedPointSearch contains a sample illustration of usage of the Root Finder Library.
- FixedPointSearch() - Constructor for class org.drip.sample.numerical.FixedPointSearch
-
- FixedPToFloatF(String, String, int, int, int, int, double, String, String, int, int, int, double, String, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams) - Static method in class org.drip.product.creator.BondBuilder
-
Construct a Fixed To Float Bond Component
- FixedPToFloatP(String, String, int, int, int, int, double, String, String, int, int, int, double, String, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams) - Static method in class org.drip.product.creator.BondBuilder
-
Construct a Fixed To Float Bond Component
- FixedRdFinder - Class in org.drip.function.rdtor1solver
-
FixedRdFinder exports the Methods needed for the locating a Fixed R^d Point.
- FixedRdFinder(RdToR1, LineStepEvolutionControl, ConvergenceControl) - Constructor for class org.drip.function.rdtor1solver.FixedRdFinder
-
- fixedStreamConvention() - Method in class org.drip.market.otc.FixedFloatSwapConvention
-
Retrieve the Fixed Stream Convention
- FixedStreamConvention - Class in org.drip.market.otc
-
FixedStreamConvention contains the details of the fixed stream of an OTC fixed-float IBOR/Overnight Swap
Contact.
- FixedStreamConvention(String, String, String, String, String, int) - Constructor for class org.drip.market.otc.FixedStreamConvention
-
FixedStreamConvention Constructor
- FixedStreamMPoR - Class in org.drip.exposure.generator
-
FixedStreamMPoR estimates the MPoR Variation Margin and the Trade Payments for the given Fixed Coupon
Stream off of the Realized Market Path.
- FixedStreamMPoR(Stream, double) - Constructor for class org.drip.exposure.generator.FixedStreamMPoR
-
FixedStreamMPoR Constructor
- fixedStreamMPoR() - Method in class org.drip.exposure.generator.FixFloatMPoR
-
Retrieve the Fixed Stream MPoR
- FixedStreamQuoteSet - Class in org.drip.product.calib
-
FixedStreamQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the Fixed
Stream.
- FixedStreamQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.FixedStreamQuoteSet
-
FixedStreamQuoteSet Constructor
- FixedThreshold(String, double, double, int, int, double, int) - Static method in class org.drip.xva.proto.PositionGroupSpecification
-
Generate a Fixed-Threshold Instance of the Named Position Group
- FixedUnits(int, int, UnitCouponAccrualSetting, ComposableFixedUnitSetting) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
-
Construct the List of Composable Fixed Units from the inputs
- FixFloatAggressiveLong - Class in org.drip.sample.andersen2017vm
-
FixFloatClassicalPlusLong generates the Ensemble of Dense Variation Margin Estimates and the eventual
Collateralized Variation Margin from Sparse Nodes for a Long Fix-Float Swap across the Ensemble of Paths
using the Andersen, Albanese, and Pykhtin (2017) Aggressive Scheme.
- FixFloatAggressiveLong() - Constructor for class org.drip.sample.andersen2017vm.FixFloatAggressiveLong
-
- FixFloatAggressiveShort - Class in org.drip.sample.andersen2017vm
-
FixFloatClassicalPlusLong generates the Ensemble of Dense Variation Margin Estimates and the eventual
Collateralized Variation Margin from Sparse Nodes for a Short Fix-Float Swap across the Ensemble of Paths
using the Andersen, Albanese, and Pykhtin (2017) Aggressive Scheme.
- FixFloatAggressiveShort() - Constructor for class org.drip.sample.andersen2017vm.FixFloatAggressiveShort
-
- FixFloatAPI - Class in org.drip.service.product
-
FixFloatAPI contains the Functionality associated with the Horizon Analysis of the Fix Float Swap.
- FixFloatAPI() - Constructor for class org.drip.service.product.FixFloatAPI
-
- FixFloatBaselPositionEstimator - Class in org.drip.exposure.holdings
-
FixFloatBaselPositionEstimator evaluates the Value of a Fix Float Position Group given the Realized Market
Path using the Basel Scheme.
- FixFloatBaselPositionEstimator(int, OTCFixFloatLabel) - Constructor for class org.drip.exposure.holdings.FixFloatBaselPositionEstimator
-
FixFloatBaselPositionEstimator Constructor
- FixFloatClassicalMinusLong - Class in org.drip.sample.andersen2017vm
-
FixFloatClassicalPlusLong generates the Ensemble of Dense Variation Margin Estimates and the eventual
Collateralized Variation Margin from Sparse Nodes for a Long Fix-Float Swap across the Ensemble of Paths
using the Andersen, Albanese, and Pykhtin (2017) Classical- Scheme.
- FixFloatClassicalMinusLong() - Constructor for class org.drip.sample.andersen2017vm.FixFloatClassicalMinusLong
-
- FixFloatClassicalMinusShort - Class in org.drip.sample.andersen2017vm
-
FixFloatClassicalPlusLong generates the Ensemble of Dense Variation Margin Estimates and the eventual
Collateralized Variation Margin from Sparse Nodes for a Short Fix-Float Swap across the Ensemble of Paths
using the Andersen, Albanese, and Pykhtin (2017) Classical- Scheme.
- FixFloatClassicalMinusShort() - Constructor for class org.drip.sample.andersen2017vm.FixFloatClassicalMinusShort
-
- FixFloatClassicalPlusLong - Class in org.drip.sample.andersen2017vm
-
FixFloatClassicalPlusLong generates the Ensemble of Dense Variation Margin Estimates and the eventual
Collateralized Variation Margin from Sparse Nodes for a Long Fix-Float Swap across the Ensemble of Paths
using the Andersen, Albanese, and Pykhtin (2017) Classical+ Scheme.
- FixFloatClassicalPlusLong() - Constructor for class org.drip.sample.andersen2017vm.FixFloatClassicalPlusLong
-
- FixFloatClassicalPlusShort - Class in org.drip.sample.andersen2017vm
-
FixFloatClassicalPlusLong generates the Ensemble of Dense Variation Margin Estimates and the eventual
Collateralized Variation Margin from Sparse Nodes for a Short Fix-Float Swap across the Ensemble of Paths
using the Andersen, Albanese, and Pykhtin (2017) Classical+ Scheme.
- FixFloatClassicalPlusShort() - Constructor for class org.drip.sample.andersen2017vm.FixFloatClassicalPlusShort
-
- FixFloatClient - Class in org.drip.sample.service
-
FixFloatClient demonstrates the Invocation and Examination of the JSON-based Fix Float Valuation Service
Client.
- FixFloatClient() - Constructor for class org.drip.sample.service.FixFloatClient
-
- FixFloatComponent - Class in org.drip.product.rates
-
FixFloatComponent contains the implementation of the Fix-Float Index Basis Swap product
contract/valuation details.
- FixFloatComponent(Stream, Stream, CashSettleParams) - Constructor for class org.drip.product.rates.FixFloatComponent
-
Construct the FixFloatComponent from the Reference Fixed and the Derived Floating Streams.
- FixFloatConservativeLong - Class in org.drip.sample.andersen2017vm
-
FixFloatClassicalPlusLong generates the Ensemble of Dense Variation Margin Estimates and the eventual
Collateralized Variation Margin from Sparse Nodes for a Long Fix-Float Swap across the Ensemble of Paths
using the Andersen, Albanese, and Pykhtin (2017) Conservative Scheme.
- FixFloatConservativeLong() - Constructor for class org.drip.sample.andersen2017vm.FixFloatConservativeLong
-
- FixFloatConservativeShort - Class in org.drip.sample.andersen2017vm
-
FixFloatConservativeShort generates the Ensemble of Dense Variation Margin Estimates and the eventual
Collateralized Variation Margin from Sparse Nodes for a Short Fix-Float Swap across the Ensemble of Paths
using the Andersen, Albanese, and Pykhtin (2017) Conservative Scheme.
- FixFloatConservativeShort() - Constructor for class org.drip.sample.andersen2017vm.FixFloatConservativeShort
-
- FixFloatCustom(JulianDate, ForwardLabel, String) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Construct a Standard Fix Float Swap Instances
- FixFloatCustom(JulianDate, ForwardLabel, String[]) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Construct an Array of Custom Fix Float Swap Instances
- FixFloatEuropeanOption - Class in org.drip.product.option
-
FixFloatEuropeanOption implements the Payer/Receiver European Option on the Fix-Float Swap.
- FixFloatEuropeanOption(String, FixFloatComponent, String, boolean, double, double, LastTradingDateSetting, CashSettleParams) - Constructor for class org.drip.product.option.FixFloatEuropeanOption
-
FixFloatEuropeanOption constructor
- FixFloatExplainProcessor - Class in org.drip.historical.engine
-
FixFloatExplainProcessor contains the Functionality associated with the Horizon Analysis of the Fix Float
Swap.
- FixFloatExplainProcessor(FixFloatComponent, int, String, double, JulianDate, JulianDate, CurveSurfaceQuoteContainer, CurveSurfaceQuoteContainer, CaseInsensitiveHashMap<CurveSurfaceQuoteContainer>) - Constructor for class org.drip.historical.engine.FixFloatExplainProcessor
-
FixFloatExplainProcessor Constructor
- FixFloatFixFloat - Class in org.drip.sample.cross
-
FixFloatFixFloat demonstrates the construction, the usage, and the eventual valuation of the Cross
Currency Basis Swap built out of a pair of fix-float swaps.
- FixFloatFixFloat() - Constructor for class org.drip.sample.cross.FixFloatFixFloat
-
- FixFloatFixFloatAnalysis - Class in org.drip.sample.cross
-
FixFloatFixFloat demonstrates the Funding Volatility, Forward Volatility, FX Volatility, Funding/Forward
Correlation, Funding/FX Correlation, and Forward/FX Correlation across the 2 currencies (USD and EUR) on
the Valuation of the Cross Currency Basis Swap built out of a pair of fix-float swaps.
- FixFloatFixFloatAnalysis() - Constructor for class org.drip.sample.cross.FixFloatFixFloatAnalysis
-
- FixFloatForwardCurve - Class in org.drip.sample.multicurve
-
FixFloatForwardCurve contains the sample demonstrating the full functionality behind creating highly
customized spline based forward curves from fix-float swaps and the discount curves.
- FixFloatForwardCurve() - Constructor for class org.drip.sample.multicurve.FixFloatForwardCurve
-
- FixFloatFundingInstrument - Class in org.drip.service.api
-
FixFloatFundingInstrument contains the Fix Float Instrument Inputs for the Funding Curve Construction
Purposes.
- FixFloatFundingInstrument(JulianDate, String, String[], double[], int) - Constructor for class org.drip.service.api.FixFloatFundingInstrument
-
FixFloatFundingInstrument Constructor
- FixFloatInAdvanceIMMPeriods - Class in org.drip.sample.cashflow
-
FixFloatInAdvanceIMMPeriods demonstrates the Cash Flow Period Details for an In-Advance Fix-Float IMM
Swap.
- FixFloatInAdvanceIMMPeriods() - Constructor for class org.drip.sample.cashflow.FixFloatInAdvanceIMMPeriods
-
- FixFloatInAdvancePeriods - Class in org.drip.sample.cashflow
-
FixFloatInAdvancePeriods demonstrates the Cash Flow Period Details for an In-Advance Fix-Float Swap.
- FixFloatInAdvancePeriods() - Constructor for class org.drip.sample.cashflow.FixFloatInAdvancePeriods
-
- FixFloatInArrearsIMMPeriods - Class in org.drip.sample.cashflow
-
FixFloatInArrearsIMMPeriods demonstrates the Cash Flow Period Details for an In-Arrears Fix-Float IMM Swap.
- FixFloatInArrearsIMMPeriods() - Constructor for class org.drip.sample.cashflow.FixFloatInArrearsIMMPeriods
-
- FixFloatInArrearsPeriods - Class in org.drip.sample.cashflow
-
FixFloatInArrearsPeriods demonstrates the Cash Flow Period Details for an In-Arrears Fix-Float Swap.
- FixFloatInArrearsPeriods() - Constructor for class org.drip.sample.cashflow.FixFloatInArrearsPeriods
-
- FixFloatMetricComparison - Class in org.drip.sample.cms
-
FixFloatMetricComparison demonstrates the Construction and Valuation of an In-Advance and In-Arrears
Variants of the CMS Fix-Float Swap.
- FixFloatMetricComparison() - Constructor for class org.drip.sample.cms.FixFloatMetricComparison
-
- FixFloatMonteCarloEvolver - Class in org.drip.sample.lmm
-
FixFloatMonteCarloEvolver demonstrates the steps associated with a LMM-Based Monte-Carlo pricing of a
Standard Fix-Float Swap.
- FixFloatMonteCarloEvolver() - Constructor for class org.drip.sample.lmm.FixFloatMonteCarloEvolver
-
- FixFloatMPoR - Class in org.drip.exposure.generator
-
FixFloatMPoR estimates the MPoR Variation Margin and the Trade Payments for the given Fix Float Component
off of the Realized Market Path.
- FixFloatMPoR(FixFloatComponent, double) - Constructor for class org.drip.exposure.generator.FixFloatMPoR
-
FixFloatMPoR Constructor
- FixFloatPnLAttributor - Class in org.drip.feed.metric
-
FixFloatPnLAttributor generates the Date Valuation and Position Change PnL Explain Attributions for the
Standard OTC Fix Float Swap.
- FixFloatPnLAttributor() - Constructor for class org.drip.feed.metric.FixFloatPnLAttributor
-
- FixFloatProcessor - Class in org.drip.service.json
-
FixFloatProcessor Sets Up and Executes a JSON Based In/Out Fix Float Swap Valuation Processor.
- FixFloatProcessor() - Constructor for class org.drip.service.json.FixFloatProcessor
-
- fixFloatQuote() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Array of Fix-Float IRS Instrument Quotes
- FixFloatQuoteSet - Class in org.drip.product.calib
-
FixFloatQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the Fix-Float
Swap Component.
- FixFloatQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.FixFloatQuoteSet
-
FixFloatQuoteSet Constructor
- FixFloatStandard(JulianDate, String, String, String, String, double) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Construct an OTC Standard Fix Float Swap using the specified Input Parameters
- FixFloatStandard(JulianDate, String, String, String[], String, double) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Construct an Array of OTC Fix Float Swaps using the specified Input Parameters
- FixFloatSwap - Class in org.drip.sample.multicurve
-
FixFloatSwap contains a full valuation run on the Multi-Curve Fix-Float IRS Product.
- FixFloatSwap() - Constructor for class org.drip.sample.multicurve.FixFloatSwap
-
- FixFloatSwapAnalysis - Class in org.drip.sample.multicurve
-
FixFloatSwapAnalysis contains an analysis if the correlation and volatility impact on the fix-float Swap.
- FixFloatSwapAnalysis() - Constructor for class org.drip.sample.multicurve.FixFloatSwapAnalysis
-
- FixFloatSwapIMM - Class in org.drip.sample.multicurve
-
FixFloatSwapIMM contains a full valuation run on the IMM Fix-Float Swap Product.
- FixFloatSwapIMM() - Constructor for class org.drip.sample.multicurve.FixFloatSwapIMM
-
- fixFloatTenor() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Array of Fix-Float IRS Instrument Maturity Tenors
- fixFloatTenor() - Method in class org.drip.state.identifier.OTCFixFloatLabel
-
Retrieve the Fix Float Tenor
- FixFloatVABank - Class in org.drip.sample.burgard2012
-
FixFloatVABank illustrates the Fix-Float Swap Valuation Adjustment Metrics Dependence on the Bank Spread
using the Set of Netting Group Exposure Simulations.
- FixFloatVABank() - Constructor for class org.drip.sample.burgard2012.FixFloatVABank
-
- FixFloatVACounterParty - Class in org.drip.sample.burgard2012
-
FixFloatVACounterParty illustrates the Fix-Float Swap Valuation Adjustment Metrics Dependence on the
Counter Party Spread using the Set of Netting Group Exposure Simulations.
- FixFloatVACounterParty() - Constructor for class org.drip.sample.burgard2012.FixFloatVACounterParty
-
- FixFloatVarianceAnalysis - Class in org.drip.sample.cms
-
FixFloatVarianceAnalysis demonstrates the Construction and Valuation Impact of Volatility and Correlation
on the CMS Fix-Float Swap.
- FixFloatVarianceAnalysis() - Constructor for class org.drip.sample.cms.FixFloatVarianceAnalysis
-
- fixing() - Method in class org.drip.analytics.input.BootCurveConstructionInput
-
- fixing() - Method in interface org.drip.analytics.input.CurveConstructionInputSet
-
Retrieve the Latent State Fixings Container
- fixing() - Method in class org.drip.analytics.input.LatentStateShapePreservingCCIS
-
- fixing(JulianDate, LatentStateLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Fixing for the Specified Date/LSL Combination
- fixing(int, LatentStateLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Fixing for the Specified Date/LSL Combination
- fixing(JulianDate, LatentStateLabel) - Method in class org.drip.param.market.LatentStateFixingsContainer
-
Retrieve the Latent State Fixing for the Specified Date/LSL Combination
- fixing(int, LatentStateLabel) - Method in class org.drip.param.market.LatentStateFixingsContainer
-
Retrieve the Latent State Fixing for the Specified Date
- FIXING_COMPOSITE_PERIOD_END - Static variable in class org.drip.param.period.FixingSetting
-
Fixing Based off of the End of the Composite Period
- FIXING_COMPOSITE_PERIOD_START - Static variable in class org.drip.param.period.FixingSetting
-
Fixing Based off of the Start of the Composite Period
- FIXING_PRESET_STATIC - Static variable in class org.drip.param.period.FixingSetting
-
Fixing Based off of the Start of a Pre-determined Static Date
- fixingDate() - Method in class org.drip.analytics.cashflow.ReferenceIndexPeriod
-
Reference Period Fixing Date
- fixings() - Method in class org.drip.param.definition.ScenarioMarketParams
-
Retrieve the Latent State Fixings Container
- fixings() - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Latent State Fixings
- fixings() - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- FixingSetting - Class in org.drip.param.period
-
FixingSetting implements the custom setting parameters for the Latent State Fixing Settings.
- FixingSetting(int, DateAdjustParams, int) - Constructor for class org.drip.param.period.FixingSetting
-
FixingSetting Constructor
- fixingType() - Method in class org.drip.market.otc.CrossFloatSwapConvention
-
Retrieve the Fixing Setting Type
- fjm() - Method in class org.drip.optimization.constrained.RegularityConditions
-
Retrieve the Fritz John Mutipliers
- FLAT - Static variable in class org.drip.param.definition.ManifestMeasureTweak
-
Flat Manifest Measure Tweak Mode
- flatCreditDeltaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
-
Retrieve the Flat Credit Delta Measure Map
- flatCreditGammaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
-
Retrieve the Flat Credit Gamma Measure Map
- flatCurve(double, boolean, double) - Method in class org.drip.state.credit.CreditCurve
-
Create a flat hazard curve from the inputs
- flatCurve(double, boolean, double) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
-
- flatform() - Method in class org.drip.measure.discrete.VertexRd
-
Flatten out into a 2D Array
- FlatForward(int, VolatilityLabel, String, double) - Static method in class org.drip.state.creator.ScenarioDeterministicVolatilityBuilder
-
Construct the Flat Constant Forward Volatility Forward Curve
- flatForward(int[]) - Method in class org.drip.state.curve.BasisSplineGovvieYield
-
Construct a Flat Forward Instance of the Curve at the specified Date Nodes
- flatForward(String[]) - Method in class org.drip.state.curve.BasisSplineGovvieYield
-
Construct a Flat Forward Instance of the Curve at the specified Date Node Tenors
- flatForward(String, int, int[]) - Method in class org.drip.state.discount.DiscountCurve
-
Construct a Flat Forward Instance of the Curve at the specified Date Nodes
- FlatForwardDiscountCurve - Class in org.drip.state.nonlinear
-
FlatForwardDiscountCurve manages the Discounting Latent State, using the Forward Rate as the State
Response Representation.
- FlatForwardDiscountCurve(JulianDate, String, int[], double[], boolean, String, int) - Constructor for class org.drip.state.nonlinear.FlatForwardDiscountCurve
-
Boot-strap a constant forward discount curve from an array of dates and discount rates
- FlatForwardDiscountCurve(FlatForwardDiscountCurve) - Constructor for class org.drip.state.nonlinear.FlatForwardDiscountCurve
-
- FlatForwardForwardCurve(JulianDate, ForwardLabel, double) - Static method in class org.drip.state.creator.ScenarioForwardCurveBuilder
-
Construct an Instance of the Flat Forward Rate Forward Curve
- FlatForwardForwardCurve - Class in org.drip.state.nonlinear
-
FlatForwardForwardCurve contains an implementation of the flat forward rate forward curve.
- FlatForwardForwardCurve(JulianDate, ForwardLabel, double) - Constructor for class org.drip.state.nonlinear.FlatForwardForwardCurve
-
FlatForwardForwardCurve constructor
- FlatForwardFXCurve - Class in org.drip.state.nonlinear
-
FlatForwardVolatilityCurve manages the Volatility Latent State, using the Forward Volatility as the State
Response Representation.
- FlatForwardFXCurve(int, CurrencyPair, double, int[], double[]) - Constructor for class org.drip.state.nonlinear.FlatForwardFXCurve
-
FlatForwardVolatilityCurve Constructor
- FlatForwardGovvieCurve - Class in org.drip.state.nonlinear
-
FlatForwardGovvieCurve manages the Govvie Latent State, using the Flat Forward Rate as the State Response
Representation.
- FlatForwardGovvieCurve(int, String, String, int[], double[]) - Constructor for class org.drip.state.nonlinear.FlatForwardGovvieCurve
-
Construct a Govvie Curve from an Array of Dates and Flat Forward Yields
- FlatForwardRepoCurve - Class in org.drip.state.nonlinear
-
FlatForwardRepoCurve manages the Repo Latent State, using the Forward Repo Rate as the State Response
Representation.
- FlatForwardRepoCurve(int, Component, int[], double[]) - Constructor for class org.drip.state.nonlinear.FlatForwardRepoCurve
-
FlatForwardRepoCurve Constructor
- FlatForwardVolatilityCurve - Class in org.drip.state.nonlinear
-
FlatForwardVolatilityCurve manages the Volatility Latent State, using the Forward Volatility as the State
Response Representation.
- FlatForwardVolatilityCurve(int, VolatilityLabel, String, int[], double[]) - Constructor for class org.drip.state.nonlinear.FlatForwardVolatilityCurve
-
FlatForwardVolatilityCurve Constructor
- FlatHazard(int, String, String, double, double) - Static method in class org.drip.state.creator.ScenarioCreditCurveBuilder
-
Create a CreditCurve instance from a single node hazard rate
- flatIRDeltaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
-
Retrieve the Flat IR Delta Measure Map
- flatIRGammaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
-
Retrieve the Flat IR Gamma Measure Map
- FlatMultivariateRandom - Class in org.drip.sequence.functional
-
FlatMultivariateRandom contains the Implementation of the Flat Objective Function dependent on
Multivariate Random Variables.
- FlatMultivariateRandom(double) - Constructor for class org.drip.sequence.functional.FlatMultivariateRandom
-
FlatMultivariateRandom Constructor
- flatNativeForward(int[], double) - Method in class org.drip.state.discount.DiscountCurve
-
Construct Flat Native Forward Instance of the Curve at the specified Date Nodes
- flatNativeForward(String[], double) - Method in class org.drip.state.discount.DiscountCurve
-
Construct Flat Native Forward Instance of the Curve at the specified Date Node Tenors
- flatNativeForwardEI(int[], int, double) - Method in class org.drip.state.discount.DiscountCurve
-
Construct Flat Native Forward Instance of the Curve at the specified Date Nodes with
(Exclusive/Inclusive) Bumps applied within the Tenors
- FlatRateRepoCurve(JulianDate, Component, double) - Static method in class org.drip.state.creator.ScenarioRepoCurveBuilder
-
Construct a Repo Curve using the Flat Repo Rate
- flatRRDeltaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
-
Retrieve the Flat RR Delta Measure Map
- flatRRGammaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
-
Retrieve the Flat RR Gamma Measure Map
- FlatStringTo2DSDMap(String, String, String, boolean, String) - Static method in class org.drip.quant.common.CollectionUtil
-
Turn a flattened 2D (string, double) string sequence into its corresponding map
- FlatStringTo3DSDMap(String, String, String, String, boolean, String) - Static method in class org.drip.quant.common.CollectionUtil
-
Turn a flattened 3D (string, string, double) string sequence into its corresponding map
- FlatStringTo4DSDMap(String, String, String, String, boolean, String) - Static method in class org.drip.quant.common.CollectionUtil
-
Turn a flattened 4D (string, string, string, double) string sequence into its corresponding map
- FlatUnivariate - Class in org.drip.function.r1tor1
-
FlatUnivariate implements the level constant Univariate Function.
- FlatUnivariate(double) - Constructor for class org.drip.function.r1tor1.FlatUnivariate
-
FlatUnivariate constructor
- flatValue() - Method in class org.drip.sequence.functional.FlatMultivariateRandom
-
Retrieve the Flat Value
- flatVolatilityFromPrice(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.fra.FRAStandardCapFloor
-
Imply the Flat Cap/Floor Volatility from the Calibration Price
- FlatYieldGovvieCurve - Class in org.drip.state.nonlinear
-
FlatYieldGovvieCurve manages the Govvie Latent State, using the Flat Yield as the State Response
Representation.
- FlatYieldGovvieCurve(int, String, String, int[], double[]) - Constructor for class org.drip.state.nonlinear.FlatYieldGovvieCurve
-
Construct a Govvie curve from an array of dates and Yields
- flexureConstraint() - Method in class org.drip.spline.params.SegmentStateCalibrationInputs
-
Retrieve the Array of Segment Basis Flexure Constraints
- FliegelvanFlandernJulian - Class in org.drip.sample.date
-
Fliegel van Flandern demonstrates Gregorian To-From Julian Date Conversion Functionality.
- FliegelvanFlandernJulian() - Constructor for class org.drip.sample.date.FliegelvanFlandernJulian
-
- floatCouponConvention() - Method in class org.drip.product.credit.BondComponent
-
- floatCouponConvention() - Method in class org.drip.product.definition.Bond
-
Return the bond's floating coupon convention
- FloaterIndex - Class in org.drip.market.definition
-
FloaterIndex contains the definitions of the floating rate indexes of different jurisdictions.
- FloaterIndex(String, String, String, String, String, int) - Constructor for class org.drip.market.definition.FloaterIndex
-
FloaterIndex Constructor
- floaterIndex() - Method in class org.drip.market.otc.FloatStreamConvention
-
Retrieve the Forward Label
- floaterIndex() - Method in class org.drip.state.identifier.FloaterLabel
-
Retrieve the Floater Index
- floaterLabel() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Return the Floater Label
- floaterLabel() - Method in class org.drip.analytics.cashflow.ReferenceIndexPeriod
-
Retrieve the Floater Label
- floaterLabel() - Method in class org.drip.param.period.ComposableFloatingUnitSetting
-
Retrieve the Floater Label
- floaterLabel() - Method in class org.drip.product.rates.Stream
-
Retrieve the Floater Label
- FloaterLabel - Class in org.drip.state.identifier
-
FloaterLabel is an Abstract Class that underpins the Latent State Labels that use a Single Floater Index.
- FloaterLabel(FloaterIndex, String) - Constructor for class org.drip.state.identifier.FloaterLabel
-
- floaterSetting() - Method in class org.drip.product.credit.BondComponent
-
- floaterSetting() - Method in interface org.drip.product.definition.BondProduct
-
Retrieve the bond floater setting
- FloaterSetting - Class in org.drip.product.params
-
FloaterSetting contains the component's floating rate parameters.
- FloaterSetting(FloaterLabel, String, double, double) - Constructor for class org.drip.product.params.FloaterSetting
-
Construct the FloaterSetting from the Floater Label, the Day Count, the Spread, and the Current Full
CSoupon
- FloatFloat(JulianDate, String, String, String, double) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Construct an OTC Float-Float Swap Instance
- FloatFloat(JulianDate, String, String, String[], double) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Construct an Array of OTC Float-Float Swap Instances
- FloatFloatComponent - Class in org.drip.product.rates
-
FloatFloatComponent contains the implementation of the Float-Float Index Basis Swap product
contract/valuation details.
- FloatFloatComponent(Stream, Stream, CashSettleParams) - Constructor for class org.drip.product.rates.FloatFloatComponent
-
Construct the FloatFloatComponent from the Reference and the Derived Floating Streams.
- FloatFloatFloatFloat - Class in org.drip.sample.cross
-
FloatFloatFloatFloat demonstrates the construction, the usage, and the eventual valuation of the Cross
Currency Basis Swap built out of a pair of float-float swaps.
- FloatFloatFloatFloat() - Constructor for class org.drip.sample.cross.FloatFloatFloatFloat
-
- FloatFloatFloatFloatAnalysis - Class in org.drip.sample.cross
-
FloatFloatFloatFloatAnalysis demonstrates the Funding Volatility, Forward Volatility, FX Volatility,
Funding/Forward Correlation, Funding/FX Correlation, and Forward/FX Correlation of the Cross Currency
Basis Swap built out of a pair of float-float swaps.
- FloatFloatFloatFloatAnalysis() - Constructor for class org.drip.sample.cross.FloatFloatFloatFloatAnalysis
-
- FloatFloatForwardCurve - Class in org.drip.sample.multicurve
-
FloatFloatForwardCurve contains the sample demonstrating the full functionality behind creating highly
customized spline based forward curves.
- FloatFloatForwardCurve() - Constructor for class org.drip.sample.multicurve.FloatFloatForwardCurve
-
- FloatFloatMetricComparison - Class in org.drip.sample.cms
-
FloatFloatMetricComparison demonstrates the Construction and Valuation of an In-Advance and In-Arrears
Variants of the CMS Float-Float Swap.
- FloatFloatMetricComparison() - Constructor for class org.drip.sample.cms.FloatFloatMetricComparison
-
- FloatFloatQuoteSet - Class in org.drip.product.calib
-
FloatFloatQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the
Float-Float Swap Component.
- FloatFloatQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.FloatFloatQuoteSet
-
FloatFloatQuoteSet Constructor
- FloatFloatSwapConvention - Class in org.drip.market.otc
-
FloatFloatSwapConvention contains the Details of the IBOR Float-Float Component of an OTC contact.
- FloatFloatSwapConvention(String, String, boolean, boolean, boolean, boolean, int) - Constructor for class org.drip.market.otc.FloatFloatSwapConvention
-
FloatFloatSwapConvention Constructor
- FloatFloatVarianceAnalysis - Class in org.drip.sample.cms
-
FloatFloatVarianceAnalysis demonstrates the Construction and Valuation Impact of Volatility and
Correlation on the CMS Float-Float Swap.
- FloatFloatVarianceAnalysis() - Constructor for class org.drip.sample.cms.FloatFloatVarianceAnalysis
-
- floating1DAccrualDays() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Floating Accrual Period
- floating1DDCF() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the Period 1D Floating DCF
- floating1MDCF() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the Period 1M Floating DCF
- floating3MDCF() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the Period 3M Floating DCF
- FloatingCompositeUnit(List<Integer>, CompositePeriodSetting, ComposableFloatingUnitSetting) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
-
Construct the List of Composite Floating Period from the corresponding Composable Floating Period
Units
- FloatingCouponBondPeriods - Class in org.drip.sample.cashflow
-
FloatingCouponBondPeriods demonstrates the Cash Flow Period Details for a Floating Coupon Bond.
- FloatingCouponBondPeriods() - Constructor for class org.drip.sample.cashflow.FloatingCouponBondPeriods
-
- FloatingStandard() - Static method in class org.drip.spline.stretch.BoundarySettings
-
Return the Instance of the Standard Floating Boundary Condition
- FloatingStreamQuoteSet - Class in org.drip.product.calib
-
FloatingStreamQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the
Floating Stream.
- FloatingStreamQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.FloatingStreamQuoteSet
-
FloatingStreamQuoteSet Constructor
- FloatingUnits(int, int, ComposableFloatingUnitSetting) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
-
Construct the List of Composable Floating Units from the inputs
- floatSpread() - Method in class org.drip.product.credit.BondComponent
-
- floatSpread() - Method in class org.drip.product.definition.Bond
-
Return the floating spread of the bond
- floatStreamConvention() - Method in class org.drip.market.otc.FixedFloatSwapConvention
-
Retrieve the Float Stream Convention
- FloatStreamConvention - Class in org.drip.market.otc
-
FloatStreamConvention contains the details of the Floating Stream of an OTC IBOR/Overnight fix-float Swap
Contract.
- FloatStreamConvention(ForwardLabel, String) - Constructor for class org.drip.market.otc.FloatStreamConvention
-
FloatStreamConvention Constructor
- floatStreamMPoR() - Method in class org.drip.exposure.generator.FixFloatMPoR
-
Retrieve the Float Stream MPoR
- FloatStreamMPoR - Class in org.drip.exposure.generator
-
FloatStreamMPoR estimates the MPoR Variation Margin and the Trade Payments for the given Float Stream off
of the Realized Market Path.
- FloatStreamMPoR(Stream, double) - Constructor for class org.drip.exposure.generator.FloatStreamMPoR
-
FloatStreamMPoR Constructor
- FokkerPlanckGenerator - Class in org.drip.pricer.option
-
FokkerPlanckGenerator holds the base functionality that the performs the PDF evolution oriented Option
Pricing.
- FokkerPlanckGenerator() - Constructor for class org.drip.pricer.option.FokkerPlanckGenerator
-
- following() - Method in class org.drip.spline.bspline.SegmentBasisFunction
-
Retrieve the Following Predictor Ordinate
- fonc() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions
-
Retrieve the First Order Necessary Condition
- ForeignCollateralDomesticForex - Class in org.drip.sample.piterbarg2012
-
ForeignCollateralDomesticForex demonstrates the construction and the usage of Foreign Currency
Collateralized Domestic Pay-out FX forward product, and generation of its measures.
- ForeignCollateralDomesticForex() - Constructor for class org.drip.sample.piterbarg2012.ForeignCollateralDomesticForex
-
- ForeignCollateralDomesticForexAnalysis - Class in org.drip.sample.piterbarg2012
-
ForeignCollateralDomesticForexAnalysis contains an analysis of the correlation and volatility impact on the
price of a Foreign Collateralized Domestic Pay-out Forex Contract.
- ForeignCollateralDomesticForexAnalysis() - Constructor for class org.drip.sample.piterbarg2012.ForeignCollateralDomesticForexAnalysis
-
- ForeignCollateralizedDiscountCurve - Class in org.drip.state.curve
-
ForeignCollateralizedDiscountCurve computes the discount factor corresponding to one unit of domestic
currency collateralized by a foreign collateral.
- ForeignCollateralizedDiscountCurve(String, MergedDiscountForwardCurve, FXCurve, VolatilityCurve, VolatilityCurve, R1ToR1) - Constructor for class org.drip.state.curve.ForeignCollateralizedDiscountCurve
-
ForeignCollateralizedDiscountCurve constructor
- ForeignCollateralizedDomesticForward - Class in org.drip.product.fx
-
ForeignCollateralizedDomesticForward contains the Foreign Currency Collateralized Domestic Payout FX
forward product contract details.
- ForeignCollateralizedDomesticForward(CurrencyPair, double, JulianDate) - Constructor for class org.drip.product.fx.ForeignCollateralizedDomesticForward
-
Create an ForeignCollateralizedDomesticForward from the currency pair, the strike, and the maturity
dates
- ForeignCollateralizedZeroCoupon - Class in org.drip.sample.piterbarg2012
-
ForeignCollateralizedZeroCoupon contains an analysis of the correlation and volatility impact on the
single cash flow discount factor of a Foreign Collateralized Zero Coupon.
- ForeignCollateralizedZeroCoupon() - Constructor for class org.drip.sample.piterbarg2012.ForeignCollateralizedZeroCoupon
-
- FormatDouble(double, int, int, double, boolean) - Static method in class org.drip.quant.common.FormatUtil
-
Format the double input by multiplying, and then adding left and right adjustments
- FormatDouble(double, int, int, double) - Static method in class org.drip.quant.common.FormatUtil
-
Format the double input by multiplying, and then adding left and right adjustments
- FormatUtil - Class in org.drip.quant.common
-
FormatUtil implements formatting utility functions.
- FormatUtil() - Constructor for class org.drip.quant.common.FormatUtil
-
- FormulationTerm - Class in org.drip.portfolioconstruction.optimizer
-
FormulationTerm holds the Core Objective/Constraint Formulation Terms.
- FormulationTerm(String, String, String, String) - Constructor for class org.drip.portfolioconstruction.optimizer.FormulationTerm
-
- forward(ForwardLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Forward Latent State
- forward() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve the Forward Latent State Node Container
- forward(ForwardLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve of Labeled Forward
- Forward(String[], double[], double[][], double) - Static method in class org.drip.portfolioconstruction.allocator.ForwardReverseOptimizationOutput
-
Construct an Instance of ForwardReverseOptimizationOutput from a Standard Forward Optimize Operation
- forward(int) - Method in class org.drip.state.curve.BasisSplineForwardRate
-
- forward(int, int) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
-
- forward(int, int) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
-
- forward(int, int) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
-
- forward(int, int) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
-
- forward(int, int) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
Compute the Forward Rate between two Dates
- forward(String, String) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
Compute the Forward Rate between two Tenors
- forward(JulianDate) - Method in class org.drip.state.forward.ForwardCurve
-
- forward(String) - Method in class org.drip.state.forward.ForwardCurve
-
- forward(int) - Method in interface org.drip.state.forward.ForwardRateEstimator
-
Calculate the Forward Rate to the given Date
- forward(JulianDate) - Method in interface org.drip.state.forward.ForwardRateEstimator
-
Calculate the Forward Rate to the given date
- forward(String) - Method in interface org.drip.state.forward.ForwardRateEstimator
-
Calculate the Forward Rate to the tenor implied by the given date
- forward(int, int) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
-
- forward(int) - Method in class org.drip.state.nonlinear.FlatForwardForwardCurve
-
- FORWARD_PRICE_CREDIT_BASIS - Static variable in class org.drip.product.govvie.TreasuryFutures
-
- FORWARD_PRICE_OAS - Static variable in class org.drip.product.govvie.TreasuryFutures
-
- FORWARD_PRICE_YIELD - Static variable in class org.drip.product.govvie.TreasuryFutures
-
- FORWARD_PRICE_ZSPREAD - Static variable in class org.drip.product.govvie.TreasuryFutures
-
- FORWARD_QM_CONTINUOUSLY_COMPOUNDED_FORWARD_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
-
Forward Latent State Quantification Metric - Continuously Compounded Forward Rate
- FORWARD_QM_FORWARD_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
-
Forward Latent State Quantification Metric - Forward Rate
- FORWARD_QM_INSTANTANEOUS_EFFECTIVE_FORWARD_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
-
Forward Latent State Quantification Metric - Instantaneous Effective Annual Forward Rate
- FORWARD_QM_INSTANTANEOUS_FORWARD_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
-
Forward Latent State Quantification Metric - Instantaneous Forward Rate
- FORWARD_QM_INSTANTANEOUS_NOMINAL_FORWARD_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
-
Forward Latent State Quantification Metric - Instantaneous Nominal Annual Forward Rate
- FORWARD_QM_LIBOR_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
-
Forward Latent State Quantification Metric - LIBOR Rate
- FORWARD_QM_SHIFTED_FORWARD_RATE - Static variable in class org.drip.analytics.definition.LatentStateStatic
-
Forward Latent State Quantification Metric - Shifted Forward Rate
- ForwardBondCreditPrice(Bond, ValuationParams, ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Static method in class org.drip.analytics.support.FuturesHelper
-
Compute the Forward Bond Price Using the Implied Bond Credit Basis
- ForwardBondCreditPrice(Bond, JulianDate, JulianDate, CurveSurfaceQuoteContainer, double) - Static method in class org.drip.analytics.support.FuturesHelper
-
Compute the Forward Bond Price Using the Implied Bond Credit Basis
- ForwardBondOASPrice(Bond, ValuationParams, ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Static method in class org.drip.analytics.support.FuturesHelper
-
Compute the Forward Bond Price Using the Implied Bond OAS
- ForwardBondOASPrice(Bond, JulianDate, JulianDate, CurveSurfaceQuoteContainer, double) - Static method in class org.drip.analytics.support.FuturesHelper
-
Compute the Forward Bond Price Using the Implied Bond OAS
- ForwardBondYieldPrice(Bond, ValuationParams, ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Static method in class org.drip.analytics.support.FuturesHelper
-
Compute the Forward Bond Price Using the Implied Bond Yield
- ForwardBondYieldPrice(Bond, JulianDate, JulianDate, CurveSurfaceQuoteContainer, double) - Static method in class org.drip.analytics.support.FuturesHelper
-
Compute the Forward Bond Price Using the Implied Bond Yield
- ForwardBondZSpreadPrice(Bond, ValuationParams, ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Static method in class org.drip.analytics.support.FuturesHelper
-
Compute the Forward Bond Price Using the Implied Bond Z Spread
- ForwardBondZSpreadPrice(Bond, JulianDate, JulianDate, CurveSurfaceQuoteContainer, double) - Static method in class org.drip.analytics.support.FuturesHelper
-
Compute the Forward Bond Price Using the Implied Bond Z Spread
- ForwardContract - Class in org.drip.sample.piterbarg2010
-
ForwardContract examines the Valuation of Forward Contract under CSA and non-CSA Settle Agreements.
- ForwardContract() - Constructor for class org.drip.sample.piterbarg2010.ForwardContract
-
- forwardCurve() - Method in class org.drip.dynamics.lmm.BGMCurveUpdate
-
Retrieve the LIBOR Forward Curve
- forwardCurve() - Method in class org.drip.dynamics.lmm.LognormalLIBORPointEvolver
-
Retrieve the Forward Curve Instance
- ForwardCurve(JulianDate, ForwardLabel, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, MergedDiscountForwardCurve, ForwardCurve, SegmentCustomBuilderControl) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Instance of the Forward Curve off of Exchange/OTC Market Instruments
- ForwardCurve(JulianDate, ForwardLabel, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, MergedDiscountForwardCurve, ForwardCurve, int) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Instance of the Smooth/Shape Preserving Forward Curve off of Exchange/OTC Market
Instruments
- ForwardCurve - Class in org.drip.state.forward
-
ForwardCurve is the stub for the forward curve functionality.
- ForwardCurve(int, ForwardLabel) - Constructor for class org.drip.state.forward.ForwardCurve
-
- forwardCurveIncrement() - Method in class org.drip.dynamics.lmm.BGMCurveUpdate
-
Retrieve the LIBOR Forward Curve Increment Span
- ForwardCurveReferenceComponentBasis(String, String, JulianDate, MergedDiscountForwardCurve, ForwardCurve, ForwardCurve, MergedDiscountForwardCurve, ForwardCurve, double, SegmentCustomBuilderControl, String[], double[], boolean) - Static method in class org.drip.sample.dual.CCBSForwardCurve
-
- ForwardDecompositionUtil - Class in org.drip.analytics.support
-
ForwardDecompositionUtil contains the utility functions needed to carry out periodic decomposition at MTM
sync points for the given stream.
- ForwardDecompositionUtil() - Constructor for class org.drip.analytics.support.ForwardDecompositionUtil
-
- ForwardDerivedBasisSensitivity - Class in org.drip.sample.sensitivity
-
ForwardDerivedBasisSensitivity contains the sample demonstrating the full functionality behind creating
highly customized spline based forward curves.
- ForwardDerivedBasisSensitivity() - Constructor for class org.drip.sample.sensitivity.ForwardDerivedBasisSensitivity
-
- ForwardEdgeDates(JulianDate, JulianDate, String, DateAdjustParams, int) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
-
Generate a list of period edge dates forward from the start.
- ForwardEdgeDates(int, int, String, DateAdjustParams, int) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
-
Generate a list of period edge dates forward from the start.
- forwardExists(ForwardLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Indicate if the Forward Latent State Exists
- forwardForwardCorrelation(ForwardLabel, ForwardLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Pair of Forward Latent States
- forwardFunding() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
Retrieve the Forward/Funding Convexity Adjustment
- forwardFunding() - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Retrieve the Forward/Funding Convexity Adjustment
- forwardFundingCorrelation(ForwardLabel, FundingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Forward and the Funding Latent States
- forwardFundingPRWC(int, CurveSurfaceQuoteContainer, ProductQuoteSet) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Generate the Merged Forward/Funding Predictor/Response Constraint
- ForwardFundingStretchSpec(String, CalibratableComponent[], String[], double[]) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
-
Construct a Merged Forward-Funding Latent State Stretch Spec Instance
- ForwardFundingStretchSpec(String, CalibratableComponent[], String, double[]) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
-
Construct a Merged Forward-Funding Latent State Stretch Spec Instance
- forwardFundingTenorCSQCDown() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Map of the Tenor Bumped Down Instances of the Forward Funding Curve CSQC
- forwardFundingTenorCSQCUp() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Map of the Tenor Bumped Up Instances of the Forward Funding Curve CSQC
- forwardFX() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
Retrieve the Forward/FX Convexity Adjustment
- forwardFX() - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Retrieve the Forward/FX Convexity Adjustment
- forwardFXCorrelation(ForwardLabel, FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Forward and the FX Latent State Labels
- forwardGovvieCorrelation(ForwardLabel, GovvieLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Forward and the Govvie Latent States
- ForwardGovvieYield - Class in org.drip.sample.intexfeed
-
ForwardGovvieYield generates the Forward Govvie Yields over Monthly Increments with Maturity up to 60Y for
different Govvie Tenors.
- ForwardGovvieYield() - Constructor for class org.drip.sample.intexfeed.ForwardGovvieYield
-
- ForwardHazardCreditCurve - Class in org.drip.state.nonlinear
-
ForwardHazardCreditCurve manages the Survival Latent State, using the Hazard Rate as the State Response
Representation.
- ForwardHazardCreditCurve(int, EntityCDSLabel, String, double[], int[], double[], int[], int) - Constructor for class org.drip.state.nonlinear.ForwardHazardCreditCurve
-
Create a credit curve from hazard rate and recovery rate term structures
- ForwardJack(JulianDate, String, ForwardCurve, String) - Static method in class org.drip.sample.forward.IBORCurve
-
- forwardLabel() - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
-
Retrieve the Forward Label
- forwardLabel() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateEvolver
-
Retrieve the Forward Label
- forwardLabel() - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
-
Retrieve the Forward Label
- forwardLabel() - Method in class org.drip.dynamics.lmm.LognormalLIBORPointEvolver
-
Retrieve the Forward Label
- forwardLabel() - Method in class org.drip.dynamics.lmm.LognormalLIBORVolatility
-
Retrieve the Forward Label
- forwardLabel() - Method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
-
Retrieve the Forward Label
- forwardLabel() - Method in class org.drip.product.calib.ProductQuoteSet
-
Retrieve the Forward Latent State Label, if it exists
- forwardLabel() - Method in class org.drip.product.credit.BondComponent
-
- forwardLabel() - Method in class org.drip.product.credit.CDSComponent
-
- forwardLabel() - Method in interface org.drip.product.definition.BasketMarketParamRef
-
Get the Array of Forward Labels
- forwardLabel() - Method in class org.drip.product.definition.BasketProduct
-
- forwardLabel() - Method in interface org.drip.product.definition.ComponentMarketParamRef
-
Get the Map of Forward Latent State Labels
- forwardLabel() - Method in class org.drip.product.fx.FXForwardComponent
-
- forwardLabel() - Method in class org.drip.product.govvie.TreasuryFutures
-
- forwardLabel() - Method in class org.drip.product.option.OptionComponent
-
- forwardLabel() - Method in class org.drip.product.rates.FixFloatComponent
-
- forwardLabel() - Method in class org.drip.product.rates.FloatFloatComponent
-
- forwardLabel() - Method in class org.drip.product.rates.RatesBasket
-
- forwardLabel() - Method in class org.drip.product.rates.SingleStreamComponent
-
- forwardLabel() - Method in class org.drip.product.rates.Stream
-
Retrieve the Forward Label, if Present
- ForwardLabel - Class in org.drip.state.identifier
-
ForwardLabel contains the Index Parameters referencing a payment on a Forward Index.
- ForwardLabel(FloaterIndex, String) - Constructor for class org.drip.state.identifier.ForwardLabel
-
- forwardMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Forward Evolver Map
- forwardOvernightCorrelation(ForwardLabel, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Forward and the Overnight Latent States
- forwardPaydownCorrelation(ForwardLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Forward and the Pay-down Latent States
- forwardPrice() - Method in class org.drip.analytics.output.BondEOSMetrics
-
Retrieve the Path/Vertex Forward Price Double Array
- forwardPrice() - Method in class org.drip.product.params.CTDEntry
-
Retrieve the CTD Forward Price
- forwardPRWC(int, CurveSurfaceQuoteContainer, ProductQuoteSet) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Generate the Forward Predictor/Response Constraint
- forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.BondComponent
-
- forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.CDSComponent
-
- forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.definition.CalibratableComponent
-
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Forward
Factor Latent State from the Component's Cash Flows.
- forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.fra.FRAStandardComponent
-
- forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.fx.FXForwardComponent
-
- forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.option.OptionComponent
-
- forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FixFloatComponent
-
- forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FloatFloatComponent
-
- forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.RatesBasket
-
- forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.SingleStreamComponent
-
- forwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.Stream
-
Generate the State Loading Constraints for the Forward Latent State
- forwardRate() - Method in class org.drip.dynamics.sabr.ForwardRateUpdate
-
Retrieve the Forward Rate
- forwardRate() - Method in class org.drip.product.calib.DepositComponentQuoteSet
-
Retrieve the Forward Rate
- forwardRate() - Method in class org.drip.product.calib.FloatingStreamQuoteSet
-
Retrieve the Forward Rate
- ForwardRateDeposit(JulianDate, String, ForwardLabel) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Construct an OTC Forward Deposit Instrument from Spot Date and the Maturity Tenor
- ForwardRateDeposit(JulianDate, String[], ForwardLabel) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Construct an Array of OTC Forward Deposit Instruments from the corresponding Maturity Tenors
- forwardRateEstimator(int, ForwardLabel) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
-
- forwardRateEstimator(int, ForwardLabel) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
-
- forwardRateEstimator(int, ForwardLabel) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
-
- forwardRateEstimator(int, ForwardLabel) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
-
- forwardRateEstimator(int, ForwardLabel) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
Retrieve the Forward Curve that might be implied by the Latent State of this Discount Curve Instance
corresponding to the specified Floating Rate Index
- ForwardRateEstimator - Interface in org.drip.state.forward
-
ForwardRateEstimator is the interface that exposes the calculation of the Forward Rate for a specific
Index.
- forwardRateEstimator(int, ForwardLabel) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
-
- ForwardRateEvolution - Class in org.drip.sample.sabr
-
ForwardRateEvolution demonstrates the Construction and Usage of the SABR Model Dynamics for the Evolution
of Forward Rate.
- ForwardRateEvolution() - Constructor for class org.drip.sample.sabr.ForwardRateEvolution
-
- ForwardRateFuturePeriods - Class in org.drip.sample.cashflow
-
ForwardRateFuturePeriods demonstrates the Cash Flow Period Details for a Forward Rate Futures Instrument.
- ForwardRateFuturePeriods() - Constructor for class org.drip.sample.cashflow.ForwardRateFuturePeriods
-
- ForwardRateFutures(JulianDate, ForwardLabel) - Static method in class org.drip.product.creator.SingleStreamComponentBuilder
-
Create a Forward Rate Futures Product Instance from the Spot Date and the Forward Label
- ForwardRateFutures(JulianDate, String) - Static method in class org.drip.service.template.ExchangeInstrumentBuilder
-
Generate a Forward Rate Futures Contract corresponding to the Spot Date
- ForwardRateFuturesClient - Class in org.drip.sample.service
-
ForwardRateFuturesClient demonstrates the Invocation and Examination of the JSON-based Forward Rate
Futures Valuation Service Client.
- ForwardRateFuturesClient() - Constructor for class org.drip.sample.service.ForwardRateFuturesClient
-
- ForwardRateFuturesCode(String, int) - Static method in class org.drip.product.creator.SingleStreamComponentBuilder
-
Construct the Forward Rate Futures Code given a Effective Date
- ForwardRateFuturesPack(JulianDate, int, String) - Static method in class org.drip.product.creator.SingleStreamComponentBuilder
-
Generate a Forward Rate Futures Pack corresponding to the Specified Number of Contracts
- ForwardRateFuturesPack(JulianDate, int, String) - Static method in class org.drip.service.template.ExchangeInstrumentBuilder
-
Generate a Forward Rate Futures Pack corresponding to the Spot Date and the Specified Number of
Contracts
- ForwardRateFuturesProcessor - Class in org.drip.service.json
-
ForwardRateFuturesProcessor Sets Up and Executes a JSON Based In/Out Forward Rate Futures Valuation
Processor.
- ForwardRateFuturesProcessor() - Constructor for class org.drip.service.json.ForwardRateFuturesProcessor
-
- forwardRateIncrement() - Method in class org.drip.dynamics.sabr.ForwardRateUpdate
-
Retrieve the Forward Rate Increment
- ForwardRates - Class in org.drip.service.api
-
ForwardRates contains the array of the forward rates.
- ForwardRates() - Constructor for class org.drip.service.api.ForwardRates
-
Empty ForwardRates constructor
- ForwardRateUpdate - Class in org.drip.dynamics.sabr
-
ForwardRateUpdate contains the Increment and Snapshot of the Forward Rate Latent State evolved through
the SABR Dynamics.
- forwardRateVolatility() - Method in class org.drip.dynamics.sabr.ForwardRateUpdate
-
Retrieve the Forward Rate Volatility
- ForwardRateVolatilityCurve(JulianDate, ForwardLabel, boolean, String[], double[], double[], String, MergedDiscountForwardCurve, ForwardCurve) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Forward Rate Volatility Latent State Construction from Cap/Floor Instruments
- forwardRateVolatilityIncrement() - Method in class org.drip.dynamics.sabr.ForwardRateUpdate
-
Retrieve the Forward Rate Volatility Increment
- forwardRatingCorrelation(ForwardLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Forward and the Rating Latent States
- forwardRecoveryCorrelation(ForwardLabel, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Forward and the Recovery Latent States
- ForwardReferenceBasisSensitivity - Class in org.drip.sample.sensitivity
-
ForwardReferenceBasisSensitivity contains the sample demonstrating the full functionality behind creating
highly customized spline based forward curves.
- ForwardReferenceBasisSensitivity() - Constructor for class org.drip.sample.sensitivity.ForwardReferenceBasisSensitivity
-
- forwardRepoCorrelation(ForwardLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Forward and the Repo Latent States
- ForwardReverseOptimizationOutput - Class in org.drip.portfolioconstruction.allocator
-
ForwardReverseOptimizationOutput holds the Metrics that result from a Forward/Reverse Optimization Run.
- ForwardReverseOptimizationOutput(Portfolio, PortfolioMetrics, double, double[][], double[]) - Constructor for class org.drip.portfolioconstruction.allocator.ForwardReverseOptimizationOutput
-
ForwardReverseOptimizationOutput Constructor
- forwardState(ForwardLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Forward State corresponding to the Label
- ForwardStretchSpec(String, CalibratableComponent[], String[], double[]) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
-
Construct a Forward Latent State Stretch Spec Instance
- ForwardStretchSpec(String, CalibratableComponent[], String, double[]) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
-
Construct a Forward Latent State Stretch Spec Instance
- ForwardSwapRate - Class in org.drip.sample.intexfeed
-
ForwardSwapRate generates the Forward Swap Rates over Monthly Increments with Maturity up to 60 Years for
different Swap Tenors.
- ForwardSwapRate() - Constructor for class org.drip.sample.intexfeed.ForwardSwapRate
-
- forwardVolatility(ForwardLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Volatility Curve for the specified Forward Latent State Label
- ForwardVolatilityState - Class in org.drip.template.state
-
ForwardVolatilityState sets up the Calibration and the Construction of the Volatility Latent State for the
Forward Latent State and examine the Emitted Metrics.
- ForwardVolatilityState() - Constructor for class org.drip.template.state.ForwardVolatilityState
-
- ForwardVolatilityStateShifted - Class in org.drip.template.statebump
-
ForwardVolatilityStateShifted demonstrates the Generation and the Usage of Tenor Bumped Forward Volatility
Curves.
- ForwardVolatilityStateShifted() - Constructor for class org.drip.template.statebump.ForwardVolatilityStateShifted
-
- forwardYield(int, int) - Method in class org.drip.state.govvie.GovvieCurve
-
- forwardYield(int, int) - Method in interface org.drip.state.govvie.YieldEstimator
-
Estimate the Forward Yield between the specified Dates
- Foshan - Class in org.drip.sample.bondeos
-
Foshan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Foshan.
- Foshan() - Constructor for class org.drip.sample.bondeos.Foshan
-
- FourDSDMapToFlatString(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>>, String, String, String) - Static method in class org.drip.quant.common.CollectionUtil
-
Flatten a 4D SSSD map structure onto a string array
- fra() - Method in class org.drip.product.fra.FRAStandardCapFloorlet
-
Retrieve the Underlying FRA Instance
- FRAComponentQuoteSet - Class in org.drip.product.calib
-
FRAComponentQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the FRA
Component.
- FRAComponentQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.FRAComponentQuoteSet
-
FRAComponentQuoteSet Constructor
- FRAMarket(JulianDate, ForwardLabel, double) - Static method in class org.drip.product.creator.SingleStreamComponentBuilder
-
Create a FRA Market Component Instance from the Spot Date, the Forward Label, and the Strike
- FRAMarketComponent - Class in org.drip.product.fra
-
FRAMarketComponent contains the implementation of the Standard Multi-Curve FRA product whose payoff is
dictated off of Market FRA Conventions.
- FRAMarketComponent(String, Stream, double, CashSettleParams) - Constructor for class org.drip.product.fra.FRAMarketComponent
-
FRAMarketComponent constructor
- FRAMarketPeriods - Class in org.drip.sample.cashflow
-
FRAMarketPeriods demonstrates the Cash Flow Period Details for a Market FRA.
- FRAMarketPeriods() - Constructor for class org.drip.sample.cashflow.FRAMarketPeriods
-
- FRAMktMetric(JulianDate, MergedDiscountForwardCurve, ForwardCurve, String, VolatilityCurve, VolatilityCurve, double) - Static method in class org.drip.sample.fra.MultiCurveFRAMarketAnalysis
-
- fraRate() - Method in class org.drip.product.calib.FRAComponentQuoteSet
-
Retrieve the FRA Rate
- FRAStandard(JulianDate, ForwardLabel, double) - Static method in class org.drip.product.creator.SingleStreamComponentBuilder
-
Create a Standard FRA from the Spot Date, the Forward Label, and the Strike
- FRAStandard(JulianDate, ForwardLabel, String, double) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Create a Standard FRA from the Spot Date, the Forward Label, and the Strike
- FRAStandard(JulianDate, ForwardLabel, String[], double[]) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Create an Array of Standard FRAs from the Spot Date, the Forward Label, and the Strike
- FRAStandardCapFloor - Class in org.drip.product.fra
-
FRAStandardCapFloor implements the Caps and Floors on the Standard FRA.
- FRAStandardCapFloor(String, Stream, String, boolean, double, LastTradingDateSetting, CashSettleParams, FokkerPlanckGenerator) - Constructor for class org.drip.product.fra.FRAStandardCapFloor
-
FRAStandardCapFloor constructor
- FRAStandardCapFloorlet - Class in org.drip.product.fra
-
FRAStandardCapFloorlet implements the Standard FRA Caplet and Floorlet.
- FRAStandardCapFloorlet(String, FRAStandardComponent, String, boolean, double, double, LastTradingDateSetting, FokkerPlanckGenerator, CashSettleParams) - Constructor for class org.drip.product.fra.FRAStandardCapFloorlet
-
FRAStandardCapFloorlet constructor
- FRAStandardComponent - Class in org.drip.product.fra
-
FRAStandardComponent contains the implementation of the Standard Multi-Curve FRA Component.
- FRAStandardComponent(String, Stream, double, CashSettleParams) - Constructor for class org.drip.product.fra.FRAStandardComponent
-
FRAStandardComponent constructor
- FRAStandardOption - Class in org.drip.sample.fra
-
FRAStandardOption contains the demonstration of the Valuation of an Option on a Multi-Curve FRA Standard.
- FRAStandardOption() - Constructor for class org.drip.sample.fra.FRAStandardOption
-
- FRAStandardOptionAnalysis - Class in org.drip.sample.fra
-
FRAStandardOptionAnalysis contains the demonstration of the custom volatility-correlation analysis of
Option on a Standard Multi-Curve FRA.
- FRAStandardOptionAnalysis() - Constructor for class org.drip.sample.fra.FRAStandardOptionAnalysis
-
- FRAStandardPeriods - Class in org.drip.sample.cashflow
-
FRAStandardPeriods demonstrates the Cash Flow Period Details for a Standard FRA.
- FRAStandardPeriods() - Constructor for class org.drip.sample.cashflow.FRAStandardPeriods
-
- FRAStdCapFloor - Class in org.drip.sample.capfloor
-
FRAStdCapFloor demonstrates the creation, invocation, usage, and valuation of the FRA Cap/Floor.
- FRAStdCapFloor() - Constructor for class org.drip.sample.capfloor.FRAStdCapFloor
-
- FRAStdCapFloorAnalysis - Class in org.drip.sample.capfloor
-
FRAStdCapFloorAnalysis contains an analysis if the correlation and volatility impact on a Cap/Floor of
the standard FRA.
- FRAStdCapFloorAnalysis() - Constructor for class org.drip.sample.capfloor.FRAStdCapFloorAnalysis
-
- FRAStdCapModels - Class in org.drip.sample.capfloor
-
FRAStdCapModels runs a side-by-side comparison of the FRA Cap sequence using different models.
- FRAStdCapModels() - Constructor for class org.drip.sample.capfloor.FRAStdCapModels
-
- FRAStdCapMonteCarlo - Class in org.drip.sample.capfloor
-
FRAStdCapMonteCarlo demonstrates the steps associated with a LMM-Based Monte-Carlo pricing of a FRA Cap.
- FRAStdCapMonteCarlo() - Constructor for class org.drip.sample.capfloor.FRAStdCapMonteCarlo
-
- FRAStdCapSequence - Class in org.drip.sample.capfloor
-
FRAStdCapSequence demonstrates the Product Creation, Market Parameters Construction, and Valuation of a
Sequence of Standard FRA Caps.
- FRAStdCapSequence() - Constructor for class org.drip.sample.capfloor.FRAStdCapSequence
-
- freq() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
-
Retrieve the Coupon Frequency
- freq() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Retrieve the Coupon Frequency
- freq() - Method in class org.drip.analytics.daycount.ActActDCParams
-
Retrieve the Frequency
- freq() - Method in class org.drip.param.period.CompositePeriodSetting
-
Retrieve the Frequency
- freq() - Method in class org.drip.param.period.UnitCouponAccrualSetting
-
Retrieve the Coupon Frequency
- freq() - Method in class org.drip.param.quoting.YieldInterpreter
-
Retrieve the Frequency
- freq() - Method in class org.drip.product.credit.BondComponent
-
- freq() - Method in class org.drip.product.credit.CDSComponent
-
- freq() - Method in class org.drip.product.definition.Bond
-
Return the bond's coupon frequency
- freq() - Method in class org.drip.product.definition.Component
-
Retrieve the Coupon Frequency
- freq() - Method in class org.drip.product.fx.FXForwardComponent
-
- freq() - Method in class org.drip.product.govvie.TreasuryFutures
-
- freq() - Method in class org.drip.product.option.OptionComponent
-
- freq() - Method in class org.drip.product.rates.FixFloatComponent
-
- freq() - Method in class org.drip.product.rates.FloatFloatComponent
-
- freq() - Method in class org.drip.product.rates.RatesBasket
-
- freq() - Method in class org.drip.product.rates.SingleStreamComponent
-
- freq() - Method in class org.drip.product.rates.Stream
-
Retrieve the Stream Frequency
- freq() - Method in class org.drip.state.govvie.GovvieCurve
-
Retrieve the Yield Frequency
- frequency() - Method in class org.drip.assetbacked.loan.Coupon
-
Retrieve the Loan Coupon Frequency
- frequency() - Method in class org.drip.market.issue.TreasurySetting
-
Retrieve the Frequency
- frequency() - Method in class org.drip.market.otc.CreditIndexConvention
-
Retrieve the Coupon Frequency
- FRFHoliday - Class in org.drip.analytics.holset
-
- FRFHoliday() - Constructor for class org.drip.analytics.holset.FRFHoliday
-
- fri() - Method in class org.drip.product.params.FloaterSetting
-
Retrieve the Floater Label
- FRIDAY - Static variable in class org.drip.analytics.date.DateUtil
-
Days of the week - Friday
- FritzJohnMultipliers - Class in org.drip.optimization.constrained
-
FritzJohnMultipliers holds the Array of the Fritz John/KKT Multipliers for the Array of the Equality and
the Inequality Constraints, one per each Constraint.
- FritzJohnMultipliers(double, double[], double[]) - Constructor for class org.drip.optimization.constrained.FritzJohnMultipliers
-
FritzJohnMultipliers Constructor
- fritzJohnMultipliers() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions
-
Retrieve the Fritz John Mutipliers
- FromAmerican(int, int[], double[], boolean, int, boolean, double, String, double) - Static method in class org.drip.product.params.EmbeddedOptionSchedule
-
Create the discretized American EOS schedule from the array of dates and factors
- FromAmerican(int, int[], double[], boolean, int, int, boolean, double, String, double) - Static method in class org.drip.product.params.EmbeddedOptionSchedule
-
Create the discretized American EOS schedule from the array of dates and factors
- FromAnnualReturnsSettings(double, double, double, double) - Static method in class org.drip.execution.parameters.ArithmeticPriceDynamicsSettings
-
Construct the Asset Dynamics Settings from the Annual Returns Parameters
- FromArray(double[], double[]) - Static method in class org.drip.quant.common.Array2D
-
Create the Array2D Instance from a Matched Array of X and Y
- FromArray(int[], double[]) - Static method in class org.drip.quant.common.Array2D
-
Create the Array2D Instance from a Matched Array of X and Y
- fromBack() - Method in class org.drip.analytics.eventday.DateInMonth
-
Retrieve the Flag indicating whether the Lag is from the Front/Back
- FromBaseCurve(int, String, String, boolean, List<CompositePeriod>, int, int, int, DiscountCurve, double, ValuationCustomizationParams, SegmentCustomBuilderControl) - Static method in class org.drip.state.curve.DerivedZeroRate
-
Construct an Instance from the Input Curve and the related Parameters
- FromBracketingCustomBCP(BracketingControlParams) - Static method in class org.drip.function.r1tor1solver.InitializationHeuristics
-
Construct an Initialization Heuristics Instance from Custom Bracketing Control Parameters
- FromBracketingEdgeHints(double, double) - Static method in class org.drip.function.r1tor1solver.InitializationHeuristics
-
Construct an Initialization Heuristics Instance from the bracketing edge soft hints
- FromBracketingFloorCeiling(double, double) - Static method in class org.drip.function.r1tor1solver.InitializationHeuristics
-
Construct an Initialization Heuristics Instance from the bracketing hard floor/ceiling
- FromBracketingMidHint(double) - Static method in class org.drip.function.r1tor1solver.InitializationHeuristics
-
Construct an Initialization Heuristics Instance from the bracketing mid hint
- FromCode(String) - Static method in class org.drip.product.params.CurrencyPair
-
Construct the Currency Pair from the Code
- FromCode(String, JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder
-
Construct an Instance of the Treasury Bond From the Code
- FromCode(String, JulianDate[], JulianDate[], double[]) - Static method in class org.drip.service.template.TreasuryBuilder
-
Construct an Array of the Treasury Instances from the Code
- FromConfidence(MultivariateMeta, double[], double[][], double[][], double) - Static method in class org.drip.measure.bayesian.ProjectionDistributionLoading
-
Generate the ProjectionDistributionLoading Instance from the Confidence Level
- FromContract(String) - Static method in class org.drip.market.exchange.TreasuryFuturesOptionContainer
-
Retrieve the Treasury Futures Option Convention from the Contract Name
- FromDateAmountVertex(String, int, double) - Static method in class org.drip.quant.common.Array2D
-
Generate the Array2D Schedule from the String Representation of the Vertex Dates and Edge Payments
Combination.
- FromDateFactorVertex(String, int, double) - Static method in class org.drip.quant.common.Array2D
-
Generate an Array2D Instance from the String Array containing semi-colon delimited Date/Factor Vertex
Pair
- FromDateFactorVertex(String, int) - Static method in class org.drip.quant.common.Array2D
-
Generate an Array2D Instance from the String Array containing semi-colon delimited Date/Factor Vertex
Pair
- FromDiscountCurve(int, String, String, boolean, List<CompositePeriod>, int, int, int, DiscountCurve, double, ValuationCustomizationParams, SegmentCustomBuilderControl) - Static method in class org.drip.state.curve.DerivedZeroRate
-
Construct an Instance from the Discount Curve and the related Parameters
- FromExponentialPrimitive(ExponentialTensionSetParams) - Static method in class org.drip.spline.tension.KochLycheKvasovFamily
-
Implement the Basis Function Set from the Cubic Polynomial Numerator and Exponential Denominator
- FromFirstPenultimateCouponDate(int, int, int, int, int, int, double, String, String, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, DateAdjustParams, String, boolean, String, String, FloaterLabel, EntityCDSLabel) - Static method in class org.drip.product.params.BondStream
-
Construct an Instance of BondStream from the First/Penultimate Dates using the specified Parameters
- FromFlatForm(double[][]) - Static method in class org.drip.measure.discrete.VertexRd
-
Construct a VertexRd Instance from the R^d Sequence
- FromFrequency(int) - Static method in class org.drip.analytics.daycount.ActActDCParams
-
Construct an ActActDCParams from the specified Frequency
- FromGovvieCurve(int, String, String, boolean, List<CompositePeriod>, int, int, int, GovvieCurve, double, ValuationCustomizationParams, SegmentCustomBuilderControl) - Static method in class org.drip.state.curve.DerivedZeroRate
-
Construct an Instance from the Govvie Curve and the related Parameters
- FromHardSearchEdges(double, double) - Static method in class org.drip.function.r1tor1solver.InitializationHeuristics
-
Construct an Initialization Heuristics Instance from the hard search edges
- FromHyperbolicPrimitive(ExponentialTensionSetParams) - Static method in class org.drip.spline.tension.KochLycheKvasovFamily
-
Implement the Basis Function Set from the Hyperbolic Hat Primitive Set
- FromIRCSG(String, CalibratableComponent[]) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
Create an DiscountCurveScenarioContainer Instance from the currency and the array of the calibration
instruments
- FromJurisdictionTypeMaturity(String, String, String, String) - Static method in class org.drip.market.exchange.TreasuryFuturesConventionContainer
-
Retrieve the Treasury Futures Convention from the Currency, the Type, the Sub-type, and the Maturity
Tenor
- FromList(List<Double>) - Static method in class org.drip.measure.statistics.UnivariateDiscreteThin
-
Generate a UnivariateDiscreteThin Instance from the specified List of Double's
- FromMarketVertexArray(MarketVertex[]) - Static method in class org.drip.exposure.universe.MarketPath
-
Generate the Market Path from Market Vertex Array
- FromMDY(String, String) - Static method in class org.drip.analytics.date.DateUtil
-
Create a JulianDate from the MDY
- FromMultivariateMetrics(MultivariateMoments) - Static method in class org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
-
Construct an Instance of AUSP from the corresponding MultivariateMetrics Instance
- FromPredictorResponsePair(double, double) - Static method in class org.drip.spline.params.SegmentResponseValueConstraint
-
Generate a SegmentResponseValueConstraint instance from the given predictor/response pair.
- FromRationalLinearPrimitive(ExponentialTensionSetParams) - Static method in class org.drip.spline.tension.KochLycheKvasovFamily
-
Implement the Basis Function Set from the Cubic Polynomial Numerator and Linear Rational Denominator
- FromRationalQuadraticPrimitive(ExponentialTensionSetParams) - Static method in class org.drip.spline.tension.KochLycheKvasovFamily
-
Implement the Basis Function Set from the Cubic Polynomial Numerator and Quadratic Rational
Denominator
- FromStringSet(String, String) - Static method in class org.drip.quant.common.Array2D
-
Create the Array2D Instance from a Matched String Array of X and Y
- FromTenor(JulianDate, String[]) - Static method in class org.drip.analytics.support.Helper
-
Convert the Array of Tenors into Dates off of a Spot
- FromUnitRandom(List<LatentStateLabel>, double[][]) - Static method in class org.drip.exposure.universe.LatentStateWeiner
-
Construct an Instance of LatentStateWeiner from the Arrays of Latent State and their Weiner Increments
- FromXYDeltaArray(double[], double[], double) - Static method in class org.drip.quant.common.Array2D
-
Create the Array2D Instance from a Matched Array of X and Y Deltas
- FRTR(JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder
-
Construct an Instance of the French Treasury EUR FRTR Bond
- ftdcolva() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
-
Retrieve the Expected Bilateral Collateral VA
- ftdcolva() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
-
Retrieve the Univariate Thin Statistics for Bilateral Collateral VA
- FTDCVA(double) - Static method in class org.drip.xva.basel.ValueAdjustment
-
Construct the FTDCVA Value Adjustment Instance
- ftdcva() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
-
Retrieve the Expected Bilateral/FTD CVA
- ftdcva() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
-
Retrieve the Univariate Thin Statistics for FTD CVA
- ftddva() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
-
Retrieve the Expected Bilateral DVA
- FULL_FRONT_PERIOD - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
-
Period Set Generation Customization - Merge the front periods to produce a long front
- fullConfidenceOutput() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput
-
Retrieve the Full Projection Confidence Black Litterman Run Output
- fullConfidenceRun() - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanCombinationEngine
-
Conduct a Black Litterman Run using a Theil-like Mixed Model Estimator For 100% Confidence in the
Projection
- fullCouponDCF() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
-
Retrieve the Period Full Coupon DCF
- fullCouponRate(CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
-
Get the Period Full Coupon Rate
- fullName() - Method in class org.drip.market.otc.CreditIndexConvention
-
Retrieve the Full Name of the Credit Index
- fullProjectionConfidenceDeviation() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput
-
Retrieve the Full Projection Induced Equilibrium Asset Deviation Array
- fullProjectionConfidenceWeight() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput
-
Retrieve the Full Projection Induced Equilibrium Asset Weight Array
- FULLY_INVESTED_CONSTRAINT - Static variable in class org.drip.portfolioconstruction.allocator.PortfolioEqualityConstraintSettings
-
FULLY_INVESTED_CONSTRAINT - The Mandatory Completely Invested Constraint
- FullyInvested() - Static method in class org.drip.portfolioconstruction.allocator.PortfolioEqualityConstraintSettings
-
Construct a Fully Invested Instance of PortfolioEqualityConstraintSettings
- fullyInvestedConstraint() - Method in class org.drip.portfolioconstruction.allocator.PortfolioConstructionParameters
-
Retrieve the Fully Invested Equality Constraint
- fullyQualifiedName() - Method in class org.drip.market.exchange.FuturesOptions
-
Retrieve the Fully Qualified Name
- fullyQualifiedName() - Method in class org.drip.state.identifier.CollateralLabel
-
- fullyQualifiedName() - Method in class org.drip.state.identifier.CSALabel
-
- fullyQualifiedName() - Method in class org.drip.state.identifier.CustomLabel
-
- fullyQualifiedName() - Method in class org.drip.state.identifier.EntityCreditLabel
-
- fullyQualifiedName() - Method in class org.drip.state.identifier.EntityDesignateLabel
-
- fullyQualifiedName() - Method in class org.drip.state.identifier.FloaterLabel
-
- fullyQualifiedName() - Method in class org.drip.state.identifier.FundingLabel
-
- fullyQualifiedName() - Method in class org.drip.state.identifier.FXLabel
-
- fullyQualifiedName() - Method in class org.drip.state.identifier.GovvieLabel
-
- fullyQualifiedName() - Method in interface org.drip.state.identifier.LatentStateLabel
-
Retrieve the Fully Qualified Name
- fullyQualifiedName() - Method in class org.drip.state.identifier.OTCFixFloatLabel
-
- fullyQualifiedName() - Method in class org.drip.state.identifier.OvernightLabel
-
- fullyQualifiedName() - Method in class org.drip.state.identifier.PaydownLabel
-
- fullyQualifiedName() - Method in class org.drip.state.identifier.RatingLabel
-
- fullyQualifiedName() - Method in class org.drip.state.identifier.RepoLabel
-
- fullyQualifiedName() - Method in class org.drip.state.identifier.VolatilityLabel
-
- funcClassA() - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
-
Retrieve the Function Class A
- funcClassB() - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
-
Retrieve the Function Class B
- function() - Method in class org.drip.sequence.functional.EfronSteinMetrics
-
Retrieve the Multivariate Objective Function
- function() - Method in class org.drip.spaces.rxtor1.NormedR1ToNormedR1
-
Retrieve the Underlying R1ToR1 Function
- function() - Method in class org.drip.spaces.rxtor1.NormedRdToNormedR1
-
Retrieve the Underlying RdToR1 Function
- function() - Method in class org.drip.spaces.rxtord.NormedR1ToNormedRd
-
Retrieve the Underlying R1ToRd Function
- function() - Method in class org.drip.spaces.rxtord.NormedRdToNormedRd
-
Retrieve the Underlying RdToRd Function
- function() - Method in class org.drip.xva.derivative.TerminalPayout
-
Retrieve the R^1 To R^1 Pay-out Function
- functionClass() - Method in class org.drip.function.r1tor1.FunctionClassSupremum
-
Retrieve the Class of Functions
- functionClass() - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Retrieve the Underlying Learner Function Class
- functionClass() - Method in class org.drip.learning.rxtor1.GeneralizedLearner
-
- FunctionClassCoveringBounds - Interface in org.drip.spaces.cover
-
FunctionClassCoveringBounds implements the estimate Lower/Upper Bounds and/or Absolute Values of the
Covering Number for the Function Class.
- FunctionClassSupremum - Class in org.drip.function.r1tor1
-
FunctionClassSupremum implements the Univariate Function that corresponds to the Supremum among the
specified Class of Functions.
- FunctionClassSupremum(R1ToR1[]) - Constructor for class org.drip.function.r1tor1.FunctionClassSupremum
-
FunctionClassSupremum Cnstructor
- functionR1ToR1Set() - Method in class org.drip.spaces.functionclass.NormedR1ToNormedR1Finite
-
Retrieve the Finite Class of R^1 To R^1 Functions
- functionRdToR1Set() - Method in class org.drip.spaces.functionclass.NormedRdToNormedR1Finite
-
Retrieve the Finite Class of R^d To R^1 Functions
- functionSequenceMetrics(R1ToR1) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Generate the Metrics for the Univariate Function Sequence
- FunctionSet - Class in org.drip.spline.basis
-
This class implements the basis spline function set.
- FunctionSet(R1ToR1[]) - Constructor for class org.drip.spline.basis.FunctionSet
-
- FunctionSetBuilder - Class in org.drip.spline.basis
-
This class implements the basis set and spline builder for the following types of splines:
- Exponential basis tension splines
- Hyperbolic basis tension splines
- Polynomial basis splines
- Bernstein Polynomial basis splines
- Kaklis Pandelis basis tension splines
This elastic coefficients for the segment using Ck basis splines inside [0,...,1) - Globally
[x_0,...,x_1) are extracted for:
y = Estimator (Ck, x) * ShapeControl (x)
where x is the normalized ordinate mapped as
x becomes (x - x_i-1) / (x_i - x_i-1)
The inverse quadratic/rational spline is a typical shape controller spline used.
- FunctionSetBuilder() - Constructor for class org.drip.spline.basis.FunctionSetBuilder
-
- FunctionSetBuilderParams - Interface in org.drip.spline.basis
-
FunctionSetBuilderParams is an empty stub class whose derived implementations hold the per-segment basis
set parameters.
- functionSpaces() - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
-
Retrieve the Array of Function Spaces in the Class
- functionSpaces() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
Retrieve the Array of Function Spaces in the Class
- FunctionSupremumUnivariateRandom - Class in org.drip.sequence.functional
-
FunctionSupremumUnivariateRandom contains the Implementation of the FunctionClassSupremum Objective
Function dependent on Univariate Random Variable.
- FunctionSupremumUnivariateRandom(R1ToR1[], R1) - Constructor for class org.drip.sequence.functional.FunctionSupremumUnivariateRandom
-
FunctionSupremumUnivariateRandom Constructor
- FundConventionFromJurisdiction(String) - Static method in class org.drip.market.otc.OvernightFixedFloatContainer
-
Retrieve the Fix-Float Overnight Fund Convention for the specified Jurisdiction
- funding(FundingLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Funding Latent State
- funding() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve the Funding Latent State Node Container
- funding(FundingLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve of Labeled Funding
- funding() - Method in interface org.drip.xva.hypothecation.CollateralGroupVertexExposureComponent
-
Retrieve the Funding Exposure of the Collateral Group
- funding() - Method in class org.drip.xva.vertex.AlbaneseAndersen
-
- funding() - Method in class org.drip.xva.vertex.BurgardKjaer
-
- funding() - Method in class org.drip.xva.vertex.BurgardKjaerExposure
-
- funding01UpCSQC() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the CSQC built out of the Funding Curve Flat Bumped 1 bp
- fundingBaseCSQC() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the CSQC built out of the Base Funding Curve
- FundingBasisEvolver - Class in org.drip.exposure.csadynamics
-
FundingBasisEvolver implements a Two Factor Stochastic Funding Model Evolver with a Log Normal Forward
Process and a Mean Reverting Diffusion Process for the Funding Spread.
- FundingBasisEvolver(DiffusionEvaluatorLogarithmic, DiffusionEvaluatorMeanReversion, double) - Constructor for class org.drip.exposure.csadynamics.FundingBasisEvolver
-
FundingBasisEvolver Constructor
- fundingBenefitAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
-
- fundingBenefitAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
-
- fundingBenefitAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
-
Compute Path Funding Benefit Adjustment
- fundingBenefitAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Path Funding Benefit Adjustment
- fundingBenefitAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath
-
- fundingCostAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
-
- fundingCostAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
-
- fundingCostAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
-
Compute Path Funding Cost Adjustment
- fundingCostAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Path Funding Cost Adjustment
- fundingCostAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath
-
- FundingCurve(JulianDate, String, String[], double[], String, double[], String, String[], double[], String, SegmentCustomBuilderControl) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Funding Curve Based off of the Input Exchange/OTC Market Instruments Using the specified
Spline
- FundingCurve(JulianDate, String, String[], double[], String, double[], String, String[], double[], String, int) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Funding Curve Based off of the Input Exchange/OTC Market Instruments
- FundingCurveAPI - Class in org.drip.service.state
-
FundingCurveAPI computes the Metrics associated the Funding Curve State.
- FundingCurveAPI() - Constructor for class org.drip.service.state.FundingCurveAPI
-
- FundingCurveMetrics - Class in org.drip.historical.state
-
FundingCurveMetrics holds the computed Metrics associated the Funding Curve State.
- FundingCurveMetrics(JulianDate) - Constructor for class org.drip.historical.state.FundingCurveMetrics
-
FundingCurveMetrics Constructor
- FundingCurveQuoteSensitivity - Class in org.drip.sample.sensitivity
-
FundingCurveQuoteSensitivity demonstrates the calculation of the Funding curve sensitivity to the
calibration instrument quotes.
- FundingCurveQuoteSensitivity() - Constructor for class org.drip.sample.sensitivity.FundingCurveQuoteSensitivity
-
- fundingDebtAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
-
- fundingDebtAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
-
- fundingDebtAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
-
Compute Path Funding Debt Adjustment
- fundingDebtAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Path Funding Debt Adjustment
- fundingDebtAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath
-
- FundingDeposit(JulianDate, String, String) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Construct an OTC Funding Deposit Instrument from the Spot Date and the Maturity Tenor
- FundingDeposit(JulianDate, String, String[]) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Construct an Array of OTC Funding Deposit Instruments from their corresponding Maturity Tenors
- FundingDepositFutures(JulianDate, String, String[], int) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Construct an Array of OTC Funding Deposit and Futures Instruments
- fundingEuroDollarCSQC() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the CSQC built out of the Base Euro Dollar Curve
- fundingExists(FundingLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Indicate if the Funding Latent State Exists
- fundingExposure() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
-
Retrieve the Array of Funding Exposures
- fundingExposure() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
-
Retrieve the Univariate Thin Statistics for the Funding Exposure
- fundingExposurePV() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
-
Retrieve the Array of Funding Exposure PV
- fundingExposurePV() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
-
Retrieve the Univariate Thin Statistics for the Funding Exposure PV
- FundingFixFloatMarksReconstitutor - Class in org.drip.feed.transformer
-
FundingFixFloatMarksReconstitutor transforms the Funding Instrument Manifest Measures (e.g., Forward Rate
for Deposits, Forward Rate for Futures, and Swap Rates for Fix/Float Swap) Feed Inputs into Formats
appropriate for Funding Curve Construction and Measure Generation.
- FundingFixFloatMarksReconstitutor() - Constructor for class org.drip.feed.transformer.FundingFixFloatMarksReconstitutor
-
- fundingFlatBump(BasketProduct, boolean) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Get the Map of Funding Parallel Bumped Curves for the given Basket Product
- fundingFlatBump(BasketProduct, boolean) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.BondComponent
-
- fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.CDSComponent
-
- fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.definition.CalibratableComponent
-
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the merged Funding and
Forward Latent States from the Component's Cash Flows.
- fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.fx.FXForwardComponent
-
- fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.option.OptionComponent
-
- fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FixFloatComponent
-
- fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FloatFloatComponent
-
- fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.RatesBasket
-
- fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.SingleStreamComponent
-
- fundingForwardPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.Stream
-
Generate the State Loading Constraints for the Merged Forward/Funding Latent State
- fundingFundingCorrelation(FundingLabel, FundingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Pair of Funding Latent States
- FundingFuturesAPI - Class in org.drip.service.product
-
FundingFuturesAPI contains the Functionality associated with the Horizon Analysis of the Funding Futures.
- FundingFuturesAPI() - Constructor for class org.drip.service.product.FundingFuturesAPI
-
- FundingFuturesClosesReconstitutor - Class in org.drip.feed.transformer
-
FundingFuturesClosesReconstitutor transforms the Funding Futures Closes- Feed Inputs into Formats
suitable for Valuation Metrics and Sensitivities Generation.
- FundingFuturesClosesReconstitutor() - Constructor for class org.drip.feed.transformer.FundingFuturesClosesReconstitutor
-
- fundingFX() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
Retrieve the Funding/FX Convexity Adjustment
- fundingFX() - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Retrieve the Funding/FX Convexity Adjustment
- fundingFXCorrelation(FundingLabel, FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Funding and the FX Latent States
- fundingGovvieCorrelation(FundingLabel, GovvieLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Funding and the Govvie Latent States
- fundingGroup(String) - Method in class org.drip.xva.topology.Adiabat
-
Retrieve the Funding Group identified by the ID
- FundingGroup - Class in org.drip.xva.topology
-
FundingGroup represents an Aggregation of Credit Debt Groups with a common Funding Group Specification.
- FundingGroup(String, String, FundingGroupSpecification) - Constructor for class org.drip.xva.topology.FundingGroup
-
FundingGroup Constructor
- FundingGroupBilateralCSA - Class in org.drip.sample.xvastrategy
-
FundingGroupBilateralCSA demonstrates the Simulation Run of the Funding Group Exposure using the
"Bilateral CSA" Funding Strategy laid out in Burgard and Kjaer (2013).
- FundingGroupBilateralCSA() - Constructor for class org.drip.sample.xvastrategy.FundingGroupBilateralCSA
-
- FundingGroupHedgeError - Class in org.drip.sample.xvastrategy
-
FundingGroupHedgeError demonstrates the Simulation Run of the Funding Group Exposure using the "Hedge
Error" Funding Strategy laid out in Burgard and Kjaer (2013).
- FundingGroupHedgeError() - Constructor for class org.drip.sample.xvastrategy.FundingGroupHedgeError
-
- fundingGroupMap() - Method in class org.drip.xva.topology.Adiabat
-
Retrieve the Funding Group Map
- FundingGroupPath - Class in org.drip.xva.netting
-
FundingGroupPath holds up the Strategy Abstract Realizations of the Sequence in a Single Path Projection
Run over Multiple Collateral Groups onto a Single Funding Group - the Purpose being to calculate Funding
Valuation Adjustments.
- FundingGroupPath(CreditDebtGroupPath[], MarketPath) - Constructor for class org.drip.xva.netting.FundingGroupPath
-
- FundingGroupPerfectReplication - Class in org.drip.sample.xvastrategy
-
FundingGroupPerfectReplication demonstrates the Simulation Run of the Funding Group Exposure using the
"Perfect Replication" Funding Strategy laid out in Burgard and Kjaer (2013).
- FundingGroupPerfectReplication() - Constructor for class org.drip.sample.xvastrategy.FundingGroupPerfectReplication
-
- FundingGroupSemiReplication - Class in org.drip.sample.xvastrategy
-
FundingGroupSemiReplication demonstrates the Simulation Run of the Funding Group Exposure using the "Semi
Replication" Funding Strategy laid out in Burgard and Kjaer (2013).
- FundingGroupSemiReplication() - Constructor for class org.drip.sample.xvastrategy.FundingGroupSemiReplication
-
- FundingGroupSetOff - Class in org.drip.sample.xvastrategy
-
FundingGroupSetOff demonstrates the Simulation Run of the Funding Group Exposure using the "Set Off"
Funding Strategy laid out in Burgard and Kjaer (2013).
- FundingGroupSetOff() - Constructor for class org.drip.sample.xvastrategy.FundingGroupSetOff
-
- FundingGroupSpecification - Class in org.drip.xva.proto
-
GroupSpecification contains the Specification Base of a Named Group.
- FundingGroupSpecification(String, String, EntityFundingLabel, EntityFundingLabel, EntityFundingLabel) - Constructor for class org.drip.xva.proto.FundingGroupSpecification
-
FundingGroupSpecification Constructor
- fundingGroupSpecification() - Method in class org.drip.xva.proto.PositionSchemaSpecification
-
Retrieve the Funding Group Specification
- fundingGroupSpecification() - Method in class org.drip.xva.topology.FundingGroup
-
Retrieve the Funding Group Specification
- fundingGroupTrajectoryPaths() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
-
Retrieve the Array of the Funding Group Trajectory Paths
- FundingGroupUnilateralCSA - Class in org.drip.sample.xvastrategy
-
FundingGroupUnilateralCSA demonstrates the Simulation Run of the Funding Group Exposure using the
"Unilateral CSA" Funding Strategy laid out in Burgard and Kjaer (2013).
- FundingGroupUnilateralCSA() - Constructor for class org.drip.sample.xvastrategy.FundingGroupUnilateralCSA
-
- fundingLabel() - Method in class org.drip.analytics.cashflow.Bullet
-
Return the Funding Label
- fundingLabel() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Return the Funding Label
- fundingLabel() - Method in class org.drip.analytics.output.BulletMetrics
-
Retrieve the Funding Label
- fundingLabel() - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
-
Retrieve the Funding Label
- fundingLabel() - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
-
Retrieve the Funding Label
- fundingLabel() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateEvolver
-
Retrieve the Funding Label
- fundingLabel() - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
-
Retrieve the Funding Label
- fundingLabel() - Method in class org.drip.dynamics.lmm.LognormalLIBORPointEvolver
-
Retrieve the Funding Label
- fundingLabel() - Method in class org.drip.product.calib.ProductQuoteSet
-
Retrieve the Funding Latent State Label, if it exists
- fundingLabel() - Method in class org.drip.product.credit.BondComponent
-
- fundingLabel() - Method in class org.drip.product.credit.CDSComponent
-
- fundingLabel() - Method in interface org.drip.product.definition.BasketMarketParamRef
-
Get the Array of Funding Curve Latent State Labels
- fundingLabel() - Method in class org.drip.product.definition.BasketProduct
-
- fundingLabel() - Method in interface org.drip.product.definition.ComponentMarketParamRef
-
Get the Funding Curve Latent State Label
- fundingLabel() - Method in class org.drip.product.fx.FXForwardComponent
-
- fundingLabel() - Method in class org.drip.product.govvie.TreasuryFutures
-
- fundingLabel() - Method in class org.drip.product.option.OptionComponent
-
- fundingLabel() - Method in class org.drip.product.rates.FixFloatComponent
-
- fundingLabel() - Method in class org.drip.product.rates.FloatFloatComponent
-
- fundingLabel() - Method in class org.drip.product.rates.RatesBasket
-
- fundingLabel() - Method in class org.drip.product.rates.SingleStreamComponent
-
- fundingLabel() - Method in class org.drip.product.rates.Stream
-
Retrieve the Funding Label
- FundingLabel - Class in org.drip.state.identifier
-
FundingLabel contains the Identifier Parameters referencing the Latent State of the named Funding Discount
Curve.
- fundingMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Funding Evolver Map
- FundingNativeForwardReconciler - Class in org.drip.sample.multicurve
-
FundingNativeForwardReconciler demonstrates the Construction of the Forward Curve Native to the Discount
Curve across different Tenors, and display their Reconciliation.
- FundingNativeForwardReconciler() - Constructor for class org.drip.sample.multicurve.FundingNativeForwardReconciler
-
- fundingNumeraireProcess(String) - Method in class org.drip.exposure.csadynamics.FundingBasisEvolver
-
Generate the Funding Numeraire Diffusion Process
- fundingOvernightCorrelation(FundingLabel, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Funding and the Overnight Latent States
- fundingPaydownCorrelation(FundingLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Funding and the Pay-down Latent States
- fundingPRWC(int, CurveSurfaceQuoteContainer, ProductQuoteSet) - Method in class org.drip.analytics.cashflow.Bullet
-
Generate the Funding Predictor/Response Constraint
- fundingPRWC(int, CurveSurfaceQuoteContainer, ProductQuoteSet) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Generate the Funding Predictor/Response Constraint
- fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.BondComponent
-
- fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.CDSComponent
-
- fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.definition.CalibratableComponent
-
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged Funding
Curve Discount Factor Latent State from the Component's Cash Flows.
- fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.fra.FRAStandardComponent
-
- fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.fx.FXForwardComponent
-
- fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.option.OptionComponent
-
- fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FixFloatComponent
-
- fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FloatFloatComponent
-
- fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.RatesBasket
-
- fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.SingleStreamComponent
-
- fundingPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.Stream
-
Generate the State Loading Constraints for the Funding Latent State
- fundingRatingCorrelation(FundingLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Funding and the Rating Latent States
- fundingRecoveryCorrelation(FundingLabel, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Funding and the Recovery Latent States
- fundingRepoCorrelation(FundingLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Funding and the Repo Latent States
- fundingSegmentPaths() - Method in class org.drip.exposure.holdings.PositionGroupContainer
-
Retrieve the Array of Position Groups Collected into Funding Group Collateral Vertex Paths
- fundingSegments() - Method in class org.drip.exposure.holdings.PositionGroupContainer
-
Retrieve the Position Groups Sorted into Funding Group Segments
- fundingSpreadEvolver() - Method in class org.drip.exposure.csadynamics.FundingBasisEvolver
-
Retrieve the Funding Spread Diffusion Evolver
- fundingSpreadNumeraireProcess(String) - Method in class org.drip.exposure.csadynamics.FundingBasisEvolver
-
Generate the Funding Spread Numeraire Diffusion Process
- fundingState(FundingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Funding Latent State Corresponding to the Label
- fundingState() - Method in class org.drip.service.api.FixFloatFundingInstrument
-
Retrieve the Funding State
- FundingState - Class in org.drip.template.state
-
FundingState sets up the Calibration of the Funding Latent State and examine the Emitted Metrics.
- FundingState() - Constructor for class org.drip.template.state.FundingState
-
- FundingStateClient - Class in org.drip.sample.service
-
FundingStateClient demonstrates the Invocation and Examination of the JSON-based Funding Service Client.
- FundingStateClient() - Constructor for class org.drip.sample.service.FundingStateClient
-
- FundingStateShifted - Class in org.drip.template.statebump
-
FundingStateShifted generates a Sequence of Tenor Bumped Funding Curves.
- FundingStateShifted() - Constructor for class org.drip.template.statebump.FundingStateShifted
-
- FundingStretchSpec(String, CalibratableComponent[], String[], double[]) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
-
Construct a Funding Latent State Stretch Spec Instance
- FundingStretchSpec(String, CalibratableComponent[], String, double[]) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
-
Construct a Funding Latent State Stretch Spec Instance
- fundingTenorBump(BasketProduct, boolean) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Get the Double Map of Funding Tenor Bumped Curves for each Funding Curve for the given Basket Product
- fundingTenorBump(BasketProduct, boolean) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- fundingTenorCSQCDown() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Map of the Tenor Bumped Down Instances of the Funding Curve CSQC
- fundingTenorCSQCUp() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Map of the Tenor Bumped Up Instances of the Funding Curve CSQC
- fundingTenorMarketParams(Component, boolean) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Get the Map of Funding Tenor Bumped Market Parameters corresponding to the Component
- fundingTenorMarketParams(Component, boolean) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- fundingTransferPricing() - Method in class org.drip.xva.basel.OTCAccountingPolicy
-
Retrieve the Funding Transfer Pricing
- fundingValueAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
-
- fundingValueAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
-
- fundingValueAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
-
Compute Path Funding Value Adjustment
- fundingValueAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Path Funding Value Adjustment
- fundingValueAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath
-
- fundingVolatility(FundingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Volatility Curve for the Funding Latent State Label
- Fuqing - Class in org.drip.sample.bondeos
-
Fuqing demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Fuqing.
- Fuqing() - Constructor for class org.drip.sample.bondeos.Fuqing
-
- Fushun - Class in org.drip.sample.bondeos
-
Fushun demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Fushun.
- Fushun() - Constructor for class org.drip.sample.bondeos.Fushun
-
- futureQuote() - Method in class org.drip.service.api.DiscountCurveInputInstrument
-
Retrieve the Array of Future Quotes
- FuturesComponentQuoteSet - Class in org.drip.product.calib
-
FuturesComponentQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the
Short-term Interest Rate Futures Component.
- FuturesComponentQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.FuturesComponentQuoteSet
-
FuturesComponentQuoteSet Constructor
- FuturesHelper - Class in org.drip.analytics.support
-
FuturesHelper contains the Collection of the Futures Valuation related Utility Functions.
- FuturesHelper() - Constructor for class org.drip.analytics.support.FuturesHelper
-
- FuturesIndex() - Method in class org.drip.market.exchange.TreasuryFuturesOptionConvention
-
Retrieve the Treasury Futures Index
- FuturesOption(JulianDate, ForwardLabel, double, String, boolean, CashSettleParams) - Static method in class org.drip.product.creator.SingleStreamOptionBuilder
-
Create a Standard Futures Option
- FuturesOptions - Class in org.drip.market.exchange
-
FuturesOptions contains the details of the exchange-traded Short-Term Futures Options Contracts.
- FuturesOptions(String, String) - Constructor for class org.drip.market.exchange.FuturesOptions
-
FuturesOptions Constructor
- FuturesOptionsContainer - Class in org.drip.market.exchange
-
FuturesOptionsContainer holds the short term futures options contracts.
- FuturesOptionsContainer() - Constructor for class org.drip.market.exchange.FuturesOptionsContainer
-
- futuresQuote() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Array of Futures Instrument Quotes
- futureTenor() - Method in class org.drip.service.api.DiscountCurveInputInstrument
-
Retrieve the Array of Future Tenors
- Fuxin - Class in org.drip.sample.bondeos
-
Fuxin demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Fuxin.
- Fuxin() - Constructor for class org.drip.sample.bondeos.Fuxin
-
- Fuyang - Class in org.drip.sample.bondeos
-
Fuyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Fuyang.
- Fuyang() - Constructor for class org.drip.sample.bondeos.Fuyang
-
- Fuzhou - Class in org.drip.sample.bondeos
-
Fuzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Fuzhou.
- Fuzhou() - Constructor for class org.drip.sample.bondeos.Fuzhou
-
- FV1 - Class in org.drip.sample.treasuryfuturesapi
-
FV1 demonstrates the Invocation and Examination of the FV1 5Y UST Treasury Futures.
- FV1() - Constructor for class org.drip.sample.treasuryfuturesapi.FV1
-
- FV1_05Y - Class in org.drip.template.ust
-
FV1_05Y demonstrates the Details behind the Implementation and the Pricing of the 5Y FV1 UST Futures
Contract.
- FV1_05Y() - Constructor for class org.drip.template.ust.FV1_05Y
-
- FV1Attribution - Class in org.drip.sample.treasuryfuturespnl
-
FV1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
FV1 Series.
- FV1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.FV1Attribution
-
- FV1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
-
FV1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated FV1 Closes Feed.
- FV1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.FV1ClosesReconstitutor
-
- FV1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
-
FV1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the FV1 Treasury Futures.
- FV1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.FV1KeyRateDuration
-
- FVA(double) - Static method in class org.drip.xva.basel.ValueAdjustment
-
Construct the FVA Value Adjustment Instance
- fva() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
-
Retrieve the Expected FVA
- fva() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
-
Retrieve the Univariate Thin Statistics for FVA
- fwdMetric() - Method in class org.drip.service.api.InstrMetric
-
Retrieve the Forward Metric
- fx(CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.Bullet
-
Coupon Period FX
- fx(CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Coupon Period FX
- fx() - Method in class org.drip.analytics.output.BulletMetrics
-
Retrieve the Terminal FX Rate
- fx(FXLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the FX Latent State
- fx() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve the FX Latent State Node Container
- fx(FXLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve of Labeled FX
- fx() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the FX Rate
- FX - Static variable in class org.drip.simm.common.Chargram
-
The FX Digram FX
- fx(int) - Method in class org.drip.state.curve.BasisSplineFXForward
-
- fx(int) - Method in class org.drip.state.fx.FXCurve
-
Calculate the FX Forward to the given Date
- fx(JulianDate) - Method in class org.drip.state.fx.FXCurve
-
Calculate the FX Forward to the given date
- fx(String) - Method in class org.drip.state.fx.FXCurve
-
Calculate the FX Forward to the given date
- fx(int) - Method in class org.drip.state.nonlinear.FlatForwardFXCurve
-
- FX20 - Class in org.drip.sample.simmsettings
-
FX20 demonstrates the Extraction and Display of ISDA SIMM 2.0 FX Bucket Risk Weights, Correlations, and
Systemics.
- FX20() - Constructor for class org.drip.sample.simmsettings.FX20
-
- FX21 - Class in org.drip.sample.simmsettings
-
FX20 demonstrates the Extraction and Display of ISDA SIMM 2.1 FX Bucket Risk Weights, Correlations, and
Systemics.
- FX21() - Constructor for class org.drip.sample.simmsettings.FX21
-
- FX_CNRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Credit Non Qualifying and FX Risk Classes
- FX_CNRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Credit Non Qualifying and FX Risk Classes
- FX_CRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Credit Qualifying and FX Risk Classes
- FX_CRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Credit Qualifying and FX Risk Classes
- FX_CT() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Commodity and FX Risk Classes
- FX_CT() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Commodity and FX Risk Classes
- FX_EQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Equity and FX Risk Classes
- FX_EQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Equity and FX Risk Classes
- FX_IR() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Interest Rate and FX Risk Classes
- FX_IR() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Interest Rate and FX Risk Classes
- FX_QM_FORWARD_OUTRIGHT - Static variable in class org.drip.analytics.definition.LatentStateStatic
-
FX Latent State Quantification Metric - FX Forward Outright
- FXBasisCalibrator(FXForwardComponent) - Constructor for class org.drip.product.fx.FXForwardComponent.FXBasisCalibrator
-
Constructor: Construct the basis calibrator from the FXForward parent
- FXClassMargin20 - Class in org.drip.sample.simmfx
-
FXClassMargin20 illustrates the Computation of the ISDA 2.0 Aggregate Margin for across a Group of FX
Bucket Exposure Sensitivities.
- FXClassMargin20() - Constructor for class org.drip.sample.simmfx.FXClassMargin20
-
- FXClassMargin21 - Class in org.drip.sample.simmfx
-
FXClassMargin21 illustrates the Computation of the ISDA 2.1 Aggregate Margin for across a Group of FX
Bucket Exposure Sensitivities.
- FXClassMargin21() - Constructor for class org.drip.sample.simmfx.FXClassMargin21
-
- fxCode() - Method in class org.drip.product.fx.ComponentPair
-
Retrieve the FX Code
- FXCrossGroupPrincipal - Class in org.drip.sample.simmvariance
-
FXCrossGroupPrincipal demonstrates the Computation of the Cross FX Bucket Principal Component Co-variance
using the FX Risk Group Principal Component.
- FXCrossGroupPrincipal() - Constructor for class org.drip.sample.simmvariance.FXCrossGroupPrincipal
-
- FXCurrencyPairConventions - Class in org.drip.sample.fx
-
FXCurrencyPairConventions demonstrates the accessing of the Standard FX Currency Order and Currency Pair
Conventions.
- FXCurrencyPairConventions() - Constructor for class org.drip.sample.fx.FXCurrencyPairConventions
-
- FXCurvatureMargin20 - Class in org.drip.sample.simmfx
-
FXCurvatureMargin20 demonstrates the Construction of a Portfolio of FX Curvature Sensitivities and their
eventual SIMM 2.0 Margin Computation.
- FXCurvatureMargin20() - Constructor for class org.drip.sample.simmfx.FXCurvatureMargin20
-
- FXCurvatureMargin21 - Class in org.drip.sample.simmfx
-
FXCurvatureMargin21 demonstrates the Construction of a Portfolio of FX Curvature Sensitivities and their
eventual SIMM 2.1 Margin Computation.
- FXCurvatureMargin21() - Constructor for class org.drip.sample.simmfx.FXCurvatureMargin21
-
- FXCurve(JulianDate, CurrencyPair, String[], double[], String, double, SegmentCustomBuilderControl) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct an FX Curve from the FX Forward Instruments
- FXCurve(JulianDate, CurrencyPair, String[], double[], String, double, int) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct an FX Curve from the FX Forward Instruments
- FXCurve - Class in org.drip.state.fx
-
FXCurve is the Stub for the FX Curve for the specified Currency Pair.
- FXCurve(int, CurrencyPair) - Constructor for class org.drip.state.fx.FXCurve
-
- FXDeltaMargin20 - Class in org.drip.sample.simmfx
-
FXDeltaMargin20 demonstrates the Construction of a Portfolio of FX Delta Sensitivities and their eventual
SIMM 2.0 Margin Computation.
- FXDeltaMargin20() - Constructor for class org.drip.sample.simmfx.FXDeltaMargin20
-
- FXDeltaMargin21 - Class in org.drip.sample.simmfx
-
FXDeltaMargin21 demonstrates the Construction of a Portfolio of FX Delta Sensitivities and their eventual
SIMM 2.1 Margin Computation.
- FXDeltaMargin21() - Constructor for class org.drip.sample.simmfx.FXDeltaMargin21
-
- fxExists(FXLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Indicate if the FX Latent State Exists
- fxFixingDate() - Method in class org.drip.analytics.cashflow.Bullet
-
Retrieve the Period FX Fixing Date
- fxFixingDate() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Return the Period FX Fixing Date
- fxFixingSetting() - Method in class org.drip.param.period.CompositePeriodSetting
-
Retrieve the FX Fixing Setting
- fxFixingSetting() - Method in class org.drip.product.fx.ComponentPair
-
Retrieve the FX Fixing Setting
- fxForward(ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, double, boolean) - Method in class org.drip.product.fx.FXForwardComponent
-
Imply the FX Forward
- FXForward(JulianDate, CurrencyPair, String) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Create an OTC FX Forward Component
- FXForward(JulianDate, CurrencyPair, String[]) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Create an Array of OTC FX Forward Components
- FXForwardComponent - Class in org.drip.product.fx
-
FXForwardComponent contains the Standard FX forward Component contract details - the effective date, the
maturity date, the currency pair and the product code.
- FXForwardComponent(String, CurrencyPair, int, int, double, CashSettleParams) - Constructor for class org.drip.product.fx.FXForwardComponent
-
Create an FXForwardComponent from the currency pair, the effective and the maturity dates
- FXForwardComponent.FXBasisCalibrator - Class in org.drip.product.fx
-
- FXForwardQuoteSet - Class in org.drip.product.calib
-
FXForwardQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the FX
Forward Component.
- FXForwardQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.FXForwardQuoteSet
-
FXForwardQuoteSet Constructor
- fxFXCorrelation(FXLabel, FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified FX Latent State Label Set
- fxFXLoading(FXLabel) - Method in class org.drip.analytics.output.BulletMetrics
-
Retrieve the FX Loading Coefficient for the specified FX Latent State
- fxGovvieCorrelation(FXLabel, GovvieLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified FX and the Govvie Latent States
- fxLabel() - Method in class org.drip.analytics.cashflow.Bullet
-
Return the FX Label
- fxLabel() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Return the FX Label
- fxLabel() - Method in class org.drip.analytics.output.BulletMetrics
-
Retrieve the FX Label
- fxLabel() - Method in class org.drip.product.calib.ProductQuoteSet
-
Retrieve the FX Latent State Label, if it exists
- fxLabel() - Method in class org.drip.product.credit.BondComponent
-
- fxLabel() - Method in class org.drip.product.credit.CDSComponent
-
- fxLabel() - Method in interface org.drip.product.definition.BasketMarketParamRef
-
Get the Array of the FX Latent State Identifier Labels
- fxLabel() - Method in class org.drip.product.definition.BasketProduct
-
- fxLabel() - Method in interface org.drip.product.definition.ComponentMarketParamRef
-
Get the Map of FX Latent State Identifier Labels
- fxLabel() - Method in class org.drip.product.fx.ComponentPair
-
- fxLabel() - Method in class org.drip.product.fx.FXForwardComponent
-
- fxLabel() - Method in class org.drip.product.govvie.TreasuryFutures
-
- fxLabel() - Method in class org.drip.product.option.OptionComponent
-
- fxLabel() - Method in class org.drip.product.rates.FixFloatComponent
-
- fxLabel() - Method in class org.drip.product.rates.FloatFloatComponent
-
- fxLabel() - Method in class org.drip.product.rates.RatesBasket
-
- fxLabel() - Method in class org.drip.product.rates.SingleStreamComponent
-
- fxLabel() - Method in class org.drip.product.rates.Stream
-
Retrieve the FX Label
- FXLabel - Class in org.drip.state.identifier
-
FXLabel contains the Identifier Parameters referencing the Latent State of the named FX Curve.
- fxMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the FX Evolver Map
- FXMarginComparison - Class in org.drip.sample.simmvariance
-
FXMarginComparison illustrates the Comparison of the FX Margin Estimates using difference Schemes for
Calculating the Position-Bucket Principal Component Co-variance.
- FXMarginComparison() - Constructor for class org.drip.sample.simmvariance.FXMarginComparison
-
- fxOvernightCorrelation(FXLabel, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified FX and the Overnight Latent States
- fxPaydownCorrelation(FXLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified FX and the Pay-down Latent States
- fxPRWC(int, CurveSurfaceQuoteContainer, ProductQuoteSet) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Generate the FX Predictor/Response Constraint
- fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.BondComponent
-
- fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.credit.CDSComponent
-
- fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.definition.CalibratableComponent
-
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged FX Curve
FX Forward Latent State from the Component's Cash Flows.
- fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.fx.FXForwardComponent
-
- fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.option.OptionComponent
-
- fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FixFloatComponent
-
- fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.FloatFloatComponent
-
- fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.RatesBasket
-
- fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.SingleStreamComponent
-
- fxPRWC(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, ProductQuoteSet) - Method in class org.drip.product.rates.Stream
-
Generate the Calibratable Linearized Predictor/Response Constraint Weights for the Non-merged FX Curve
FX Forward Latent State from the Component's Cash Flows.
- fxRatingCorrelation(FXLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified FX and the Rating Latent States
- fxRecoveryCorrelation(FXLabel, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified FX and the Recovery Latent States
- fxRepoCorrelation(FXLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified FX and the Repo Latent States
- fxRiskClassAggregate() - Method in class org.drip.simm.estimator.ProductClassMargin
-
Retrieve the FX Risk Class Aggregate
- fxRiskClassSensitivity() - Method in class org.drip.simm.estimator.ProductClassSensitivity
-
Retrieve the FX Risk Class Sensitivity
- fxRiskClassSensitivitySettings() - Method in class org.drip.simm.estimator.ProductClassSettings
-
Retrieve the FX Risk Class Sensitivity Settings
- FXRiskGroup - Class in org.drip.simm.fx
-
FXRiskGroup holds the ISDA SIMM FX Risk Group Concentration Categories and their Delta Limits.
- FXRiskGroup(int, String, String[]) - Constructor for class org.drip.simm.fx.FXRiskGroup
-
FXRiskGroup Constructor
- FXRiskGroup(int) - Static method in class org.drip.simm.fx.FXRiskThresholdContainer20
-
Retrieve the Risk Group identified by the Category Number
- FXRiskGroup(int) - Static method in class org.drip.simm.fx.FXRiskThresholdContainer21
-
Retrieve the Risk Group identified by the Category Number
- FXRiskGroupMap() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer20
-
Retrieve the FX Risk Group Map
- FXRiskGroupMap() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer21
-
Retrieve the FX Risk Group Map
- FXRiskThresholdContainer20 - Class in org.drip.simm.fx
-
FXRiskThresholdContainer20 holds the ISDA SIMM 2.0 FX Risk Thresholds - the FX Categories and the
Delta/Vega Limits defined for the Concentration Thresholds.
- FXRiskThresholdContainer20() - Constructor for class org.drip.simm.fx.FXRiskThresholdContainer20
-
- FXRiskThresholdContainer21 - Class in org.drip.simm.fx
-
FXRiskThresholdContainer21 holds the ISDA SIMM 2.1 FX Risk Thresholds - the FX Categories and the
Delta/Vega Limits defined for the Concentration Thresholds.
- FXRiskThresholdContainer21() - Constructor for class org.drip.simm.fx.FXRiskThresholdContainer21
-
- FXSettingContainer - Class in org.drip.market.definition
-
FXSettingContainer contains the Parameters related to the FX Settings.
- FXSettingContainer() - Constructor for class org.drip.market.definition.FXSettingContainer
-
- fxSpot() - Method in class org.drip.state.curve.BasisSplineFXForward
-
Retrieve the FX Spot
- fxSpot() - Method in class org.drip.state.nonlinear.FlatForwardFXCurve
-
Retrieve the FX Spot
- fxState(FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the FX State for the specified FX Latent State Label
- FXState - Class in org.drip.template.state
-
FXState sets up the Calibration and the Construction of the FX Latent State and examine the Emitted
Metrics.
- FXState() - Constructor for class org.drip.template.state.FXState
-
- FXStateShifted - Class in org.drip.template.statebump
-
FXStateShifted demonstrates the Generation and the Usage of Tenor Bumped FX Curves.
- FXStateShifted() - Constructor for class org.drip.template.statebump.FXStateShifted
-
- FXStretchSpec(String, CalibratableComponent[], String[], double[]) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
-
Construct a FX Latent State Stretch Spec Instance
- FXStretchSpec(String, CalibratableComponent[], String, double[]) - Static method in class org.drip.state.estimator.LatentStateStretchBuilder
-
Construct a FX Latent State Stretch Spec Instance
- FXSwap - Class in org.drip.sample.securitysuite
-
FXSwap demonstrates the Analytics Calculation/Reconciliation for an FX Swap.
- FXSwap() - Constructor for class org.drip.sample.securitysuite.FXSwap
-
- FXSystemics20 - Class in org.drip.simm.fx
-
FXSystemics20 contains the SIMM 2.0 Systemic Settings Common to FX Risk Factors.
- FXSystemics20() - Constructor for class org.drip.simm.fx.FXSystemics20
-
- FXSystemics21 - Class in org.drip.simm.fx
-
FXSystemics21 contains the SIMM 2.1 Systemic Settings Common to FX Risk Factors.
- FXSystemics21() - Constructor for class org.drip.simm.fx.FXSystemics21
-
- FXVegaMargin20 - Class in org.drip.sample.simmfx
-
FXVegaMargin20 demonstrates the Construction of a Portfolio of FX Vega Sensitivities and their eventual
SIMM 2.0 Margin Computation.
- FXVegaMargin20() - Constructor for class org.drip.sample.simmfx.FXVegaMargin20
-
- FXVegaMargin21 - Class in org.drip.sample.simmfx
-
FXVegaMargin21 demonstrates the Construction of a Portfolio of FX Vega Sensitivities and their eventual
SIMM 2.1 Margin Computation.
- FXVegaMargin21() - Constructor for class org.drip.sample.simmfx.FXVegaMargin21
-
- fxVolatility(FXLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Volatility Curve for the specified FX Latent State Label
- i() - Method in class org.drip.execution.athl.IJK
-
The Almgren-Thum-Hauptmann-Li "I" Transaction Signal
- IBOR12MCubicKLKHyperbolic - Class in org.drip.sample.forward
-
This Sample illustrates the Construction and Usage of the IBOR 12M Forward Curve Using Vanilla Cubic
KLK Hyperbolic Tension B-Splines.
- IBOR12MCubicKLKHyperbolic() - Constructor for class org.drip.sample.forward.IBOR12MCubicKLKHyperbolic
-
- IBOR12MCubicPolyVanilla - Class in org.drip.sample.forward
-
This Sample illustrates the Construction and Usage of the IBOR 12M Forward Curve Using Vanilla Cubic
Polynomial.
- IBOR12MCubicPolyVanilla() - Constructor for class org.drip.sample.forward.IBOR12MCubicPolyVanilla
-
- IBOR12MQuarticPolyVanilla - Class in org.drip.sample.forward
-
This Sample illustrates the Construction and Usage of the IBOR 12M Forward Curve Using Vanilla Quartic
Polynomial.
- IBOR12MQuarticPolyVanilla() - Constructor for class org.drip.sample.forward.IBOR12MQuarticPolyVanilla
-
- IBOR1MCubicKLKHyperbolic - Class in org.drip.sample.forward
-
This Sample illustrates the Construction and Usage of the IBOR 1M Forward Curve Using Vanilla Cubic
KLK Hyperbolic Tension B-Splines.
- IBOR1MCubicKLKHyperbolic() - Constructor for class org.drip.sample.forward.IBOR1MCubicKLKHyperbolic
-
- IBOR1MCubicPolyVanilla - Class in org.drip.sample.forward
-
This Sample illustrates the Construction and Usage of the IBOR 1M Forward Curve Using Vanilla Cubic
Polynomial.
- IBOR1MCubicPolyVanilla() - Constructor for class org.drip.sample.forward.IBOR1MCubicPolyVanilla
-
- IBOR1MQuarticPolyVanilla - Class in org.drip.sample.forward
-
This Sample illustrates the Construction and Usage of the IBOR 1M Forward Curve Using Vanilla Quartic
Polynomial.
- IBOR1MQuarticPolyVanilla() - Constructor for class org.drip.sample.forward.IBOR1MQuarticPolyVanilla
-
- IBOR3MCubicKLKHyperbolic - Class in org.drip.sample.forward
-
This Sample illustrates the Construction and Usage of the IBOR 3M Forward Curve Using Cubic KLK
Hyperbolic Tension B-Spline.
- IBOR3MCubicKLKHyperbolic() - Constructor for class org.drip.sample.forward.IBOR3MCubicKLKHyperbolic
-
- IBOR3MCubicPolyVanilla - Class in org.drip.sample.forward
-
This Sample illustrates the Construction and Usage of the IBOR 3M Forward Curve Using Vanilla Cubic
Polynomial.
- IBOR3MCubicPolyVanilla() - Constructor for class org.drip.sample.forward.IBOR3MCubicPolyVanilla
-
- IBOR3MQuarticPolyVanilla - Class in org.drip.sample.forward
-
This Sample illustrates the Construction and Usage of the IBOR 3M Forward Curve Using Vanilla Quartic
Polynomial.
- IBOR3MQuarticPolyVanilla() - Constructor for class org.drip.sample.forward.IBOR3MQuarticPolyVanilla
-
- IBOR6MCubicKLKHyperbolic - Class in org.drip.sample.forward
-
This Sample illustrates the Construction and Usage of the IBOR 6M Forward Curve Using Cubic KLK
Hyperbolic Tension B-Spline.
- IBOR6MCubicKLKHyperbolic() - Constructor for class org.drip.sample.forward.IBOR6MCubicKLKHyperbolic
-
- IBOR6MCubicPolyVanilla - Class in org.drip.sample.forward
-
This Sample illustrates the Construction and Usage of the IBOR 6M Forward Curve Using Vanilla Cubic
Polynomial.
- IBOR6MCubicPolyVanilla() - Constructor for class org.drip.sample.forward.IBOR6MCubicPolyVanilla
-
- IBOR6MQuarticPolyVanilla - Class in org.drip.sample.forward
-
This Sample illustrates the Construction and Usage of the IBOR 6M Forward Curve Using Vanilla Quartic
Polynomial Spline.
- IBOR6MQuarticPolyVanilla() - Constructor for class org.drip.sample.forward.IBOR6MQuarticPolyVanilla
-
- IBORCurve - Class in org.drip.sample.forward
-
IBORCurve illustrates the Construction and Usage of the IBOR Forward Curve.
- IBORCurve() - Constructor for class org.drip.sample.forward.IBORCurve
-
- IBORFixedFloatContainer - Class in org.drip.market.otc
-
IBORFixedFloatContainer holds the settings of the standard OTC IBOR fix-float swap contract conventions.
- IBORFixedFloatContainer() - Constructor for class org.drip.market.otc.IBORFixedFloatContainer
-
- IBORFloatFloatContainer - Class in org.drip.market.otc
-
IBORFloatFloatContainer holds the settings of the standard OTC float-float swap contract Conventions.
- IBORFloatFloatContainer() - Constructor for class org.drip.market.otc.IBORFloatFloatContainer
-
- IBORIndex - Class in org.drip.market.definition
-
IBORIndex contains the definitions of the IBOR indexes of different jurisdictions.
- IBORIndex(String, String, String, String, String, int, String, String, int) - Constructor for class org.drip.market.definition.IBORIndex
-
IBORIndex Constructor
- IBORIndexContainer - Class in org.drip.market.definition
-
IBORIndexContainer holds the definitions of the IBOR index definitions corresponding to the different
jurisdictions.
- IBORIndexContainer() - Constructor for class org.drip.market.definition.IBORIndexContainer
-
- IBRHoliday - Class in org.drip.analytics.holset
-
- IBRHoliday() - Constructor for class org.drip.analytics.holset.IBRHoliday
-
- Ichalkaranji - Class in org.drip.sample.bondsink
-
Ichalkaranji generates the Full Suite of Replication Metrics for the Sinker Bond Ichalkaranji.
- Ichalkaranji() - Constructor for class org.drip.sample.bondsink.Ichalkaranji
-
- id() - Method in class org.drip.exposure.evolver.PrimarySecurity
-
Retrieve the Security ID
- id() - Method in class org.drip.market.exchange.TreasuryFuturesContract
-
Retrieve the Treasury Futures Contract ID
- id() - Method in class org.drip.portfolioconstruction.asset.AssetComponent
-
Retrieve the Asset ID
- id() - Method in class org.drip.portfolioconstruction.asset.Portfolio
-
Retrieve the Array of Asset IDs
- id() - Method in class org.drip.portfolioconstruction.core.Block
-
Retrieve the ID
- id() - Method in class org.drip.portfolioconstruction.params.AssetStatisticalProperties
-
Retrieve the ID of the Asset
- id() - Method in class org.drip.product.params.IdentifierSet
-
Retrieve the ID
- id() - Method in class org.drip.simm.product.CreditEntity
-
Retrieve the Credit Entity ID
- id() - Method in class org.drip.xva.basel.ValueCategory
-
Retrieve the Category ID
- id() - Method in class org.drip.xva.proto.ObjectSpecification
-
Retrieve the Exposure Roll Up Group ID
- IdempotentUnivariateRandom - Class in org.drip.sequence.functional
-
IdempotentUnivariateRandom contains the Implementation of the OffsetIdempotent Objective Function
dependent on Univariate Random Variable.
- IdempotentUnivariateRandom(double, R1) - Constructor for class org.drip.sequence.functional.IdempotentUnivariateRandom
-
IdempotentUnivariateRandom Constructor
- identifierSet() - Method in class org.drip.product.credit.BondComponent
-
- identifierSet() - Method in interface org.drip.product.definition.BondProduct
-
Retrieve the bond identifier set
- IdentifierSet - Class in org.drip.product.params
-
IdentifierSet contains the component's identifier parameters - ISIN, CUSIP, ID, and ticker.
- IdentifierSet(String, String, String, String) - Constructor for class org.drip.product.params.IdentifierSet
-
Construct the IdentifierSet from ISIN, CUSIP, ID, and ticker.
- IDRHoliday - Class in org.drip.analytics.holset
-
- IDRHoliday() - Constructor for class org.drip.analytics.holset.IDRHoliday
-
- ids() - Method in class org.drip.portfolioconstruction.core.LocalUniverse
-
Retrieve the List of the Asset Identifiers
- IdzorekAndrogue2003 - Class in org.drip.sample.blacklitterman
-
IdzorekAndrogue2003 reconciles the Outputs of the Black-Litterman Model Process.
- IdzorekAndrogue2003() - Constructor for class org.drip.sample.blacklitterman.IdzorekAndrogue2003
-
- IEPHoliday - Class in org.drip.analytics.holset
-
- IEPHoliday() - Constructor for class org.drip.analytics.holset.IEPHoliday
-
- ifrInitialTermStructure() - Method in class org.drip.dynamics.hjm.G2PlusPlus
-
Retrieve the Initial Instantaneous Forward Rate Term Structure
- ifrInitialTermStructure() - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
-
Retrieve the Initial Instantaneous Forward Rate Term Structure
- ignoreCompliance() - Method in class org.drip.portfolioconstruction.optimizer.Strategy
-
Indicate if Compliance Checks are to be ignored
- IGPHoliday - Class in org.drip.analytics.holset
-
- IGPHoliday() - Constructor for class org.drip.analytics.holset.IGPHoliday
-
- IIDSequenceSumBound - Class in org.drip.sample.sequence
-
IIDSequenceSumBound demonstrates the Computation of the Different Probabilistic Bounds for Sums of i.i.d.
- IIDSequenceSumBound() - Constructor for class org.drip.sample.sequence.IIDSequenceSumBound
-
- IJK - Class in org.drip.execution.athl
-
IJK holds the Empirical Signals that have been emitted off of a Transaction Run using the Scheme by
Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003).
- IJK(TransactionSignal, TransactionSignal) - Constructor for class org.drip.execution.athl.IJK
-
IJK Constructor
- IK1 - Class in org.drip.sample.treasuryfuturesapi
-
IK1 demonstrates the Invocation and Examination of the IK1 10Y BTPS Treasury Futures.
- IK1() - Constructor for class org.drip.sample.treasuryfuturesapi.IK1
-
- IK1Attribution - Class in org.drip.sample.treasuryfuturespnl
-
IK1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
IK1 Series.
- IK1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.IK1Attribution
-
- IK1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
-
IK1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated IK1 Closes Feed.
- IK1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.IK1ClosesReconstitutor
-
- IK1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
-
IK1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the IK1 Treasury Futures.
- IK1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.IK1KeyRateDuration
-
- ILSHoliday - Class in org.drip.analytics.holset
-
- ILSHoliday() - Constructor for class org.drip.analytics.holset.ILSHoliday
-
- ILSIRSAttribution - Class in org.drip.sample.fixfloatpnl
-
ILSIRSAttribution generates the Historical PnL Attribution for ILS IRS.
- ILSIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.ILSIRSAttribution
-
- ILSShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
-
ILSShapePreserving1YStart Generates the Historical ILS Shape Preserving Funding Curve Native Compounded
Forward Rate starting at 1Y Tenor.
- ILSShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.ILSShapePreserving1YStart
-
- ILSShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
-
ILSShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the
ILS Input Marks.
- ILSShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.ILSShapePreservingReconstitutor
-
- IMA1992ED(EventDate, String) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
-
Construct the IMA 1992 Cure Period Adjusted ED
- IMA2002ED(EventDate, String) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
-
Construct the IMA 2002 Cure Period Adjusted ED
- imaginary() - Method in class org.drip.quant.fourier.ComplexNumber
-
Retrieve the Imaginary Part
- IMMEdgeDates(JulianDate, int, String, String, DateAdjustParams) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
-
Generate a list of the IMM period edge dates forward from the spot date.
- IMMRollAPI - Class in org.drip.sample.date
-
IMMRollAPI demonstrates the API used to generate IMM Rolled Dates specific to different Products.
- IMMRollAPI() - Constructor for class org.drip.sample.date.IMMRollAPI
-
- ImpactExponentAnalysis - Class in org.drip.sample.principal
-
ImpactExponentAnalysis demonstrates the Analysis of the Dependence of the Optimal Principal Measures on
the Exponent of the Temporary Market Impact.
- ImpactExponentAnalysis() - Constructor for class org.drip.sample.principal.ImpactExponentAnalysis
-
- impactFade() - Method in class org.drip.spline.params.PreceedingManifestSensitivityControl
-
Retrieve the Preceeding Manifest Measure Impact Flag
- impactFade(String) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Retrieve the Manifest Measure Preceeding Manifest Impact Flag
- impactFunction(double) - Method in interface org.drip.execution.profiletime.BackgroundParticipationRate
-
Compute the Market Impact Function from the Volatility Function
- impactFunction(double) - Method in class org.drip.execution.profiletime.UniformParticipationRate
-
- impactFunction(double) - Method in class org.drip.execution.profiletime.UniformParticipationRateLinear
-
- impactFunction(double) - Method in class org.drip.execution.tradingtime.CoordinatedParticipationRateLinear
-
- implementationShortfall() - Method in class org.drip.execution.discrete.ShortfallIncrement
-
Compute the Implementation Short-fall
- impliedBeta() - Method in class org.drip.portfolioconstruction.asset.PortfolioMetrics
-
Retrieve the Portfolio Implied Beta Vector
- impliedBlackScholesVolatility(double, double, double, double, boolean, boolean, double) - Method in class org.drip.pricer.option.FokkerPlanckGenerator
-
Imply the Effective Black-Scholes Volatility From the Option Price
- ImpliedBlackVolatility - Class in org.drip.dynamics.sabr
-
ImpliedBlackVolatility contains the Output of the Black Volatility Implication Calculations.
- ImpliedBlackVolatility(double, double, double, double, double, double, double, double) - Constructor for class org.drip.dynamics.sabr.ImpliedBlackVolatility
-
ImpliedBlackVolatility Constructor
- impliedBrownianVariateArray() - Method in class org.drip.exposure.regression.LocalVolatilityGenerationControl
-
Retrieve the Implied Brownian Variate Array
- impliedConfidenceRun() - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanCombinationEngine
-
Compute the Idzorek Implied Projection Confidence Level
- impliedNodeRates(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, boolean) - Method in class org.drip.state.curve.BasisSplineFXForward
-
- impliedNodeRates(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, boolean) - Method in class org.drip.state.fx.FXCurve
-
Calculate the rates implied by the discount curve inputs
- impliedNodeRates(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, boolean) - Method in class org.drip.state.nonlinear.FlatForwardFXCurve
-
- impliedRecovery() - Method in class org.drip.xva.definition.SimpleBalanceSheet
-
Retrieve the Balance Sheet Implied Recovery
- impliedVol(int) - Method in class org.drip.state.curve.BasisSplineDeterministicVolatility
-
- impliedVol(int) - Method in class org.drip.state.nonlinear.FlatForwardVolatilityCurve
-
- impliedVol(int) - Method in class org.drip.state.volatility.VolatilityCurve
-
Compute the Deterministic Implied Volatility at the Date Node from the Volatility Term Structure
- impliedVol(JulianDate) - Method in class org.drip.state.volatility.VolatilityCurve
-
Compute the Deterministic Implied Volatility at the Date Node from the Volatility Term Structure
- impliedVol(String) - Method in class org.drip.state.volatility.VolatilityCurve
-
Compute the Deterministic Implied Volatility at the Tenor from the Volatility Term Structure
- impliedVolatility() - Method in class org.drip.dynamics.sabr.ImpliedBlackVolatility
-
Retrieve the Implied Volatility
- impliedVolatility() - Method in class org.drip.simm.parameters.BucketVegaSettings
-
Retrieve the Implied Volatility
- impliedVolatilityFromPrice(double, double, double, double, boolean, boolean, double) - Method in class org.drip.pricer.option.FokkerPlanckGenerator
-
Imply the Effective Volatility From the Option Price
- impliedVolatilityFromPrice(int, int, double, MergedDiscountForwardCurve, double, boolean, boolean, double) - Method in class org.drip.pricer.option.FokkerPlanckGenerator
-
Imply the Effective Volatility From the Option Price
- implyVolatility(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, String, double) - Method in class org.drip.product.fra.FRAStandardCapFloorlet
-
Imply the Flat Caplet/Floorlet Volatility from the Market Manifest Measure
- implyVolatilityFromCallPrice(ValuationParams, double, boolean, MergedDiscountForwardCurve, double) - Method in class org.drip.product.option.EuropeanCallPut
-
Imply the Option Volatility given the Call Price
- implyVolatilityFromPutPrice(ValuationParams, double, boolean, MergedDiscountForwardCurve, double) - Method in class org.drip.product.option.EuropeanCallPut
-
Imply the Option Volatility given the Put Price
- in(double) - Method in class org.drip.spline.bspline.TensionBasisHat
-
Identifies if the ordinate is local to the range
- in(double) - Method in class org.drip.spline.grid.AggregatedSpan
-
- in(double) - Method in class org.drip.spline.grid.OverlappingStretchSpan
-
- in(double) - Method in interface org.drip.spline.grid.Span
-
Check if the Predictor Ordinate is in the Stretch Range
- in(double) - Method in class org.drip.spline.segment.LatentStateInelastic
-
Find out if the Predictor Ordinate is inside the segment - inclusive of left/right.
- in(double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- in(double) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Check if the Predictor Ordinate is in the Stretch Range
- in(double) - Method in class org.drip.state.representation.LatentStateMergeSubStretch
-
Indicate whether the specified Date is "inside" the Stretch Range.
- InAdvanceIMMSwap - Class in org.drip.sample.fixfloat
-
InAdvanceIMMSwap demonstrates the Construction and Valuation of a In-Advance IMM Swap.
- InAdvanceIMMSwap() - Constructor for class org.drip.sample.fixfloat.InAdvanceIMMSwap
-
- InAdvanceLongTenorPeriods - Class in org.drip.sample.cashflow
-
InAdvanceLongTenorPeriods demonstrates the Cash Flow Period Details for an In-Advance Long Tenor Fix-Float
Swap.
- InAdvanceLongTenorPeriods() - Constructor for class org.drip.sample.cashflow.InAdvanceLongTenorPeriods
-
- InAdvanceShortTenorPeriods - Class in org.drip.sample.cashflow
-
InAdvanceShortTenorPeriods demonstrates the Cash Flow Period Details for an In-Advance Short Tenor
Fix-Float Swap.
- InAdvanceShortTenorPeriods() - Constructor for class org.drip.sample.cashflow.InAdvanceShortTenorPeriods
-
- InAdvanceSwap - Class in org.drip.sample.fixfloat
-
InAdvanceSwap discount curve calibration and input instrument calibration quote recovery.
- InAdvanceSwap() - Constructor for class org.drip.sample.fixfloat.InAdvanceSwap
-
- InArrearsLongTenorPeriods - Class in org.drip.sample.cashflow
-
InArrearsLongTenorPeriods demonstrates the Cash Flow Period Details for an In-Arrears Long Tenor Fix-Float
Swap.
- InArrearsLongTenorPeriods() - Constructor for class org.drip.sample.cashflow.InArrearsLongTenorPeriods
-
- InArrearsShortTenorPeriods - Class in org.drip.sample.cashflow
-
InArrearsShortTenorPeriods demonstrates the Cash Flow Period Details for an In-Arrears Short Tenor
Fix-Float Swap.
- InArrearsShortTenorPeriods() - Constructor for class org.drip.sample.cashflow.InArrearsShortTenorPeriods
-
- InArrearsSwap - Class in org.drip.sample.fixfloat
-
InArrearsSwap demonstrates the Construction and Valuation of a In-Arrears Swap.
- InArrearsSwap() - Constructor for class org.drip.sample.fixfloat.InArrearsSwap
-
- inBuiltRange(double) - Method in class org.drip.state.estimator.CurveStretch
-
Indicate if the specified Predictor Ordinate is inside the "Built" Range
- income() - Method in class org.drip.xva.basel.BalanceSheetEdge
-
Compute the "Income"
- incomeReplacementRate() - Method in class org.drip.portfolioconstruction.alm.ExpectedNonFinancialIncome
-
Retrieve the Retirement Age Income Replacement Rate
- increment() - Method in class org.drip.dynamics.evolution.LSQMCurveUpdate
-
Retrieve the LSQM Curve Increment
- increment() - Method in class org.drip.dynamics.evolution.LSQMPointUpdate
-
Retrieve the LSQM Point Increment
- increment(VariateInequalityConstraintMultiplier) - Method in class org.drip.function.rdtor1solver.FixedRdFinder
-
Produce the Incremental Variate-Constraint Multiplier
- increment(VariateInequalityConstraintMultiplier) - Method in class org.drip.function.rdtor1solver.InteriorFixedPointFinder
-
- increment(VariateInequalityConstraintMultiplier) - Method in class org.drip.function.rdtor1solver.NewtonFixedPointFinder
-
- increment(Vertex, double[], double[], double) - Method in class org.drip.measure.joint.Evolver
-
Generate the Adjacent Increment from the Array of the specified Random Variate
- increment(JumpDiffusionVertex, JumpDiffusionEdgeUnit, double) - Method in class org.drip.measure.process.DiffusionEvolver
-
Generate the JumpDiffusionEdge Instance from the specified Jump Diffusion Instance
- increment(JumpDiffusionVertex, JumpDiffusionEdgeUnit, double) - Method in class org.drip.measure.process.JumpDiffusionEvolver
-
- increment(double[], double[], double) - Method in class org.drip.measure.process.OrnsteinUhlenbeckPair
-
Generate the Adjacent JumpDiffusionEdge Increment Array from the specified Ornstein Uhlenbeck Random
Variate Pair
- incremental() - Method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
-
Retrieve the Incremental Flag
- incremental(double, double) - Method in class org.drip.measure.continuous.R1
-
Compute the Incremental under the Distribution between the 2 variates
- incremental(double[], double[]) - Method in class org.drip.measure.continuous.R1Multivariate
-
Compute the Incremental under the Distribution between the 2 Multivariate Instances
- incremental(double, double, double, double) - Method in class org.drip.measure.continuous.R1R1
-
Compute the Incremental under the Distribution between the Variate Pair
- incremental(double[], double[]) - Method in class org.drip.measure.continuous.Rd
-
Compute the Incremental under the Distribution between the 2 Variate Arrays
- incremental(double[], double, double[], double) - Method in class org.drip.measure.continuous.RdR1
-
Compute the Incremental under the Distribution between the Variate Array/Variate Pair
- incremental(double, double) - Method in class org.drip.measure.discrete.BoundedUniformIntegerDistribution
-
- incremental(double, double) - Method in class org.drip.measure.discrete.PoissonDistribution
-
- incremental(double, double) - Method in class org.drip.measure.gaussian.R1UnivariateNormal
-
- incremental(double, double) - Method in class org.drip.measure.lebesgue.R1Uniform
-
- incremental(double[], double[]) - Method in class org.drip.measure.lebesgue.RdUniform
-
- incrementalExpectation() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
-
Generate the Array of Incremental Expectation Sequence
- incrementalMarketDynamicDrift() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
-
Generate the Array of Incremental Market Dynamic Cost Drift
- incrementalMarketDynamicExpectation() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
-
Generate the Array of Incremental Market Dynamic Expectation Sequence
- incrementalMarketDynamicWander() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
-
Generate the Array of Incremental Market Dynamic Cost Wander
- incrementalPermanentDrift() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
-
Generate the Array of Incremental Permanent Cost Drift
- incrementalPermanentImpactExpectation() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
-
Generate the Array of Incremental Permanent Impact Expectation Sequence
- incrementalPermanentWander() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
-
Generate the Array of Incremental Permanent Cost Wander
- incrementalTemporaryDrift() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
-
Generate the Array of Incremental Temporary Cost Drift
- incrementalTemporaryImpactExpectation() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
-
Generate the Array of Incremental Temporary Impact Expectation Sequence
- incrementalTemporaryWander() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
-
Generate the Array of Incremental Temporary Cost Wander
- incrementalVariance() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
-
Generate the Array of Incremental Variance Sequence
- incrementArray(LatentStateLabel) - Method in class org.drip.exposure.universe.LatentStateWeiner
-
Retrieve the Weiner Increment Array for the Specified Latent State
- incrementFraction(VariateInequalityConstraintMultiplier, VariateInequalityConstraintMultiplier) - Method in class org.drip.function.rdtor1solver.FixedRdFinder
-
Retrieve the Incremental Step Length Fraction
- incrementReverse(JumpDiffusionVertex, JumpDiffusionEdgeUnit, double) - Method in class org.drip.measure.process.DiffusionEvolver
-
Generate the JumpDiffusionEdge Instance Backwards from the specified Jump Diffusion Instance
- incrementSequence(Vertex[], double[][], double[][], double) - Method in class org.drip.measure.joint.Evolver
-
Generate the Array of the Adjacent Increments from the Array of the specified Random Variate
- incrementSequence(JumpDiffusionVertex, JumpDiffusionEdgeUnit[], double) - Method in class org.drip.measure.process.DiffusionEvolver
-
Generate the Array of Adjacent JumpDiffusionEdge from the specified Random Variate Array
- incrementVector() - Method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
-
Retrieve the Sized Vector Instance corresponding to the Increment
- incrIterations() - Method in class org.drip.function.r1tor1solver.ExecutionInitializationOutput
-
Increment the Number of Iterations
- incrIterations() - Method in class org.drip.function.r1tor1solver.FixedPointFinderOutput
-
Increment the number of Iterations
- incrOFCalcs() - Method in class org.drip.function.r1tor1solver.ExecutionInitializationOutput
-
Increment the Number of Objective Function Evaluations
- incrOFCalcs() - Method in class org.drip.function.r1tor1solver.FixedPointFinderOutput
-
Increment the number of Objective Function evaluations
- incrOFDerivCalcs() - Method in class org.drip.function.r1tor1solver.ExecutionInitializationOutput
-
Increment the number of Objective Function Derivative evaluations
- incrOFDerivCalcs() - Method in class org.drip.function.r1tor1solver.FixedPointFinderOutput
-
Increment the number of Objective Function Derivative evaluations
- independentAmount() - Method in class org.drip.xva.proto.PositionGroupSpecification
-
Retrieve the Collateral Group Independent Amount
- index() - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremum
-
Retrieve the Index of the Supremum Empirical Function
- index(double) - Method in class org.drip.quant.common.Array2D
-
Retrieve the Index that corresponds to the given X
- index() - Method in class org.drip.state.forward.ForwardCurve
-
- index() - Method in interface org.drip.state.forward.ForwardRateEstimator
-
Retrieve the Forward Rate Index
- INDEX_FUND_ETF - Static variable in class org.drip.simm.credit.SectorSystemics
-
The Indexes/Funds/ETF's Sector
- indexCDS() - Method in class org.drip.market.otc.CreditIndexConvention
-
Create an Instance of the Specified Index CDS Product
- IndexConventionFromJurisdiction(String, String) - Static method in class org.drip.market.otc.OvernightFixedFloatContainer
-
Retrieve the Fix-Float Overnight Index Convention for the specified Jurisdiction
- indexCouponPV() - Method in class org.drip.analytics.output.BondCouponMeasures
-
Retrieve the Index Coupon PV
- indexedBasisFunction(int) - Method in class org.drip.spline.basis.FunctionSet
-
Retrieve the Basis Function identified by the specified Index
- IndexFromJurisdiction(String) - Static method in class org.drip.market.definition.IBORIndexContainer
-
Retrieve the IBOR Index from the Jurisdiction Name
- IndexFromJurisdiction(String) - Static method in class org.drip.market.definition.OvernightIndexContainer
-
Retrieve the Overnight Index from the Jurisdiction Name
- IndexFromName(String) - Static method in class org.drip.market.definition.IBORIndexContainer
-
Retrieve the IBOR Index from the Index Name
- IndexFromName(String) - Static method in class org.drip.market.definition.OvernightIndexContainer
-
Retrieve the Overnight Index from the Index Name
- IndexFundCurvesReconciliation - Class in org.drip.sample.ois
-
IndexFundCurvesReconciliation demonstrates the Construction, Usage, Coupon Extraction and Measure
Generation for an OIS Product Sample using the Index and the Fund Curves, and their Reconciliation.
- IndexFundCurvesReconciliation() - Constructor for class org.drip.sample.ois.IndexFundCurvesReconciliation
-
- indexMatch(LatentStateMergeSubStretch) - Method in class org.drip.state.representation.LatentStateMergeSubStretch
-
Indicate whether Specified Merge Stretch's Label matches with the current one
- IndexSet() - Static method in class org.drip.simm.rates.IRThresholdContainer20
-
Retrieve the Interest Rate Threshold Container Bucket Index Set
- IndexSet() - Static method in class org.drip.simm.rates.IRThresholdContainer21
-
Retrieve the Interest Rate Threshold Container Bucket Index Set
- indexSubType() - Method in class org.drip.market.otc.CreditIndexConvention
-
Retrieve the Index Sub-Type
- indexType() - Method in class org.drip.market.otc.CreditIndexConvention
-
Retrieve the Index Type
- Indore - Class in org.drip.sample.bondeos
-
Indore demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Indore.
- Indore() - Constructor for class org.drip.sample.bondeos.Indore
-
- inelasticParams() - Method in class org.drip.spline.params.SegmentCustomBuilderControl
-
Retrieve the Segment Inelastic Parameters
- inequalityConstraint() - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Retrieve the Array of R^d To R^1 Inequality Constraint Functions
- inequalityConstraintCoefficient() - Method in class org.drip.optimization.constrained.FritzJohnMultipliers
-
Retrieve the Array of the Inequality Constraint Coefficients
- inequalityConstraints() - Method in class org.drip.function.rdtor1solver.BarrierFixedPointFinder
-
Retrieve the Array of Inequality Constraints
- inequalityConstraints() - Method in class org.drip.function.rdtor1solver.InteriorFixedPointFinder
-
Retrieve the Array of Inequality Constraints
- infimumUpperBound(int) - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
-
Compute the Infimum of the Decision Function Operator Upper Bound across all the Product Bounds for
the specified Feature Space Entropy Number
- inFirstCouponPeriod(int) - Method in class org.drip.product.credit.BondComponent
-
- inFirstCouponPeriod(int) - Method in class org.drip.product.definition.Bond
-
Indicate whether the given date is in the first coupon period
- INFLECTION - Static variable in class org.drip.spline.segment.Monotonocity
-
NON MONOTONE - INFLECTION
- INFO - Static variable in class org.drip.analytics.support.Logger
-
Logger level INFO
- informationRatio(double) - Method in class org.drip.execution.principal.GrossProfitEstimator
-
Compute the Information Ratio given the Principal Discount
- InformationRatioAnalysis - Class in org.drip.sample.principal
-
InformationRatioAnalysis demonstrates the Analysis of the Dependence of the Optimal Principal Measures on
the Information Ratio Hurdle.
- InformationRatioAnalysis() - Constructor for class org.drip.sample.principal.InformationRatioAnalysis
-
- Init(String) - Static method in class org.drip.analytics.daycount.Convention
-
Initialize the day count basis object from the calendar set
- Init() - Static method in class org.drip.analytics.support.Helper
-
Initialize IR switcher and Bloomberg day count maps
- Init(String) - Static method in class org.drip.analytics.support.Logger
-
Initialize the logger from a configuration file
- Init() - Static method in class org.drip.market.definition.FXSettingContainer
-
Initialize the FXSettingContainer
- Init() - Static method in class org.drip.market.definition.IBORIndexContainer
-
Initialize the IBOR Index Container with the Overnight Indexes
- Init() - Static method in class org.drip.market.definition.OvernightIndexContainer
-
Initialize the Overnight Index Container with the Overnight Indexes
- Init() - Static method in class org.drip.market.exchange.DeliverableSwapFuturesContainer
-
Initialize the Deliverable Swap Futures Container with the pre-set Deliverable Swap Futures Contract
- Init() - Static method in class org.drip.market.exchange.FuturesOptionsContainer
-
Initialize the Overnight Index Container with the Overnight Indexes
- Init() - Static method in class org.drip.market.exchange.ShortTermFuturesContainer
-
Initialize the Short Term Futures Container with the pre-set Short Term Contracts
- Init() - Static method in class org.drip.market.exchange.TreasuryFuturesContractContainer
-
Initialize the Treasury Futures Contract Container with the Conventions
- Init() - Static method in class org.drip.market.exchange.TreasuryFuturesConventionContainer
-
Initialize the Bond Futures Convention Container with the Conventions
- Init() - Static method in class org.drip.market.exchange.TreasuryFuturesOptionContainer
-
Initialize the Treasury Futures Options Convention Container with the Conventions
- Init() - Static method in class org.drip.market.issue.TreasurySettingContainer
-
Initialize the Treasury Settings Container
- Init() - Static method in class org.drip.market.otc.CreditIndexConventionContainer
-
Initialize the Credit Index Conventions Container with the pre-set CDX Contract Settings
- Init() - Static method in class org.drip.market.otc.CrossFloatConventionContainer
-
Initialize the Cross-Currency Float-Float Conventions Container with the pre-set Floating Stream
Contracts
- Init() - Static method in class org.drip.market.otc.IBORFixedFloatContainer
-
Initialize the Fix-Float Conventions Container with the pre-set Fix-Float Contracts
- Init() - Static method in class org.drip.market.otc.IBORFloatFloatContainer
-
Initialize the Float-Float Conventions Container with the pre-set Float-Float Contracts
- Init() - Static method in class org.drip.market.otc.OvernightFixedFloatContainer
-
Initialize the Fix-Float Conventions Container with the pre-set Fix-Float Contracts
- Init() - Static method in class org.drip.market.otc.SwapOptionSettlementContainer
-
Initialize the Swap Option Settlement Conventions Container with the pre-set Swap Option Settlement
Conventions
- Init() - Static method in class org.drip.service.env.BuildManager
-
Initialize the Build Logs of the Build Manager
- Init() - Static method in class org.drip.service.env.CacheManager
-
Initialize the Cache Manager
- Init() - Static method in class org.drip.service.env.InvocationManager
-
Initialize the Invocation Manager
- Init() - Static method in class org.drip.simm.commodity.CTRiskThresholdContainer20
-
Initialize the Commodity Risk Threshold Container
- Init() - Static method in class org.drip.simm.commodity.CTRiskThresholdContainer21
-
Initialize the Commodity Risk Threshold Container
- Init() - Static method in class org.drip.simm.commodity.CTSettingsContainer20
-
Initialize the Commodity Settings Container
- Init() - Static method in class org.drip.simm.commodity.CTSettingsContainer21
-
Initialize the Commodity Settings Container
- Init() - Static method in class org.drip.simm.common.ISDASettingsContainer
-
Initial the ISDA Settings Container
- Init() - Static method in class org.drip.simm.common.RiskFactorThresholdContainer
-
Initialize the Risk Factor Threshold Container
- Init() - Static method in class org.drip.simm.credit.CRNQSettingsContainer20
-
Initial the Credit Non-Qualifying Settings
- Init() - Static method in class org.drip.simm.credit.CRNQSettingsContainer21
-
Initial the Credit Non-Qualifying Settings
- Init() - Static method in class org.drip.simm.credit.CRQSettingsContainer20
-
Initial the Credit Qualifying Settings
- Init() - Static method in class org.drip.simm.credit.CRQSettingsContainer21
-
Initial the Credit Qualifying Settings
- Init() - Static method in class org.drip.simm.credit.CRThresholdContainer20
-
Initialize the Credit Risk Threshold Container
- Init() - Static method in class org.drip.simm.credit.CRThresholdContainer21
-
Initialize the Credit Risk Threshold Container
- Init() - Static method in class org.drip.simm.equity.EQRiskThresholdContainer20
-
Initialize the Equity Risk Threshold Container
- Init() - Static method in class org.drip.simm.equity.EQRiskThresholdContainer21
-
Initialize the Equity Risk Threshold Container
- Init() - Static method in class org.drip.simm.equity.EQSettingsContainer20
-
Initialize the Equity Settings Container
- Init() - Static method in class org.drip.simm.equity.EQSettingsContainer21
-
Initialize the Equity Settings Container
- Init() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer20
-
Initialize the FX Risk Threshold Container
- Init() - Static method in class org.drip.simm.fx.FXRiskThresholdContainer21
-
Initialize the FX Risk Threshold Container
- Init() - Static method in class org.drip.simm.rates.IRSettingsContainer20
-
Initialize the Interest Rate Weight Specification Container
- Init() - Static method in class org.drip.simm.rates.IRSettingsContainer21
-
Initialize the Interest Rate Weight Specification Container
- Init() - Static method in class org.drip.simm.rates.IRThresholdContainer20
-
Initialize the Container
- Init() - Static method in class org.drip.simm.rates.IRThresholdContainer21
-
Initialize the Container
- InitAnalServer(String) - Static method in class org.drip.param.config.ConfigLoader
-
Initialize the analytics server from the connection parameters set in the XML Configuration file
- InitEnv(String, boolean) - Static method in class org.drip.service.env.EnvManager
-
Initialize the logger, the database connections, the day count parameters, and day count objects.
- InitEnv(String) - Static method in class org.drip.service.env.EnvManager
-
Initialize the Environment Setup
- InitFullCDXRefDataSet() - Static method in class org.drip.product.creator.CDXRefDataHolder
-
- Initial(JulianDate, double, MarketVertex, CloseOut) - Static method in class org.drip.xva.vertex.BurgardKjaerBuilder
-
Construct the Initial Dynamic Dealer Portfolio
- Initial(double, CollateralGroupVertexCloseOut) - Static method in class org.drip.xva.vertex.BurgardKjaerExposure
-
Generate an Initial Instance of Burgard Kjaer Vertex Exposure
- initialDate() - Method in class org.drip.dynamics.evolution.LSQMCurveUpdate
-
Retrieve the Initial Date
- initialDate() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
-
Retrieve the Initial Date
- initialFairPremium() - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Retrieve the Initial Fair Premium
- initialHoldings() - Method in class org.drip.portfolioconstruction.constraint.LimitChargeTermIssuer
-
Retrieve the Array of Initial Holdings
- initialHoldings() - Method in class org.drip.portfolioconstruction.constraint.LimitRiskTermMarginal
-
Retrieve the Initial Holdings Array
- initialHoldings() - Method in class org.drip.portfolioconstruction.constraint.LimitTaxTerm
-
Retrieve the Initial Holdings Array
- initialHoldings() - Method in class org.drip.portfolioconstruction.constraint.LimitTradesTermIssuer
-
Retrieve the Initial Holdings Array
- initialHoldings() - Method in class org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuer
-
Retrieve the Array of Initial Holdings
- initialHoldings() - Method in class org.drip.portfolioconstruction.optimizer.ObjectiveTerm
-
Retrieve the Array of Initial Holdings
- InitializationHeuristics - Class in org.drip.function.r1tor1solver
-
InitializationHeuristics implements several heuristics used to kick off the fixed point bracketing/search
process.
- InitializationHeuristics(int, double, double, double, double, double, double, double, BracketingControlParams) - Constructor for class org.drip.function.r1tor1solver.InitializationHeuristics
-
Construct an Initialization Heuristics Instance from the set of Heuristics Parameters
- initialize() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
- initialize() - Method in class org.drip.service.engine.ComputeClient
-
Establish a Connection to the Compute Server Engine
- initialize() - Method in class org.drip.service.engine.ComputeServer
-
Initialize the Compute Server Engine Listener Setup
- initializeBracket(InitializationHeuristics, double) - Method in class org.drip.function.r1tor1solver.ExecutionInitializer
-
Set up the bracket to be used for the eventual search kick-off
- initializeNonDimensionalCost(MarketState, double) - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
-
Retrieve the Initial Non Dimensional Cost
- initializeVariate(InitializationHeuristics, double) - Method in class org.drip.function.r1tor1solver.ExecutionInitializer
-
Initialize the starting variate to within the fixed point convergence zone
- initializeVariateZone(InitializationHeuristics) - Method in class org.drip.function.r1tor1solver.FixedPointFinder
-
- initializeVariateZone(InitializationHeuristics) - Method in class org.drip.function.r1tor1solver.FixedPointFinderBracketing
-
- initializeVariateZone(InitializationHeuristics) - Method in class org.drip.function.r1tor1solver.FixedPointFinderNewton
-
- initialMarketState() - Method in class org.drip.execution.latent.OrnsteinUhlenbeckSequence
-
Retrieve the Initial Market State
- initialNotional() - Method in class org.drip.product.credit.BondComponent
-
- initialNotional() - Method in class org.drip.product.credit.CDSComponent
-
- initialNotional() - Method in class org.drip.product.definition.BasketProduct
-
Return the initial notional of the basket product
- initialNotional() - Method in class org.drip.product.definition.Component
-
Get the Initial Notional for the Product
- initialNotional() - Method in class org.drip.product.fx.FXForwardComponent
-
- initialNotional() - Method in class org.drip.product.govvie.TreasuryFutures
-
- initialNotional() - Method in class org.drip.product.option.OptionComponent
-
- initialNotional() - Method in class org.drip.product.rates.FixFloatComponent
-
- initialNotional() - Method in class org.drip.product.rates.FloatFloatComponent
-
- initialNotional() - Method in class org.drip.product.rates.RatesBasket
-
- initialNotional() - Method in class org.drip.product.rates.SingleStreamComponent
-
- initialNotional() - Method in class org.drip.product.rates.Stream
-
Retrieve the Initial Notional
- initialShortRate() - Method in class org.drip.dynamics.hullwhite.ShortRateUpdate
-
Retrieve the Initial Short Rate
- initialStrength() - Method in class org.drip.function.rdtor1solver.InteriorPointBarrierControl
-
Retrieve the Initial Barrier Strength
- initRegressionEnv() - Method in class org.drip.regression.core.RegressionEngine
-
One-time initialization of the regression engine environment
- initRegressionEnv() - Method in class org.drip.regression.curve.CreditAnalyticsRegressionEngine
-
- initRegressionEnv() - Method in class org.drip.regression.curvejacobian.CurveJacobianRegressionEngine
-
- InitStandardCDXSeries() - Static method in class org.drip.service.env.StandardCDXManager
-
- inLastCouponPeriod(int) - Method in class org.drip.product.credit.BondComponent
-
- inLastCouponPeriod(int) - Method in class org.drip.product.definition.Bond
-
Indicate whether the given date is in the final coupon period
- innate() - Method in class org.drip.historical.engine.MarketMeasureRollDown
-
Retrieve the Innate Roll Down Market Measure
- innerHessian() - Method in class org.drip.execution.sensitivity.TrajectoryControlNodesGreek
-
Retrieve the Inner Hessian Matrix
- innerHoldings() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectory
-
Retrieve the Array of the Inner Holdings
- innerJacobian() - Method in class org.drip.execution.sensitivity.TrajectoryControlNodesGreek
-
Retrieve the Inner Jacobian Array
- inputMetricVectorSpace() - Method in class org.drip.learning.kernel.IntegralOperatorEigenContainer
-
Retrieve the Eigen Input Space
- inputMetricVectorSpace() - Method in class org.drip.learning.kernel.SymmetricRdToNormedR1Kernel
-
Retrieve the Symmetric Input Metric R^d Vector Space
- inputMetricVectorSpace() - Method in class org.drip.learning.kernel.SymmetricRdToNormedRdKernel
-
Retrieve the Symmetric Input Metric R^d Vector Space
- inputMetricVectorSpace() - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
-
- inputMetricVectorSpace() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
- inputMetricVectorSpace() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
-
Retrieve the Input Vector Space
- inputMetricVectorSpace() - Method in class org.drip.spaces.rxtor1.NormedR1ToNormedR1
-
- inputMetricVectorSpace() - Method in class org.drip.spaces.rxtor1.NormedRdToNormedR1
-
- inputMetricVectorSpace() - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
-
Retrieve the Input Metric Vector Space
- inputMetricVectorSpace() - Method in class org.drip.spaces.rxtord.NormedR1ToNormedRd
-
- inputMetricVectorSpace() - Method in class org.drip.spaces.rxtord.NormedRdToNormedRd
-
- inputMetricVectorSpace() - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
-
Retrieve the Input Metric Vector Space
- inputSpaceBorelMeasure() - Method in class org.drip.learning.kernel.IntegralOperator
-
Retrieve the Input Space Borel Sigma Measure
- InquiriesLast6Months - Class in org.drip.assetbacked.loan
-
InquiriesLast6Months contains the Total Number of Inquiries for the Loan over the Last 6 Months
- InquiriesLast6Months(int) - Constructor for class org.drip.assetbacked.loan.InquiriesLast6Months
-
InquiriesLast6Months Constructor
- INR - Class in org.drip.template.irs
-
INR contains a Templated Pricing of the OTC Fix-Float INR IRS Instrument.
- INR() - Constructor for class org.drip.template.irs.INR
-
- INRHoliday - Class in org.drip.analytics.holset
-
- INRHoliday() - Constructor for class org.drip.analytics.holset.INRHoliday
-
- insert(double) - Method in class org.drip.spaces.big.BinaryTree
-
Insert a Node into the Tree
- insertAfter(double, double) - Method in class org.drip.spaces.graph.SinglyLinkedNode
-
Insert the given Value after the Specified Location Node
- InsertCardinalKnot(MultiSegmentSequence, double, double) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceModifier
-
Insert a Cardinal Knot into the specified Stretch at the specified Predictor Ordinate Location
- InsertCatmullRomKnot(MultiSegmentSequence, double) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceModifier
-
Insert a Catmull-Rom Knot into the specified Stretch at the specified Predictor Ordinate Location
- insertionSort() - Method in class org.drip.spaces.big.BigR1Array
-
Insertion Sort the Big Array
- InsertKnot(MultiSegmentSequence, double, double, BoundarySettings, int) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceModifier
-
Insert the specified Predictor Ordinate Knot into the specified Stretch, using the specified Response
Value
- InsertKnot(MultiSegmentSequence, double, SegmentPredictorResponseDerivative, SegmentPredictorResponseDerivative) - Static method in class org.drip.spline.stretch.MultiSegmentSequenceModifier
-
Insert the Predictor Ordinate Knot into the specified Stretch
- instance() - Method in class org.drip.spaces.big.BigR2Array
-
Retrieve the R^2 Instance Array
- instance() - Method in class org.drip.spaces.instance.ValidatedR1
-
Retrieve the Instance Sequence
- instance() - Method in class org.drip.spaces.instance.ValidatedRd
-
Retrieve the Instance Sequence
- INSTANCE_GENERATOR_RULE_EDGE_LAG - Static variable in class org.drip.analytics.eventday.DateInMonth
-
Instance Date Generation Rules - Generate from Lag from Front/Back
- INSTANCE_GENERATOR_RULE_SPECIFIC_DAY_OF_MONTH - Static variable in class org.drip.analytics.eventday.DateInMonth
-
Instance Date Generation Rule - Generate Using the Specific Day of the Month
- INSTANCE_GENERATOR_RULE_WEEK_DAY - Static variable in class org.drip.analytics.eventday.DateInMonth
-
Instance Date Generation Rule - Generate from Specified Day in Week/Week in Month
- instanceDay(int, int, String) - Method in class org.drip.analytics.eventday.DateInMonth
-
Generate the Particular Day of the Year, the Month, according to the Calendar
- instanceGenerator() - Method in class org.drip.analytics.eventday.DateInMonth
-
Retrieve the Instance Generation Rule
- instantaneousEffectiveForwardRate() - Method in class org.drip.dynamics.lmm.BGMCurveUpdate
-
Retrieve the Instantaneous Effective Annual Forward Rate Span
- instantaneousEffectiveForwardRate() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
-
Retrieve the Instantaneous Effective Annual Forward Rate
- instantaneousEffectiveForwardRate() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
-
Retrieve the Instantaneous Effective Annual Forward Rate
- instantaneousEffectiveForwardRates() - Method in class org.drip.dynamics.lmm.BGMTenorNodeSequence
-
Retrieve the Array of Tenor Instantaneous Effective Annual Forward Rate
- instantaneousForwardInitialTermStructure() - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
-
Retrieve the Initial Instantaneous Forward Rate Term Structure
- instantaneousForwardRate() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
-
Retrieve the Instantaneous Forward Rate
- instantaneousForwardRateIncrement(int, int, int) - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
-
Compute the Instantaneous Forward Rate Increment given the View Date, the Target Date, and the View
Time Increment
- instantaneousForwardRateIncrement() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
-
Retrieve the Instantaneous Forward Rate Increment
- instantaneousForwardRateIntegral(int, boolean) - Method in class org.drip.dynamics.lmm.ContinuouslyCompoundedForwardProcess
-
Compute the Realized/Expected Instantaneous Forward Rate Integral to the Target Date
- instantaneousNominalForwardRate() - Method in class org.drip.dynamics.lmm.BGMCurveUpdate
-
Retrieve the Instantaneous Nominal Annual Forward Rate Span
- instantaneousNominalForwardRate() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
-
Retrieve the Instantaneous Nominal Annual Forward Rate
- instantaneousNominalForwardRate() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
-
Retrieve the Instantaneous Nominal Annual Forward Rate
- instantaneousNominalForwardRates() - Method in class org.drip.dynamics.lmm.BGMTenorNodeSequence
-
Retrieve the Array of Tenor Instantaneous Nominal Annual Forward Rate
- instantaneousTradeRate() - Method in class org.drip.execution.cost.LinearTemporaryImpact
-
Retrieve the Instantaneous Trade Rate
- instantTradeRate() - Method in class org.drip.execution.strategy.ContinuousTradingTrajectory
-
- instantTradeRate() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectory
-
- instantTradeRate() - Method in interface org.drip.execution.strategy.TradingTrajectory
-
Retrieve the Instant Trade Rate
- InstrMetric - Class in org.drip.service.api
-
InstrMetric contains the fields that hold the result of the PnL metric calculations.
- InstrMetric(ForwardRates, ProductDailyPnL) - Constructor for class org.drip.service.api.InstrMetric
-
InstrMetric constructor
- instrumentQuote(String) - Method in class org.drip.feed.loader.InstrumentSetTenorQuote
-
Retrieve the Named Instrument Quotes
- InstrumentSetTenorQuote - Class in org.drip.feed.loader
-
InstrumentSetTenorQuote holds the Instrument Set Tenor and Closing Quote Group.
- InstrumentSetTenorQuote() - Constructor for class org.drip.feed.loader.InstrumentSetTenorQuote
-
Empty InstrumentSetTenorQuote Constructor
- instrumentTenor(String) - Method in class org.drip.feed.loader.InstrumentSetTenorQuote
-
Retrieve the Named Instrument Tenors
- instrumentTenorQuote(String) - Method in class org.drip.feed.loader.InstrumentSetTenorQuote
-
Retrieve the Named Instrument Group Quote Map
- intArrayAtColumn(int) - Method in class org.drip.feed.loader.CSVGrid
-
Retrieve the Array of Integer Values corresponding to the specified Column Index
- IntegerArrayEntry(Object) - Static method in class org.drip.json.parser.Converter
-
Convert the JSON Entry to an Integer Array
- IntegerEntry(JSONObject, String) - Static method in class org.drip.json.parser.Converter
-
Convert the JSON Entry to an Integer
- IntegerListFromString(List<Integer>, String, String) - Static method in class org.drip.quant.common.StringUtil
-
Create a list of integers from a delimited string
- IntegerRandomSequenceBound - Class in org.drip.sample.sequence
-
IntegerRandomSequenceBound demonstrates the Computation of the Probabilistic Bounds for a Sample Random
Integer Sequence.
- IntegerRandomSequenceBound() - Constructor for class org.drip.sample.sequence.IntegerRandomSequenceBound
-
- IntegerSequenceAgnosticMetrics - Class in org.drip.sequence.metrics
-
IntegerSequenceAgnosticMetrics contains the Sample Distribution Metrics and Agnostic Bounds related to the
specified Integer Sequence.
- IntegerSequenceAgnosticMetrics(double[], R1) - Constructor for class org.drip.sequence.metrics.IntegerSequenceAgnosticMetrics
-
Build out the Sequence and their Metrics
- integralExpectation(double, double) - Method in interface org.drip.measure.stochastic.R1R1ToR1
-
Evaluate the Expected Path-wise Integral between the Vriates
- IntegralOperator - Class in org.drip.learning.kernel
-
IntegralOperator implements the R^x L2 To R^x L2 Mercer Kernel Integral Operator defined by:
T_k [f(.)] := Integral Over Input Space {k (., y) * f(y) * d[Prob(y)]}
The References are:
1) Ash, R.
- IntegralOperator(SymmetricRdToNormedR1Kernel, RdToR1, R1Normed) - Constructor for class org.drip.learning.kernel.IntegralOperator
-
IntegralOperator Constructor
- IntegralOperatorEigenComponent - Class in org.drip.learning.kernel
-
IntegralOperatorEigenComponent holds the Eigen-Function Space and the Eigenvalue Functions/Spaces of the
R^x L2 To R^x L2 Kernel Linear Integral Operator defined by:
T_k [f(.)] := Integral Over Input Space {k (., y) * f(y) * d[Prob(y)]}
The References are:
1) Ash, R.
- IntegralOperatorEigenComponent(EigenFunctionRdToR1, double) - Constructor for class org.drip.learning.kernel.IntegralOperatorEigenComponent
-
IntegralOperatorEigenComponent Constructor
- IntegralOperatorEigenContainer - Class in org.drip.learning.kernel
-
IntegralOperatorEigenContainer holds the Group of Eigen-Components that result from the Eigenization of
the R^x L2 To R^x L2 Kernel Linear Integral Operator defined by:
T_k [f(.)] := Integral Over Input Space {k (., y) * f(y) * d[Prob(y)]}
The References are:
1) Ash, R.
- IntegralOperatorEigenContainer(IntegralOperatorEigenComponent[]) - Constructor for class org.drip.learning.kernel.IntegralOperatorEigenContainer
-
IntegralOperatorEigenContainer Constructor
- integralRealization(double, double) - Method in interface org.drip.measure.stochastic.R1R1ToR1
-
Evaluate a Path-wise Integral between the Vriates
- IntegrandQuadrature - Class in org.drip.sample.numerical
-
IntegrandQuadrature shows samples for the following routines for integrating the objective function:
- Mid-Point Scheme
- Trapezoidal Scheme
- Simpson/Simpson38 schemes
- Boole Scheme
- IntegrandQuadrature() - Constructor for class org.drip.sample.numerical.IntegrandQuadrature
-
- integrate(double, double) - Method in class org.drip.function.definition.R1ToR1
-
Integrate over the given range
- integrate(double, double) - Method in class org.drip.function.definition.R1ToRd
-
Integrate over the given Input Range Using Uniform Monte-Carlo
- integrate(double[], double[]) - Method in class org.drip.function.definition.RdToR1
-
Integrate over the given Input Range Using Uniform Monte-Carlo
- integrate(double[], double[]) - Method in class org.drip.function.definition.RdToRd
-
Integrate over the given Input Range Using Uniform Monte-Carlo
- integrate(double, double) - Method in class org.drip.function.r1tor1.ExponentialDecay
-
- integrate(double, double) - Method in class org.drip.function.r1tor1.ExponentialTension
-
- integrate(double, double) - Method in class org.drip.function.r1tor1.FlatUnivariate
-
- integrate(double, double) - Method in class org.drip.function.r1tor1.FunctionClassSupremum
-
- integrate(double, double) - Method in class org.drip.function.r1tor1.HyperbolicTension
-
- integrate(double, double) - Method in class org.drip.function.r1tor1.LinearRationalShapeControl
-
- integrate(double, double) - Method in class org.drip.function.r1tor1.NaturalLogSeriesElement
-
- integrate(double, double) - Method in class org.drip.function.r1tor1.OffsetIdempotent
-
- integrate(double, double) - Method in class org.drip.function.r1tor1.Polynomial
-
- integrate(double, double) - Method in class org.drip.function.r1tor1.QuadraticRationalShapeControl
-
- integrate(double, double) - Method in class org.drip.function.r1tor1.UnivariateConvolution
-
- integrate(double, double) - Method in class org.drip.function.r1tor1.UnivariateReflection
-
- integrate(double, double) - Method in class org.drip.spline.bspline.CubicRationalLeftRaw
-
- integrate(double, double) - Method in class org.drip.spline.bspline.CubicRationalRightRaw
-
- integrate(double, double) - Method in class org.drip.spline.bspline.ExponentialTensionLeftHat
-
- integrate(double, double) - Method in class org.drip.spline.bspline.ExponentialTensionLeftRaw
-
- integrate(double, double) - Method in class org.drip.spline.bspline.ExponentialTensionRightHat
-
- integrate(double, double) - Method in class org.drip.spline.bspline.ExponentialTensionRightRaw
-
- integrate(double, double) - Method in class org.drip.spline.bspline.LeftHatShapeControl
-
- integrate(double, double) - Method in class org.drip.spline.bspline.RightHatShapeControl
-
- integrate(double, double) - Method in class org.drip.spline.bspline.SegmentMonicBasisFunction
-
- integrate(double, double) - Method in class org.drip.spline.bspline.SegmentMulticBasisFunction
-
- integrate(double, double) - Method in class org.drip.spline.bspline.TensionProcessedBasisHat
-
- integrate(double, double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- integrate(double, double) - Method in class org.drip.spline.tension.KLKHyperbolicTensionPhy
-
- integrate(double, double) - Method in class org.drip.spline.tension.KLKHyperbolicTensionPsy
-
- IntegratedCrossVolQuanto(VolatilityCurve, VolatilityCurve, R1ToR1, int, int) - Static method in class org.drip.analytics.support.OptionHelper
-
Compute the Integrated Cross Volatility Quanto Product given the corresponding volatility and the
correlation curves, and the date spans
- IntegratedCrossVolQuanto(CurveSurfaceQuoteContainer, String, String, int, int) - Static method in class org.drip.analytics.support.OptionHelper
-
Compute the Integrated Cross Volatility Quanto Product given the corresponding volatility and the
correlation Curves and the date spans
- IntegratedFRACrossVolConvexityAdjuster(CurveSurfaceQuoteContainer, ForwardLabel, FundingLabel, double, double, int, int) - Static method in class org.drip.analytics.support.OptionHelper
-
Compute the Integrated FRA Cross Volatility Convexity Adjuster given the corresponding volatility and
the correlation Curves and the date spans
- IntegratedFRACrossVolConvexityExponent(VolatilityCurve, VolatilityCurve, R1ToR1, double, double, int, int) - Static method in class org.drip.analytics.support.OptionHelper
-
Compute the Integrated FRA Cross Volatility Convexity Exponent given the corresponding volatility and
the correlation Curves, and the date spans
- IntegratedSurfaceVariance(CurveSurfaceQuoteContainer, String, int, int) - Static method in class org.drip.analytics.support.OptionHelper
-
Compute the Integrated Surface Variance given the corresponding volatility and the date spans
- IntegratedSurfaceVariance(VolatilityCurve, int, int) - Static method in class org.drip.analytics.support.OptionHelper
-
Compute the Integrated Surface Variance given the corresponding volatility and the date spans
- InterestRate20 - Class in org.drip.sample.simmsettings
-
InterestRate20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Single/Cross Currency Interest
Rate Tenor Risk Weights, Systemics, and Correlations.
- InterestRate20() - Constructor for class org.drip.sample.simmsettings.InterestRate20
-
- InterestRate21 - Class in org.drip.sample.simmsettings
-
InterestRate21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Single/Cross Currency Interest
Rate Tenor Risk Weights, Systemics, and Correlations.
- InterestRate21() - Constructor for class org.drip.sample.simmsettings.InterestRate21
-
- InterestRateConcentrationThreshold20 - Class in org.drip.sample.simmsettings
-
InterestRateConcentrationThreshold20 demonstrates the Extraction and Display of ISDA SIMM 2.0 Interest
Rate Concentration Thresholds.
- InterestRateConcentrationThreshold20() - Constructor for class org.drip.sample.simmsettings.InterestRateConcentrationThreshold20
-
- InterestRateConcentrationThreshold21 - Class in org.drip.sample.simmsettings
-
InterestRateConcentrationThreshold21 demonstrates the Extraction and Display of ISDA SIMM 2.1 Interest
Rate Concentration Thresholds.
- InterestRateConcentrationThreshold21() - Constructor for class org.drip.sample.simmsettings.InterestRateConcentrationThreshold21
-
- InteriorFixedPointFinder - Class in org.drip.function.rdtor1solver
-
InteriorFixedPointFinder generates the Iterators for solving R^d To R^1 Convex/Non-Convex Functions Under
Inequality Constraints loaded using a Barrier Coefficient.
- InteriorFixedPointFinder(RdToR1, RdToR1[], LineStepEvolutionControl, ConvergenceControl, double) - Constructor for class org.drip.function.rdtor1solver.InteriorFixedPointFinder
-
InteriorFixedPointFinder Constructor
- InteriorPointBarrierControl - Class in org.drip.function.rdtor1solver
-
InteriorPointBarrierControl contains the Barrier Iteration Control Parameters.
- InteriorPointBarrierControl(int, double, double, double, double, int) - Constructor for class org.drip.function.rdtor1solver.InteriorPointBarrierControl
-
InteriorPointBarrierControl Constructor
- interpolate(double) - Method in interface org.drip.measure.bridge.BrokenDateInterpolator
-
Interpolate the Value at T
- interpolate(double) - Method in class org.drip.measure.bridge.BrokenDateInterpolatorBrownian3P
-
- interpolate(double) - Method in class org.drip.measure.bridge.BrokenDateInterpolatorLinearT
-
- interpolate(double) - Method in class org.drip.measure.bridge.BrokenDateInterpolatorSqrtT
-
- interpolationType() - Method in class org.drip.exposure.mpor.MarginPeriodOfRisk
-
Retrieve the MPoR Interpolation Type
- IntervalHMSMS(long) - Static method in class org.drip.analytics.support.Helper
-
Converts the Nano-Second Interval into aH:bM:cS:dMS Format
- interViewComponent() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionExposure
-
Retrieve the View/View Joint Contribution Component
- intraFamilyCrossTenorCorrelation() - Method in class org.drip.simm.parameters.BucketSensitivitySettingsCR
-
Retrieve the Intra-Family Cross Tenor Correlation
- intraViewComponent() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionExposure
-
Retrieve the Single View Joint Contribution Component
- invariant() - Method in class org.drip.execution.tradingtime.CoordinatedVariation
-
Retrieve the Volatility/Liquidity Invariant
- invCumulative(double) - Method in class org.drip.measure.continuous.R1
-
Compute the inverse cumulative under the distribution corresponding to the given value
- invCumulative(double) - Method in class org.drip.measure.discrete.BoundedUniformIntegerDistribution
-
- invCumulative(double) - Method in class org.drip.measure.discrete.PoissonDistribution
-
- invCumulative(double) - Method in class org.drip.measure.gaussian.R1UnivariateNormal
-
- invCumulative(double) - Method in class org.drip.measure.lebesgue.R1PiecewiseDisplaced
-
- invCumulative(double) - Method in class org.drip.measure.lebesgue.R1PiecewiseLinear
-
- invCumulative(double) - Method in class org.drip.measure.lebesgue.R1Uniform
-
- inverse() - Method in class org.drip.state.identifier.FXLabel
-
Delegate the Inverse FX Label
- INVERSE_QUADRATIC_INTERPOLATION - Static variable in class org.drip.function.r1tor1solver.VariateIteratorPrimitive
-
Inverse Quadratic Interpolation
- InverseCDF(double) - Static method in class org.drip.measure.gaussian.NormalQuadrature
-
Compute the Inverse CDF of the Distribution up to the specified Y
- inverseCode() - Method in class org.drip.product.params.CurrencyPair
-
Get the inverse currency pair code
- inverseMarginNormBound() - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
-
Retrieve the Norm Upper Bound of the Inverse Margin
- inverseMarginSpace() - Method in class org.drip.learning.svm.RdDecisionFunction
-
Retrieve the Inverse Margin Weight Metric Vector Space
- inverseMarginWeights() - Method in class org.drip.learning.svm.RdDecisionFunction
-
Retrieve the Decision Kernel Weights
- InverseQuadraticInterpolation(double, double, double, double, double, double) - Static method in class org.drip.function.r1tor1solver.VariateIteratorPrimitive
-
Iterate for the next variate using inverse quadratic interpolation
- inverseTurnover() - Method in class org.drip.execution.parameters.AssetFlowSettings
-
Retrieve the Daily Inverse Turnover
- Invert(double[][], String) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Invert the input matrix using the specified Method
- Invert2DMatrixUsingCramerRule(double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Invert a 2D Matrix using Cramer's Rule
- InvertUsingGaussianElimination(double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Invert the Source Matrix using Gaussian Elimination
- INVESTMENT - Static variable in class org.drip.simm.credit.SectorSystemics
-
The Investment Sector
- InvestorCliffSettings - Class in org.drip.portfolioconstruction.alm
-
InvestorCliffSettings contains the Investor's Time Cliff Settings Parameters such as the Retirement and
the Mortality Ages.
- InvestorCliffSettings(double, double) - Constructor for class org.drip.portfolioconstruction.alm.InvestorCliffSettings
-
InvestorCliffSettings Constructor
- investorCliffSettings() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityStream
-
Retrieve the Investor's Time Horizon Settings
- InvocationManager - Class in org.drip.service.env
-
InvocationManager records the manages the Build/Execution Environment of an Invocation.
- InvocationManager() - Constructor for class org.drip.service.env.InvocationManager
-
- invocationRecord() - Static method in class org.drip.service.env.InvocationManager
-
Retrieve the Invocation Record
- InvocationRecord - Class in org.drip.service.env
-
InvocationRecord implements the Invocation Start/Finish Times of a given Invocation.
- InvocationRecord() - Constructor for class org.drip.service.env.InvocationRecord
-
InvocationTimes Constructor
- invoke(JSONObject) - Method in class org.drip.service.engine.ComputeClient
-
Invoke a Request on the Compute Server and Retrieve the Response
- IPCHoliday - Class in org.drip.analytics.holset
-
- IPCHoliday() - Constructor for class org.drip.analytics.holset.IPCHoliday
-
- IR - Static variable in class org.drip.simm.common.Chargram
-
The Interest Rate Digram IR
- IR1Attribution - Class in org.drip.sample.forwardratefuturespnl
-
IR1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
IR1 Series.
- IR1Attribution() - Constructor for class org.drip.sample.forwardratefuturespnl.IR1Attribution
-
- IR1ClosesReconstitutor - Class in org.drip.sample.forwardratefuturesfeed
-
IR1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formatted IR1 Closes Feed.
- IR1ClosesReconstitutor() - Constructor for class org.drip.sample.forwardratefuturesfeed.IR1ClosesReconstitutor
-
- IR_CRNQ - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Correlation between Interest Rate and Credit Non-Qualifying Risk Classes
- IR_CRNQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Interest Rate and Credit Non Qualifying Risk Classes
- IR_CRNQ - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Correlation between Interest Rate and Credit Non-Qualifying Risk Classes
- IR_CRNQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Interest Rate and Credit Non Qualifying Risk Classes
- IR_CRQ - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Correlation between Interest Rate and Credit Qualifying Risk Classes
- IR_CRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Interest Rate and Credit Qualifying Risk Classes
- IR_CRQ - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Correlation between Interest Rate and Credit Qualifying Risk Classes
- IR_CRQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Interest Rate and Credit Qualifying Risk Classes
- IR_CT - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Correlation between Interest Rate and Commodity Risk Classes
- IR_CT() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Interest Rate and Commodity Risk Classes
- IR_CT - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Correlation between Interest Rate and Commodity Risk Classes
- IR_CT() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Interest Rate and Commodity Risk Classes
- IR_EQ - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Correlation between Interest Rate and Equity Risk Classes
- IR_EQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Interest Rate and Equity Risk Classes
- IR_EQ - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Correlation between Interest Rate and Equity Risk Classes
- IR_EQ() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Interest Rate and Equity Risk Classes
- IR_FX - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Correlation between Interest Rate and FX Risk Classes
- IR_FX() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Retrieve the Correlation between Interest Rate and FX Risk Classes
- IR_FX - Static variable in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Correlation between Interest Rate and FX Risk Classes
- IR_FX() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Retrieve the Correlation between Interest Rate and FX Risk Classes
- IRCrossCurvePrincipal - Class in org.drip.sample.simmvariance
-
IRCrossCurvePrincipal demonstrates the Computation of the Cross IR Curve Principal Component Co-variance
using the IR Curve Tenor Principal Component.
- IRCrossCurvePrincipal() - Constructor for class org.drip.sample.simmvariance.IRCrossCurvePrincipal
-
- IRMarginComparison - Class in org.drip.sample.simmvariance
-
IRMarginComparison illustrates the Comparison of the Interest Rate Margin Estimates using difference
Schemes for Calculating the Position-Bucket Principal Component Co-variance.
- IRMarginComparison() - Constructor for class org.drip.sample.simmvariance.IRMarginComparison
-
- irRiskClassAggregate() - Method in class org.drip.simm.estimator.ProductClassMargin
-
Retrieve the Interest Rate Risk Class Aggregate
- irRiskClassSensitivity() - Method in class org.drip.simm.estimator.ProductClassSensitivity
-
Retrieve the IR Risk Class Sensitivity
- irRiskClassSensitivitySettings() - Method in class org.drip.simm.estimator.ProductClassSettings
-
Retrieve the IR Risk Class Sensitivity Settings
- IRSettingsContainer20 - Class in org.drip.simm.rates
-
IRSettingsContainer20 holds the ISDA SIMM 2.0 Tenor Vertex Risk Weights/Correlations for Single IR Curves,
Cross Currencies, and Inflation.
- IRSettingsContainer20() - Constructor for class org.drip.simm.rates.IRSettingsContainer20
-
- IRSettingsContainer21 - Class in org.drip.simm.rates
-
IRSettingsContainer21 holds the ISDA SIMM 2.1 Tenor Vertex Risk Weights/Correlations for Single IR Curves,
Cross Currencies, and Inflation.
- IRSettingsContainer21() - Constructor for class org.drip.simm.rates.IRSettingsContainer21
-
- IRSJacobianRegressorSet - Class in org.drip.regression.curvejacobian
-
IRSJacobianRegressorSet implements the regression analysis set for the IRS product related Sensitivity
Jacobians.
- IRSJacobianRegressorSet() - Constructor for class org.drip.regression.curvejacobian.IRSJacobianRegressorSet
-
- IRSystemics - Class in org.drip.simm.rates
-
IRSystemics contains the Systemic Settings of the SIMM 2.0 Interest Rate Risk Factors.
- IRSystemics() - Constructor for class org.drip.simm.rates.IRSystemics
-
- IRSystemics20 - Class in org.drip.simm.rates
-
IRSystemics20 contains the Systemic Settings of the SIMM 2.0 Interest Rate Risk Factors.
- IRSystemics20() - Constructor for class org.drip.simm.rates.IRSystemics20
-
- IRSystemics21 - Class in org.drip.simm.rates
-
IRSystemics21 contains the Systemic Settings of the SIMM 2.1 Interest Rate Risk Factors.
- IRSystemics21() - Constructor for class org.drip.simm.rates.IRSystemics21
-
- IRThreshold - Class in org.drip.simm.rates
-
IRThreshold holds the ISDA SIMM 2.0 Interest Rate Delta and Vega Concentration Thresholds.
- IRThreshold(CurrencyRiskGroup, DeltaVegaThreshold) - Constructor for class org.drip.simm.rates.IRThreshold
-
IRThreshold Constructor
- IRThresholdContainer20 - Class in org.drip.simm.rates
-
IRThresholdContainer20 holds the ISDA SIMM 2.0 Interest Rate Thresholds - the Currency Risk Groups, and
the Delta/Vega Limits defined for the Concentration Thresholds.
- IRThresholdContainer20() - Constructor for class org.drip.simm.rates.IRThresholdContainer20
-
- IRThresholdContainer21 - Class in org.drip.simm.rates
-
IRThresholdContainer21 holds the ISDA SIMM 2.1 Interest Rate Thresholds - the Currency Risk Groups, and
the Delta/Vega Limits defined for the Concentration Thresholds.
- IRThresholdContainer21() - Constructor for class org.drip.simm.rates.IRThresholdContainer21
-
- IRWeight - Class in org.drip.simm.rates
-
IRWeight holds the ISDA SIMM Tenor Interest Rate Vertex Risk Weights for Currencies across all Volatility
Types.
- IRWeight(String, Map<String, Double>, Map<String, Double>) - Constructor for class org.drip.simm.rates.IRWeight
-
IRWeight Constructor
- isActive() - Method in class org.drip.portfolioconstruction.optimizer.ObjectiveTermUnit
-
Indicate if the Objective Term is Active
- isAlive(double) - Method in class org.drip.portfolioconstruction.alm.InvestorCliffSettings
-
Retrieve the Investor "Is Alive" Indicator Flag corresponding to the specified Age
- isAlive() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityCashFlow
-
Retrieve the "Is Alive" Indicator Flag
- isBaseNatural() - Method in class org.drip.function.r1tor1.ExponentialTension
-
Is the base natural?
- isCap() - Method in class org.drip.product.fra.FRAStandardCapFloor
-
Indicate if this is a Cap or Floor
- isCaplet() - Method in class org.drip.product.fra.FRAStandardCapFloorlet
-
Indicate whether this a Caplet/Floorlet
- isCET1Contributor() - Method in class org.drip.xva.basel.ValueCategory
-
Indicator if the Category is a CET1 Contributor
- isCoMonotone(double[]) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- isCoMonotone(double[]) - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
-
- isCoMonotone(double[]) - Method in interface org.drip.spline.stretch.SingleSegmentSequence
-
Verify whether the Stretch mini-max Behavior matches the Measurement
- isCompatible(FritzJohnMultipliers) - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Indicate if the specified Fritz John Multipliers are compatible with the Optimization Framework
- isCorrelatorQuadratric() - Method in interface org.drip.simm.foundation.CurvatureEstimator
-
Indicate if the Correlator is Quadratic
- isCorrelatorQuadratric() - Method in class org.drip.simm.foundation.CurvatureEstimatorISDADelta
-
- isCorrelatorQuadratric() - Method in class org.drip.simm.foundation.CurvatureEstimatorResponseFunction
-
- isCPLDCQ(double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Check for Constant Positive Linear Dependence Constraint Qualification
- isCRCQ(double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Check for Constant Rank Constraint Qualification
- ISDA(double, double, double, int) - Static method in class org.drip.simm.parameters.BucketCurvatureSettings
-
Construct the ISDA Standard BucketCurvatureSettings
- ISDA(String) - Static method in class org.drip.state.identifier.CSALabel
-
Generate the ISDA CSA
- ISDA_20(List<String>, int) - Static method in class org.drip.simm.estimator.ProductClassSettings
-
Construct an ISDA SIMM 2.0 Version of ProductClassSettings
- ISDA_20(String) - Static method in class org.drip.simm.parameters.BucketCurvatureSettingsIR
-
Generate the ISDA 2.0 Standard BucketCurvatureSettingsIR
- ISDA_20(String) - Static method in class org.drip.simm.parameters.BucketVegaSettingsIR
-
Construct the ISDA 2.0 Standard IR Vega Sensitivity Settings for the Currency
- ISDA_20(List<String>) - Static method in class org.drip.simm.parameters.RiskClassSensitivitySettingsIR
-
Generate the ISDA 2.0 Standard Commodity Sensitivity Settings
- ISDA_21(List<String>, int) - Static method in class org.drip.simm.estimator.ProductClassSettings
-
Construct an ISDA SIMM 2.1 Version of ProductClassSettings
- ISDA_21(String) - Static method in class org.drip.simm.parameters.BucketCurvatureSettingsIR
-
Generate the ISDA 2.1 Standard BucketCurvatureSettingsIR
- ISDA_21(String) - Static method in class org.drip.simm.parameters.BucketVegaSettingsIR
-
Construct the ISDA 2.1 Standard IR Vega Sensitivity Settings for the Currency
- ISDA_21(List<String>) - Static method in class org.drip.simm.parameters.RiskClassSensitivitySettingsIR
-
Generate the ISDA 2.1 Standard Commodity Sensitivity Settings
- ISDA_92 - Static variable in class org.drip.xva.settings.CloseOutScheme
-
The Dealer/Client ISDA 92 Close Out Scheme
- ISDA_CRNQ_20(int) - Static method in class org.drip.simm.parameters.BucketCurvatureSettingsCR
-
Retrieve the ISDA 2.0 Credit Non-Qualifying Bucket Curvature Settings
- ISDA_CRNQ_20(int) - Static method in class org.drip.simm.parameters.BucketVegaSettingsCR
-
Retrieve the ISDA 2.0 Credit Non-Qualifying Bucket Vega Settings
- ISDA_CRNQ_20() - Static method in class org.drip.simm.parameters.RiskClassSensitivitySettingsCR
-
Generate the SIMM 2.0 CRNQ Class Sensitivity Settings
- ISDA_CRNQ_21(int) - Static method in class org.drip.simm.parameters.BucketCurvatureSettingsCR
-
Retrieve the ISDA 2.1 Credit Non-Qualifying Bucket Curvature Settings
- ISDA_CRNQ_21(int) - Static method in class org.drip.simm.parameters.BucketVegaSettingsCR
-
Retrieve the ISDA 2.1 Credit Non-Qualifying Bucket Vega Settings
- ISDA_CRNQ_21() - Static method in class org.drip.simm.parameters.RiskClassSensitivitySettingsCR
-
Generate the SIMM 2.1 CRNQ Class Sensitivity Settings
- ISDA_CRNQ_CURVATURE_20() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
-
Generate SIMM 2.0 Non-Credit Qualifying Curvature Sensitivity Settings
- ISDA_CRNQ_CURVATURE_21() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
-
Generate SIMM 2.1 Non-Credit Qualifying Curvature Sensitivity Settings
- ISDA_CRNQ_DELTA_20(int) - Static method in class org.drip.simm.parameters.BucketSensitivitySettingsCR
-
Retrieve the ISDA 2.0 Credit Non-Qualifying Bucket Delta Settings
- ISDA_CRNQ_DELTA_20() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
-
Generate SIMM 2.0 Non-Credit Qualifying Delta Sensitivity Settings
- ISDA_CRNQ_DELTA_21(int) - Static method in class org.drip.simm.parameters.BucketSensitivitySettingsCR
-
Retrieve the ISDA 2.1 Credit Non-Qualifying Bucket Delta Settings
- ISDA_CRNQ_DELTA_21() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
-
Generate SIMM 2.1 Non-Credit Qualifying Delta Sensitivity Settings
- ISDA_CRNQ_VEGA_20() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
-
Generate SIMM 2.0 Non-Credit Qualifying Vega Sensitivity Settings
- ISDA_CRNQ_VEGA_21() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
-
Generate SIMM 2.1 Non-Credit Qualifying Vega Sensitivity Settings
- ISDA_CRQ_20(int) - Static method in class org.drip.simm.parameters.BucketCurvatureSettingsCR
-
Retrieve the ISDA 2.0 Credit Qualifying Bucket Curvature Settings
- ISDA_CRQ_20(int) - Static method in class org.drip.simm.parameters.BucketVegaSettingsCR
-
Retrieve the ISDA 2.0 Credit Qualifying Bucket Vega Settings
- ISDA_CRQ_20() - Static method in class org.drip.simm.parameters.RiskClassSensitivitySettingsCR
-
Generate the SIMM 2.0 CRQ Class Sensitivity Settings
- ISDA_CRQ_21(int) - Static method in class org.drip.simm.parameters.BucketCurvatureSettingsCR
-
Retrieve the ISDA 2.1 Credit Qualifying Bucket Curvature Settings
- ISDA_CRQ_21(int) - Static method in class org.drip.simm.parameters.BucketVegaSettingsCR
-
Retrieve the ISDA 2.1 Credit Qualifying Bucket Vega Settings
- ISDA_CRQ_21() - Static method in class org.drip.simm.parameters.RiskClassSensitivitySettingsCR
-
Generate the SIMM 2.1 CRQ Class Sensitivity Settings
- ISDA_CRQ_CURVATURE_20() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
-
Generate SIMM 2.0 Credit Qualifying Curvature Sensitivity Settings
- ISDA_CRQ_CURVATURE_21() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
-
Generate SIMM 2.1 Credit Qualifying Curvature Sensitivity Settings
- ISDA_CRQ_DELTA_20(int) - Static method in class org.drip.simm.parameters.BucketSensitivitySettingsCR
-
Retrieve the ISDA 2.0 Credit Qualifying Bucket Delta Settings
- ISDA_CRQ_DELTA_20() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
-
Generate SIMM 2.0 Credit Qualifying Delta Sensitivity Settings
- ISDA_CRQ_DELTA_21(int) - Static method in class org.drip.simm.parameters.BucketSensitivitySettingsCR
-
Retrieve the ISDA 2.1 Credit Qualifying Bucket Delta Settings
- ISDA_CRQ_DELTA_21() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
-
Generate SIMM 2.1 Credit Qualifying Delta Sensitivity Settings
- ISDA_CRQ_VEGA_20() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
-
Generate SIMM 2.0 Credit Qualifying Vega Sensitivity Settings
- ISDA_CRQ_VEGA_21() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
-
Generate SIMM 2.1 Credit Qualifying Vega Sensitivity Settings
- ISDA_CT_20(int, int) - Static method in class org.drip.simm.parameters.BucketCurvatureSettings
-
Construct the Standard ISDA 2.0 CT Bucket Curvature Settings
- ISDA_CT_20(int) - Static method in class org.drip.simm.parameters.BucketSensitivitySettings
-
Construct the ISDA 2.0 Standard Commodity Bucket Sensitivity Settings for the specified Index
- ISDA_CT_20(int) - Static method in class org.drip.simm.parameters.BucketVegaSettings
-
Construct the Standard ISDA 2.0 Commodity Vega Settings for the specified Bucket
- ISDA_CT_20(int) - Static method in class org.drip.simm.parameters.RiskClassSensitivitySettings
-
Generate the ISDA 2.0 Standard Commodity Sensitivity Settings
- ISDA_CT_21(int, int) - Static method in class org.drip.simm.parameters.BucketCurvatureSettings
-
Construct the Standard ISDA 2.1 CT Bucket Curvature Settings
- ISDA_CT_21(int) - Static method in class org.drip.simm.parameters.BucketSensitivitySettings
-
Construct the ISDA 2.1 Standard Commodity Bucket Sensitivity Settings for the specified Index
- ISDA_CT_21(int) - Static method in class org.drip.simm.parameters.BucketVegaSettings
-
Construct the Standard ISDA 2.1 Commodity Vega Settings for the specified Bucket
- ISDA_CT_21(int) - Static method in class org.drip.simm.parameters.RiskClassSensitivitySettings
-
Generate the ISDA 2.1 Standard Commodity Sensitivity Settings
- ISDA_CT_CURVATURE_20(int) - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
-
Construct an ISDA 2.0 Commodity CURVATURE Standard Instance of RiskMeasureSensitivitySettings
- ISDA_CT_CURVATURE_21(int) - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
-
Construct an ISDA 2.1 Commodity CURVATURE Standard Instance of RiskMeasureSensitivitySettings
- ISDA_CT_DELTA_20() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
-
Construct an ISDA 2.0 Commodity DELTA Standard Instance of RiskMeasureSensitivitySettings
- ISDA_CT_DELTA_21() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
-
Construct an ISDA 2.1 Commodity DELTA Standard Instance of RiskMeasureSensitivitySettings
- ISDA_CT_VEGA_20() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
-
Construct an ISDA 2.0 Commodity VEGA Standard Instance of RiskMeasureSensitivitySettings
- ISDA_CT_VEGA_21() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
-
Construct an ISDA 2.1 Commodity VEGA Standard Instance of RiskMeasureSensitivitySettings
- ISDA_CURVATURE_20(List<String>) - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsIR
-
Generate the Standard ISDA 2.0 CURVATURE Instance of RiskMeasureSensitivitySettingsIR
- ISDA_CURVATURE_21(List<String>) - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsIR
-
Generate the Standard ISDA 2.1 CURVATURE Instance of RiskMeasureSensitivitySettingsIR
- ISDA_DELTA_20(String) - Static method in class org.drip.simm.parameters.BucketSensitivitySettingsIR
-
Construct the ISDA 2.0 Standard IR Delta Sensitivity Settings for the Currency
- ISDA_DELTA_20(List<String>) - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsIR
-
Generate the Standard ISDA 2.0 DELTA Instance of RiskMeasureSensitivitySettingsIR
- ISDA_DELTA_21(String) - Static method in class org.drip.simm.parameters.BucketSensitivitySettingsIR
-
Construct the ISDA 2.1 Standard IR Delta Sensitivity Settings for the Currency
- ISDA_DELTA_21(List<String>) - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsIR
-
Generate the Standard ISDA 2.1 DELTA Instance of RiskMeasureSensitivitySettingsIR
- ISDA_EQ_20(int, int) - Static method in class org.drip.simm.parameters.BucketCurvatureSettings
-
Construct the Standard ISDA 2.0 EQ Bucket Curvature Settings
- ISDA_EQ_20(int) - Static method in class org.drip.simm.parameters.BucketSensitivitySettings
-
Construct the BucketSensitivitySettings 2.0 Instance for the specified Bucket Index
- ISDA_EQ_20(int) - Static method in class org.drip.simm.parameters.BucketVegaSettings
-
Retrieve the ISDA 2.0 Equity Vega Settings
- ISDA_EQ_20(int) - Static method in class org.drip.simm.parameters.RiskClassSensitivitySettings
-
Generate the ISDA 2.0 Standard Commodity Sensitivity Settings
- ISDA_EQ_21(int, int) - Static method in class org.drip.simm.parameters.BucketCurvatureSettings
-
Construct the Standard ISDA 2.1 EQ Bucket Curvature Settings
- ISDA_EQ_21(int) - Static method in class org.drip.simm.parameters.BucketSensitivitySettings
-
Construct the BucketSensitivitySettings 2.1 Instance for the specified Bucket Index
- ISDA_EQ_21(int) - Static method in class org.drip.simm.parameters.BucketVegaSettings
-
Retrieve the ISDA 2.1 Equity Vega Settings
- ISDA_EQ_21(int) - Static method in class org.drip.simm.parameters.RiskClassSensitivitySettings
-
Generate the ISDA 2.1 Standard Commodity Sensitivity Settings
- ISDA_EQ_CURVATURE_20(int) - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
-
Construct an ISDA 2.0 Equity CURVATURE Standard Instance of RiskMeasureSensitivitySettings
- ISDA_EQ_CURVATURE_21(int) - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
-
Construct an ISDA 2.1 Equity CURVATURE Standard Instance of RiskMeasureSensitivitySettings
- ISDA_EQ_DELTA_20() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
-
Construct an ISDA 2.0 Equity DELTA Standard Instance of RiskMeasureSensitivitySettings
- ISDA_EQ_DELTA_21() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
-
Construct an ISDA 2.1 Equity DELTA Standard Instance of RiskMeasureSensitivitySettings
- ISDA_EQ_VEGA_20() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
-
Construct an ISDA 2.0 Equity VEGA Standard Instance of RiskMeasureSensitivitySettings
- ISDA_EQ_VEGA_21() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
-
Construct an ISDA 2.1 Equity VEGA Standard Instance of RiskMeasureSensitivitySettings
- ISDA_FX_20(String, int) - Static method in class org.drip.simm.parameters.BucketCurvatureSettings
-
Construct the Standard ISDA 2.0 FX Bucket Curvature Settings
- ISDA_FX_20(int) - Static method in class org.drip.simm.parameters.BucketSensitivitySettings
-
Construct the Standard ISDA 2.0 Instance of FX Delta Settings
- ISDA_FX_20(String) - Static method in class org.drip.simm.parameters.BucketVegaSettings
-
Construct the Standard ISDA 2.0 Bucket FX Settings
- ISDA_FX_20(int) - Static method in class org.drip.simm.parameters.RiskClassSensitivitySettings
-
Generate the ISDA 2.0 Standard FX Sensitivity Settings
- ISDA_FX_21(String, int) - Static method in class org.drip.simm.parameters.BucketCurvatureSettings
-
Construct the Standard ISDA 2.1 FX Bucket Curvature Settings
- ISDA_FX_21(int) - Static method in class org.drip.simm.parameters.BucketSensitivitySettings
-
Construct the Standard ISDA 2.1 Instance of FX Delta Settings
- ISDA_FX_21(String) - Static method in class org.drip.simm.parameters.BucketVegaSettings
-
Construct the Standard ISDA 2.1 Bucket FX Settings
- ISDA_FX_21(int) - Static method in class org.drip.simm.parameters.RiskClassSensitivitySettings
-
Generate the ISDA 2.1 Standard FX Sensitivity Settings
- ISDA_FX_CURVATURE_20(int) - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
-
Construct an ISDA 2.0 FX Curvature Standard Instance of RiskMeasureSensitivitySettings
- ISDA_FX_CURVATURE_21(int) - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
-
Construct an ISDA 2.1 FX Curvature Standard Instance of RiskMeasureSensitivitySettings
- ISDA_FX_DELTA_20() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
-
Construct an ISDA 2.0 FX DELTA Standard Instance of RiskMeasureSensitivitySettings
- ISDA_FX_DELTA_21() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
-
Construct an ISDA 2.1 FX DELTA Standard Instance of RiskMeasureSensitivitySettings
- ISDA_FX_VEGA_20() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
-
Construct an ISDA 2.0 FX VEGA Standard Instance of RiskMeasureSensitivitySettings
- ISDA_FX_VEGA_21() - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettings
-
Construct an ISDA 2.1 FX VEGA Standard Instance of RiskMeasureSensitivitySettings
- ISDA_VEGA_20(List<String>) - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsIR
-
Generate the Standard ISDA 2.0 VEGA Instance of RiskMeasureSensitivitySettingsIR
- ISDA_VEGA_21(List<String>) - Static method in class org.drip.simm.parameters.RiskMeasureSensitivitySettingsIR
-
Generate the Standard ISDA 2.1 VEGA Instance of RiskMeasureSensitivitySettingsIR
- ISDABucketCurvatureTenorScaler - Class in org.drip.function.r1tor1
-
ISDABucketCurvatureTenorScaler generates the ISDA SIMM Tenor Scaling Factor for a given Bucket Curvature.
- ISDABucketCurvatureTenorScaler(int) - Constructor for class org.drip.function.r1tor1.ISDABucketCurvatureTenorScaler
-
ISDABucketCurvatureTenorScaler Constructor
- ISDASettingsContainer - Class in org.drip.simm.common
-
ISDASettingsContainer holds the ISDA SIMM 2.0 Risk Weights/Correlations for Interest Rates, Qualifying and
Non-qualifying Credit, Equity, Commodity, and Foreign Exchange.
- ISDASettingsContainer() - Constructor for class org.drip.simm.common.ISDASettingsContainer
-
- IsDiagonallyDominant(double[][], boolean) - Static method in class org.drip.quant.linearalgebra.LinearSystemSolver
-
Check to see if the matrix is diagonally dominant.
- isDone() - Method in class org.drip.function.r1tor1solver.ExecutionInitializationOutput
-
Indicate if the execution initialization is done
- isEligible(JulianDate, Bond, double, String) - Method in class org.drip.market.exchange.TreasuryFuturesConvention
-
Indicate whether the given bond is eligible to be delivered
- isEligible(JulianDate, Bond, double, String) - Method in class org.drip.market.exchange.TreasuryFuturesEligibility
-
Indicate whether the given bond is eligible to be delivered
- isEmpty() - Method in class org.drip.feed.loader.InstrumentSetTenorQuote
-
Indicates whether the ISTQ is Empty or not
- IsEmpty(String) - Static method in class org.drip.quant.common.StringUtil
-
Indicate if the Input String is Empty
- IsEOM(int) - Static method in class org.drip.analytics.date.DateUtil
-
Indicate if the given Date corresponds to a Month End
- isEquality() - Method in class org.drip.portfolioconstruction.optimizer.ConstraintTerm
-
Indicate if this is an Equality Constraint
- isFixToFloatOnExercise() - Method in class org.drip.product.params.EmbeddedOptionSchedule
-
Return whether the component is fix to float on exercise
- isFloater() - Method in class org.drip.product.credit.BondComponent
-
- isFloater() - Method in class org.drip.product.definition.Bond
-
Return whether the bond is a floater
- isFONC(FritzJohnMultipliers, double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Check the Candidate Point for First Order Necessary Condition
- isFXMTM() - Method in class org.drip.analytics.cashflow.Bullet
-
Is the Cash Flow FX MTM?
- isFXMTM() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Is this Cash Flow FX MTM?
- isFXMTM() - Method in class org.drip.market.otc.CrossFloatSwapConvention
-
Retrieve the FX MTM Flag
- IsHoliday(int, String, int) - Static method in class org.drip.analytics.daycount.Convention
-
Indicate whether the given Date is a Holiday in the specified Location(s)
- IsHoliday(int, String) - Static method in class org.drip.analytics.daycount.Convention
-
Indicates whether the given Date is a Holiday in the specified Location(s)
- isin() - Method in class org.drip.product.credit.BondComponent
-
- isin() - Method in class org.drip.product.definition.Bond
-
Get the ISIN
- isin() - Method in class org.drip.product.params.IdentifierSet
-
Retrieve the ISIN
- isKnot(double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- isKnot(double) - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
-
- isKnot(double) - Method in interface org.drip.spline.stretch.SingleSegmentSequence
-
Is the given Predictor Ordinate a Knot Location
- isLagrangian() - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Indicate if the Optimizer Framework is Lagrangian
- isLCQ() - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Check for Linearity Constraint Qualification
- IsLeapYear(int) - Static method in class org.drip.analytics.date.DateUtil
-
Indicate if the Year of the given Julian Date is a Leap Year
- isLeftWeekend(int) - Method in class org.drip.analytics.eventday.Weekend
-
Is the given date a left weekend day
- isLICQ(double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Check for Linearity Independent Constraint Qualification
- isLocal() - Method in class org.drip.spline.params.ResponseScalingShapeControl
-
Indicate if the Control is applied on a Local or a Global Predicate Ordinate Basis
- isLocallyMonotone() - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- isLocallyMonotone() - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
-
- isLocallyMonotone() - Method in interface org.drip.spline.stretch.SingleSegmentSequence
-
Indicate if all the comprising Segments are Monotone
- isMark() - Method in class org.drip.param.quote.ProductTick
-
Indicate whether the quote may be treated as a mark
- isMergeState(double, LatentStateLabel) - Method in class org.drip.spline.grid.AggregatedSpan
-
- isMergeState(double, LatentStateLabel) - Method in class org.drip.spline.grid.OverlappingStretchSpan
-
- isMergeState(double, LatentStateLabel) - Method in interface org.drip.spline.grid.Span
-
Indicate if the specified Label is part of the Merge State at the specified Predictor Ordinate
- isMFCQ(double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Check for Mangasarian Fromovitz Constraint Qualification
- isPositive() - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Retrieve the Sequence Positiveness Flag
- isPositiveDefinite(double[]) - Method in class org.drip.learning.kernel.IntegralOperator
-
Indicate the Kernel Operator Integral's Positive-definiteness across the specified X Variate Instance
- iSpread() - Method in class org.drip.analytics.output.BondRVMeasures
-
Retrieve the I Spread
- iSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from ASW to Work-out
- iSpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from ASW to Maturity
- iSpreadFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from ASW to Optimal Exercise
- iSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from Bond Basis to Work-out
- iSpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from Bond Basis to Maturity
- iSpreadFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from Bond Basis to Optimal Exercise
- iSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from Credit Basis to Work-out
- iSpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from Credit Basis to Maturity
- iSpreadFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from Credit Basis to Optimal Exercise
- iSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from Discount Margin to Work-out
- iSpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from Discount Margin to Maturity
- iSpreadFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from Discount Margin to Optimal Exercise
- iSpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from E Spread to Work-out
- iSpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from E Spread to Maturity
- iSpreadFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from E Spread to Optimal Exercise
- iSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from G Spread to Work-out
- iSpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from G Spread to Maturity
- iSpreadFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from G Spread to Optimal Exercise
- iSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from J Spread to Work-out
- iSpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from J Spread to Maturity
- iSpreadFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from J Spread to Optimal Exercise
- iSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from N Spread to Work-out
- iSpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from N Spread to Maturity
- iSpreadFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from N Spread to Optimal Exercise
- iSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from OAS to Work-out
- iSpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from OAS to Maturity
- iSpreadFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from OAS to Optimal Exercise
- iSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from PECS to Work-out
- iSpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from PECS to Maturity
- iSpreadFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from PECS to Optimal Exercise
- iSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from Price to Work-out
- iSpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from Price to Maturity
- iSpreadFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from Price to Optimal Exercise
- iSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from TSY Spread to Work-out
- iSpreadFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from TSY Spread to Maturity
- iSpreadFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from TSY Spread to Optimal Exercise
- iSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from Yield to Work-out
- iSpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from Yield to Maturity
- iSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from Yield Spread to Work-out
- iSpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from Yield Spread to Maturity
- iSpreadFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from Yield Spread to Optimal Exercise
- iSpreadFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from Yield to Optimal Exercise
- iSpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from Z Spread to Work-out
- iSpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from Z Spread to Maturity
- iSpreadFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- iSpreadFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate I Spread from Z Spread to Optimal Exercise
- isPredictorBounded() - Method in interface org.drip.spaces.tensor.GeneralizedVector
-
Indicate if the Predictor Variate Space is bounded from the Left and the Right
- isPredictorBounded() - Method in class org.drip.spaces.tensor.R1CombinatorialVector
-
- isPredictorBounded() - Method in class org.drip.spaces.tensor.R1ContinuousVector
-
- isPredictorBounded() - Method in class org.drip.spaces.tensor.RdAggregate
-
- isProportional() - Method in class org.drip.param.definition.ManifestMeasureTweak
-
Is the Tweak Proportional
- isPut() - Method in class org.drip.product.params.EmbeddedOptionSchedule
-
Whether the component is putable or callable
- isQNCQ(FritzJohnMultipliers, double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Check for Quasi Normal Constraint Qualification
- isRepoable() - Method in class org.drip.exposure.evolver.PrimarySecurity
-
Indicate if the PrimarySecurity is Repo-able
- isRetired() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityCashFlow
-
Retrieve the Retirement Indicator Flag
- isRightWeekend(double) - Method in class org.drip.analytics.eventday.Weekend
-
Is the given date a right weekend day
- isSCCQ(double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Check for Slater Condition Constraint Qualification
- isSell() - Method in class org.drip.execution.discrete.Slice
-
Indicate if the Slice is a Sell
- isSOSC(FritzJohnMultipliers, double[], boolean) - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Check the Candidate Point for Second Order Sufficiency Condition
- issueAmount() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Bond Issue Amount
- issuePrice() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Bond Issue Price
- issuer() - Method in class org.drip.market.exchange.TreasuryFuturesEligibility
-
Retrieve the Array of Eligible Issuers
- issuerSelection() - Method in class org.drip.portfolioconstruction.constraint.LimitExposureTermIssuer
-
Retrieve the Issuer Selection Array
- issuerSelection() - Method in class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuer
-
Retrieve the Issuer Selection Array
- issuerSelection() - Method in class org.drip.portfolioconstruction.constraint.LimitNamesTermIssuer
-
Retrieve the Issuer Selection Array
- issuerSelection() - Method in class org.drip.portfolioconstruction.constraint.LimitThresholdTermIssuer
-
Retrieve the Issuer Selection Array
- issuerSelection() - Method in class org.drip.portfolioconstruction.constraint.LimitTradesTermIssuer
-
Retrieve the Issuer Selection Array
- issuerSelection() - Method in class org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuer
-
Retrieve the Issuer Selection Array
- isToleranceAbsolute() - Method in class org.drip.quant.eigen.PowerIterationComponentExtractor
-
Indicate if the specified Tolerance is Absolute
- isUncollateralized() - Method in class org.drip.xva.proto.PositionGroupSpecification
-
Retrieve the Flag specifying whether the Collateral Group is Uncollateralized
- isUnconstrained() - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Indicate if the Optimizer Framework is Unconstrained
- isUpper() - Method in class org.drip.function.rdtor1.AffineBoundMultivariate
-
- isUpper() - Method in interface org.drip.function.rdtor1.BoundMultivariate
-
Retrieve the Bound Type Indicator Flag
- IsValid(long) - Static method in class org.drip.quant.common.NumberUtil
-
Check if the Input Long is MIN_VALUE or MAX_VALUE
- IsValid(long[]) - Static method in class org.drip.quant.common.NumberUtil
-
Check if the Input Long Array contains a MIN_VALUE or MAX_VALUE
- IsValid(double) - Static method in class org.drip.quant.common.NumberUtil
-
Checks if the input double is Infinite or NaN
- IsValid(double[]) - Static method in class org.drip.quant.common.NumberUtil
-
Checks if the input double array contains an Infinite or an NaN
- isVariateConvergenceCheckEnabled() - Method in class org.drip.function.r1tor1solver.ExecutionControl
-
Indicate if the variate convergence check has been turned on
- isVariateConvergenceCheckEnabled() - Method in class org.drip.function.r1tor1solver.ExecutionControlParams
-
Indicate if the variate convergence check has been turned on
- isWeekend(int) - Method in class org.drip.analytics.eventday.Weekend
-
Is the given date a weekend day
- ItemList - Class in org.drip.json.simple
-
ItemList is an Adaptation of the ItemList Interface from the RFC4627 compliant JSON Simple
(https://code.google.com/p/json-simple/).
- ItemList() - Constructor for class org.drip.json.simple.ItemList
-
- ItemList(String) - Constructor for class org.drip.json.simple.ItemList
-
- ItemList(String, String) - Constructor for class org.drip.json.simple.ItemList
-
- ItemList(String, String, boolean) - Constructor for class org.drip.json.simple.ItemList
-
- iterateCompoundVariate(double, double, double, double, FixedPointFinderOutput) - Method in class org.drip.function.r1tor1solver.FixedPointFinderBracketing
-
- iterateCompoundVariate(double, double, double, double, FixedPointFinderOutput) - Method in class org.drip.function.r1tor1solver.FixedPointFinderBrent
-
- iterateCompoundVariate(double, double, double, double, FixedPointFinderOutput) - Method in class org.drip.function.r1tor1solver.FixedPointFinderZheng
-
- IteratedBracket - Class in org.drip.function.r1tor1solver
-
IteratedBracket holds the left/right bracket variates and the corresponding values for the objective
function during each iteration.
- IteratedBracket(BracketingOutput) - Constructor for class org.drip.function.r1tor1solver.IteratedBracket
-
BracketingVariateIterator constructor
- IteratedVariate - Class in org.drip.function.r1tor1solver
-
IteratedVariate holds the variate and the corresponding value for the objective function during each
iteration.
- IteratedVariate(ExecutionInitializationOutput, double) - Constructor for class org.drip.function.r1tor1solver.IteratedVariate
-
IteratedVariate constructor
- iterateVariate(IteratedVariate, FixedPointFinderOutput) - Method in class org.drip.function.r1tor1solver.FixedPointFinder
-
- iterateVariate(IteratedVariate, FixedPointFinderOutput) - Method in class org.drip.function.r1tor1solver.FixedPointFinderBracketing
-
- iterateVariate(IteratedVariate, FixedPointFinderOutput) - Method in class org.drip.function.r1tor1solver.FixedPointFinderNewton
-
- IterationHelper - Class in org.drip.spaces.iterator
-
IterationHelper contains the Functionality that helps perform Checked Multidimensional Iterative Scans.
- IterationHelper() - Constructor for class org.drip.spaces.iterator.IterationHelper
-
- iterator() - Method in class org.drip.spaces.tensor.RdCombinatorialVector
-
Retrieve the Multidimensional Iterator associated with the Underlying Vector Space
- ITLHoliday - Class in org.drip.analytics.holset
-
- ITLHoliday() - Constructor for class org.drip.analytics.holset.ITLHoliday
-
- iWander() - Method in class org.drip.execution.athl.TransactionSignal
-
Retrieve the "I" Component Wander of the Transaction Signal
- L1Attribution - Class in org.drip.sample.forwardratefuturespnl
-
L1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
L1 Series.
- L1Attribution() - Constructor for class org.drip.sample.forwardratefuturespnl.L1Attribution
-
- L1ClosesReconstitutor - Class in org.drip.sample.forwardratefuturesfeed
-
L1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formatted L1 Closes Feed.
- L1ClosesReconstitutor() - Constructor for class org.drip.sample.forwardratefuturesfeed.L1ClosesReconstitutor
-
- L1LossLearner - Class in org.drip.learning.rxtor1
-
L1LossLearner implements the Learner Class that holds the Space of Normed R^x To Normed R^1 Learning
Functions that employs L1 Empirical Loss Routine.
- L1LossLearner(NormedRxToNormedR1Finite, CoveringNumberLossBound, RegularizationFunction, MeasureConcentrationExpectationBound) - Constructor for class org.drip.learning.rxtor1.L1LossLearner
-
L1LossLearner Constructor
- L1R1CoveringBounds - Class in org.drip.spaces.cover
-
L1R1CoveringBounds implements the Lower/Upper Bounds for the Class of Non-decreasing R^1 To L1 R^1
Functions that are:
- Absolutely Bounded
- Have Bounded Variation.
- L1R1CoveringBounds(double, double, double) - Constructor for class org.drip.spaces.cover.L1R1CoveringBounds
-
L1R1CoveringBounds Constructor
- label() - Method in interface org.drip.analytics.definition.Curve
-
Get the Curve Latent State Identifier Label
- label() - Method in class org.drip.analytics.definition.MarketSurface
-
- label() - Method in class org.drip.analytics.definition.NodeStructure
-
- label() - Method in class org.drip.exposure.evolver.TerminalLatentState
-
Retrieve the Latent State Label
- label() - Method in class org.drip.state.basis.BasisCurve
-
- label() - Method in class org.drip.state.credit.CreditCurve
-
- label() - Method in class org.drip.state.curve.DerivedZeroRate
-
- label() - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
- label() - Method in class org.drip.state.forward.ForwardCurve
-
- label() - Method in class org.drip.state.fx.FXCurve
-
- label() - Method in class org.drip.state.govvie.GovvieCurve
-
- label() - Method in class org.drip.state.repo.RepoCurve
-
- label() - Method in class org.drip.state.representation.LatentStateMergeSubStretch
-
Retrieve the Latent State Label
- label() - Method in class org.drip.state.representation.LatentStateSpecification
-
Retrieve the Latent State Label
- LabelCorrelation - Class in org.drip.measure.stochastic
-
LabelCorrelation holds the Correlations between any Stochastic Variates identified by their Labels.
- LabelCorrelation(List<String>, double[][]) - Constructor for class org.drip.measure.stochastic.LabelCorrelation
-
LabelCorrelation Constructor
- labelCorrelation() - Method in class org.drip.simm.estimator.ProductClassSettings
-
Retrieve the Cross Risk Class Label Correlation
- labelExists(LatentStateLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Indicate if the Label exists
- labelList() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve the List of all Loaded Labels
- labelList() - Method in class org.drip.measure.stochastic.LabelCorrelation
-
Retrieve the Label List
- LabelMatch(LatentStateLabel, LatentStateLabel) - Static method in class org.drip.analytics.support.Helper
-
Do the Left and the Right Labels Match?
- lag() - Method in class org.drip.analytics.eventday.DateInMonth
-
Retrieve the Date Lag
- lag() - Method in class org.drip.param.valuation.CashSettleParams
-
Retrieve the Settle Lag
- LagrangePolynomialStretchRegressor - Class in org.drip.regression.spline
-
LagrangePolynomialStretchRegressor implements the local control basis spline regressor for the given basis
spline.
- LagrangePolynomialStretchRegressor(String, String) - Constructor for class org.drip.regression.spline.LagrangePolynomialStretchRegressor
-
- LagrangianMultivariate - Class in org.drip.function.rdtor1
-
LagrangianMultivariate implements an R^d To R^1 Multivariate Function along with the specified Set of
Equality Constraints.
- LagrangianMultivariate(RdToR1, RdToR1[]) - Constructor for class org.drip.function.rdtor1.LagrangianMultivariate
-
LagrangianMultivariate Constructor
- Laiwu - Class in org.drip.sample.bondeos
-
Laiwu demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Laiwu.
- Laiwu() - Constructor for class org.drip.sample.bondeos.Laiwu
-
- lambda() - Method in class org.drip.learning.regularization.RegularizationFunction
-
Retrieve the Regularization Constant Lambda
- lambda() - Method in class org.drip.learning.regularization.RegularizerR1CombinatorialToR1Continuous
-
- lambda() - Method in class org.drip.learning.regularization.RegularizerR1ContinuousToR1Continuous
-
- lambda() - Method in interface org.drip.learning.regularization.RegularizerR1ToR1
-
Retrieve the Regularization Constant Lambda
- lambda() - Method in class org.drip.learning.regularization.RegularizerRdCombinatorialToR1Continuous
-
- lambda() - Method in class org.drip.learning.regularization.RegularizerRdContinuousToR1Continuous
-
- lambda() - Method in interface org.drip.learning.regularization.RegularizerRdToR1
-
Retrieve the Regularization Constant Lambda
- lambda() - Method in class org.drip.measure.discrete.PoissonDistribution
-
Retrieve Lambda
- lambda() - Method in class org.drip.param.pricer.HestonOptionPricerParams
-
Retrieve Lambda
- lambda() - Method in class org.drip.sequence.random.Poisson
-
Retrieve Lambda
- lambda(double, double) - Method in interface org.drip.simm.foundation.CurvatureResponse
-
Compute the Lambda from the Curvature Sensitivities
- lambda(double, double) - Method in class org.drip.simm.foundation.CurvatureResponseCornishFischer
-
Compute the Lambda from the Curvature Sensitivities
- lambdaPlateauPeak() - Method in class org.drip.simm.foundation.CurvatureResponseCornishFischer
-
Retrieve the Lambda Plateau Peak
- Langfeng - Class in org.drip.sample.bondeos
-
Langfeng demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Langfeng.
- Langfeng() - Constructor for class org.drip.sample.bondeos.Langfeng
-
- Lanzhou - Class in org.drip.sample.bondeos
-
Lanzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Lanzhou.
- Lanzhou() - Constructor for class org.drip.sample.bondeos.Lanzhou
-
- LARGE - Static variable in class org.drip.simm.equity.MarketCapitalizationSystemics
-
The "Large" Market Capitalization
- LARGE_MARKET_CAPITALIZATION_CUTOFF - Static variable in class org.drip.simm.equity.MarketCapitalizationSystemics
-
Cutoff for the Large Market Capitalization
- LastFlowDates - Class in org.drip.exposure.csatimeline
-
LastFlowDates holds the Last Client/Dealer Margin Flow and Trade Flow Dates using the Parameterization
laid out in Andersen, Pykhtin, and Sokol (2017).
- LastFlowDates(JulianDate, JulianDate, JulianDate, JulianDate, JulianDate, JulianDate, JulianDate, JulianDate) - Constructor for class org.drip.exposure.csatimeline.LastFlowDates
-
LastFlowDates Constructor
- lastFlowDates() - Method in class org.drip.exposure.mpor.VariationMarginTradeVertexExposure
-
Retrieve the Last Flow Dates
- lastPeriod() - Method in class org.drip.product.params.BondStream
-
Returns the final Coupon period
- lastTradeExerciseLag() - Method in class org.drip.product.params.LastTradingDateSetting
-
Retrieve the Lag between the Last Trading and Exercise Date
- lastTrading() - Method in class org.drip.market.exchange.TreasuryFuturesEventDates
-
Retrieve the Last Trading Date
- lastTradingDate() - Method in class org.drip.product.params.LastTradingDateSetting
-
Retrieve the Last Trading Date
- lastTradingDate(int, String) - Method in class org.drip.product.params.LastTradingDateSetting
-
Compute the Last Trading Date
- lastTradingDateSetting() - Method in class org.drip.product.option.OptionComponent
-
Retrieve the Option Last Trading Date Setting
- LastTradingDateSetting - Class in org.drip.product.params
-
LastTradingDateSeting contains the Last Trading Date Generation Scheme for the given Option.
- LastTradingDateSetting(int, String, int) - Constructor for class org.drip.product.params.LastTradingDateSetting
-
LastTradingDateSetting Constructor
- lastTradingDayLag() - Method in class org.drip.product.govvie.TreasuryFutures
-
Retrieve the Last Trading Day Lag
- LatamCorp - Class in org.drip.sample.cma
-
LatamCorp demonstrates LATAM Corporate Bond Pricing and Relative Value Measure Generation Functionality.
- LatamCorp() - Constructor for class org.drip.sample.cma.LatamCorp
-
- LATENT_STATE_BASIS - Static variable in class org.drip.state.basis.BasisCurve
-
Basis Latent State
- LATENT_STATE_FORWARD - Static variable in class org.drip.analytics.definition.LatentStateStatic
-
Forward Latent State
- LATENT_STATE_FUNDING - Static variable in class org.drip.analytics.definition.LatentStateStatic
-
Funding Latent State
- LATENT_STATE_FX - Static variable in class org.drip.analytics.definition.LatentStateStatic
-
FX Latent State
- LATENT_STATE_GOVVIE - Static variable in class org.drip.analytics.definition.LatentStateStatic
-
Govvie Latent State
- LATENT_STATE_REPO - Static variable in class org.drip.state.repo.RepoCurve
-
Repo Latent State
- LATENT_STATE_VOLATILITY - Static variable in class org.drip.analytics.definition.LatentStateStatic
-
Volatility Latent State
- LatentMarketStateBuilder - Class in org.drip.service.template
-
LatentMarketStateBuilder contains static Helper API to facilitate Construction of the Latent Market States
as Curves/Surfaces.
- LatentMarketStateBuilder() - Constructor for class org.drip.service.template.LatentMarketStateBuilder
-
- LatentState - Interface in org.drip.state.representation
-
LatentState exposes the functionality to manipulate the hidden Variable's Latent State.
- latentState() - Method in class org.drip.state.representation.LatentStateSpecification
-
Retrieve the Latent State
- LatentStateDynamicsContainer - Class in org.drip.exposure.evolver
-
LatentStateDynamicsContainer holds the Latent State Labels for a variety of Latent States and their
Evolvers.
- LatentStateDynamicsContainer() - Constructor for class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Empty LatentStateDynamicsContainer Constructor
- latentStateDynamicsContainer() - Method in class org.drip.exposure.universe.MarketVertexGenerator
-
Retrieve the Latent State Dynamics Container
- latentStateExists(LatentStateLabel) - Method in class org.drip.exposure.universe.MarketCorrelation
-
Check if the Latent State is available in the Correlation Matrix
- LatentStateFixingsContainer - Class in org.drip.param.market
-
LatentStateFixingsContainer holds the explicit fixings for a specified Latent State Quantification along
the date ordinate.
- LatentStateFixingsContainer() - Constructor for class org.drip.param.market.LatentStateFixingsContainer
-
Empty LatentStateFixingsContainer Instance Constructor
- LatentStateInelastic - Class in org.drip.spline.segment
-
This class contains the spline segment in-elastic fields - in this case the start/end ranges.
- LatentStateInelastic(double, double) - Constructor for class org.drip.spline.segment.LatentStateInelastic
-
LatentStateInelastic constructor
- latentStateLabel() - Method in class org.drip.dynamics.evolution.LSQMCurveIncrement
-
Retrieve the Latent State Labels
- latentStateLabel() - Method in class org.drip.dynamics.evolution.LSQMCurveSnapshot
-
Retrieve the Latent State Labels
- latentStateLabel() - Method in class org.drip.dynamics.evolution.LSQMPointRecord
-
Retrieve the Latent State Labels
- latentStateLabel() - Method in class org.drip.exposure.generator.NumeraireMPoR
-
Retrieve the Latent State Label
- LatentStateLabel - Interface in org.drip.state.identifier
-
LatentStateLabel is the interface that contains the labels inside the sub-stretch of the alternate state.
- latentStateLabelList() - Method in class org.drip.exposure.universe.MarketCorrelation
-
Retrieve the Latent State Label List
- LatentStateManifestSensitivity - Class in org.drip.spline.segment
-
LatentStateManifestSensitivity contains the Manifest Sensitivity generation control parameters and the
Manifest Sensitivity outputs related to the given Segment.
- LatentStateManifestSensitivity(PreceedingManifestSensitivityControl) - Constructor for class org.drip.spline.segment.LatentStateManifestSensitivity
-
LatentStateManifestSensitivity constructor
- LatentStateMergeSubStretch - Class in org.drip.state.representation
-
LatentStateMergeSubStretch implements merged stretch that is common to multiple latent states.
- LatentStateMergeSubStretch(double, double, LatentStateLabel) - Constructor for class org.drip.state.representation.LatentStateMergeSubStretch
-
LatentStateMergeSubStretch constructor
- LatentStateProcessor - Class in org.drip.service.json
-
LatentStateProcessor Sets Up and Executes a JSON Based In/Out Curve Processor.
- LatentStateProcessor() - Constructor for class org.drip.service.json.LatentStateProcessor
-
- latentStateQuantificationMetric() - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
-
- latentStateQuantificationMetric() - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
-
- latentStateQuantificationMetric() - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
-
- latentStateQuantificationMetric() - Method in class org.drip.state.curve.ZeroRateDiscountCurve
-
- latentStateQuantificationMetric() - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
Retrieve the Latent State Quantification Metric
- latentStateQuantificationMetric() - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
-
- latentStateQuantificationMetric() - Method in class org.drip.state.representation.LatentStateSpecification
-
Retrieve the Latent State Quantification Metric
- LatentStateResponseModel - Class in org.drip.spline.segment
-
LatentStateResponseModel implements the single segment basis calibration and inference functionality.
- LatentStateSegmentSpec - Class in org.drip.state.inference
-
LatentStateSegmentSpec carries the calibration instrument and the manifest measure set used in calibrating
the segment.
- LatentStateSegmentSpec(CalibratableComponent, ProductQuoteSet) - Constructor for class org.drip.state.inference.LatentStateSegmentSpec
-
LatentStateSegmentSpec constructor
- LatentStateSequenceBuilder - Class in org.drip.state.inference
-
LatentStateSequenceBuilder holds the logic behind building the bootstrap segments contained in the given
Stretch.
- LatentStateSequenceBuilder(double, LatentStateStretchSpec, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, Span, StretchBestFitResponse, CaseInsensitiveHashMap<PreceedingManifestSensitivityControl>, StretchBestFitResponse, BoundarySettings) - Constructor for class org.drip.state.inference.LatentStateSequenceBuilder
-
LatentStateSequenceBuilder constructor
- LatentStateShapePreservingCCIS - Class in org.drip.analytics.input
-
LatentStateShapePreservingCCIS contains the Parameters needed for the Curve Calibration/Estimation.
- LatentStateShapePreservingCCIS(LinearLatentStateCalibrator, LatentStateStretchSpec[], ValuationParams, CreditPricerParams, ValuationCustomizationParams, CurveSurfaceQuoteContainer) - Constructor for class org.drip.analytics.input.LatentStateShapePreservingCCIS
-
LatentStateShapePreservingCCIS constructor
- LatentStateSpecification - Class in org.drip.state.representation
-
LatentStateSpecification holds the fields necessary to specify a complete Latent State.
- LatentStateSpecification(String, String, LatentStateLabel) - Constructor for class org.drip.state.representation.LatentStateSpecification
-
LatentStateSpecification constructor
- LatentStateStatic - Class in org.drip.analytics.definition
-
LatentStateStatic contains the Analytics Latent State Static/Textual Identifiers.
- LatentStateStatic() - Constructor for class org.drip.analytics.definition.LatentStateStatic
-
- LatentStateStretchBuilder - Class in org.drip.state.estimator
-
LatentStateStretchBuilder contains the Functionality to construct the Curve Latent State Stretch for the
different Latent States.
- LatentStateStretchBuilder() - Constructor for class org.drip.state.estimator.LatentStateStretchBuilder
-
- LatentStateStretchSpec - Class in org.drip.state.inference
-
LatentStateStretchSpec carries the Latent State Segment Sequence corresponding to the calibratable
Stretch.
- LatentStateStretchSpec(String, LatentStateSegmentSpec[]) - Constructor for class org.drip.state.inference.LatentStateStretchSpec
-
LatentStateStretchSpec constructor
- latentStateType() - Method in class org.drip.service.api.FixFloatFundingInstrument
-
Retrieve the Latent State Type
- latentStateValue(LatentStateLabel) - Method in class org.drip.exposure.universe.MarketVertex
-
Retrieve the Realized Value for the Latent State
- LatentStateVertexContainer - Class in org.drip.exposure.evolver
-
LatentStateVertexContainer holds the Latent State Labels and their corresponding Vertex Realizations.
- LatentStateVertexContainer() - Constructor for class org.drip.exposure.evolver.LatentStateVertexContainer
-
Empty LatentStateVertexContainer Constructor
- LatentStateWeiner - Class in org.drip.exposure.universe
-
LatentStateWeiner generates the Edge Latent State Weiner Increments across Trajectory Vertexes needed for
computing the Valuation Adjustment.
- LatentStateWeiner() - Constructor for class org.drip.exposure.universe.LatentStateWeiner
-
Empty LatentStateWeiner Constructor
- latentStateWeinerMap() - Method in class org.drip.exposure.universe.LatentStateWeiner
-
Retrieve the Latent State Weiner Increment Map
- latestBuildRecord() - Static method in class org.drip.service.env.BuildManager
-
Retrieve the Latest Build Record
- latestBuildRecord() - Static method in class org.drip.service.env.InvocationManager
-
Retrieve the Latest Build Record
- Latur - Class in org.drip.sample.bondmetrics
-
Latur generates the Full Suite of Replication Metrics for a Sample Bond.
- Latur() - Constructor for class org.drip.sample.bondmetrics.Latur
-
- launch() - Method in class org.drip.regression.core.RegressionEngine
-
Launch the Regression Engine and execute the regression sets
- LCGNumericalRecipesDouble - Class in org.drip.sample.rng
-
LCGNumericalRecipesDouble demonstrates the Construction and Invocation of Linear Congruential Generator
based Random Number Double's.
- LCGNumericalRecipesDouble() - Constructor for class org.drip.sample.rng.LCGNumericalRecipesDouble
-
- LCGNumericalRecipesLong - Class in org.drip.sample.rng
-
LCGNumericalRecipesLong demonstrates the Construction and Invocation of Linear Congruential Generator
based Random Number Long's.
- LCGNumericalRecipesLong() - Constructor for class org.drip.sample.rng.LCGNumericalRecipesLong
-
- lcq() - Method in class org.drip.optimization.constrained.RegularityConditions
-
Retrieve the LCQ Constraint Qualifier
- leading() - Method in class org.drip.spline.bspline.SegmentBasisFunction
-
Retrieve the Leading Predictor Ordinate
- LeanMaxCompositeSubMatrix(double[][], int, int) - Static method in class org.drip.spaces.big.SubMatrixSetExtractor
-
Use the "Lean" Method to compute the Maximum Composite Value of all the sub-matrices contained within
a specified Square Matrix starting from the given Row and Column
- LeapFrog(RandomNumberGenerator, int, int) - Static method in class org.drip.measure.crng.MultiStreamGenerator
-
Generate Multiple Independent Streams using the Leap Frog Technique
- LeapFrog(int, int) - Static method in class org.drip.measure.crng.MultiStreamGenerator
-
Generate Multiple Independent Streams using the Leap Frog Technique from the Default Random Number
Generator
- learner() - Method in class org.drip.learning.bound.EmpiricalLearnerLoss
-
Retrieve the Learning Function
- leastUpperBound() - Method in class org.drip.learning.bound.LipschitzCoveringNumberBound
-
Retrieve the Least Covering Number Upper Bound
- left() - Method in class org.drip.spline.bspline.TensionBasisHat
-
Retrieve the Left Predictor Ordinate
- left() - Method in class org.drip.spline.grid.AggregatedSpan
-
- left() - Method in class org.drip.spline.grid.OverlappingStretchSpan
-
- left() - Method in interface org.drip.spline.grid.Span
-
Retrieve the Left Span Edge
- left() - Method in class org.drip.spline.segment.LatentStateInelastic
-
Retrieve the Segment Left Predictor Ordinate
- LEFT_INCLUDE - Static variable in class org.drip.analytics.date.DateUtil
-
LEFT_INCLUDE includes the start date in the Feb29 check
- LEFT_NODE_VALUE_PARAMETER_INDEX - Static variable in class org.drip.spline.segment.LatentStateResponseModel
-
LEFT NODE VALUE PARAMETER INDEX
- LEFT_OF_CONSTRAINT - Static variable in class org.drip.spline.params.SegmentResponseValueConstraint
-
Indicator specifying that the knot is to the left of the constraint ordinates
- LEFT_TENOR_EQUALS - Static variable in class org.drip.analytics.support.Helper
-
Tenor Comparator - Left Tenor Matches Right
- LEFT_TENOR_GREATER - Static variable in class org.drip.analytics.support.Helper
-
Tenor Comparator - Left Tenor Greater than Right
- LEFT_TENOR_LESSER - Static variable in class org.drip.analytics.support.Helper
-
Tenor Comparator - Left Tenor Lesser than Right
- leftChild() - Method in class org.drip.spaces.big.BinaryTree
-
Retrieve the Left Child BinaryTree Instance
- leftDerivOrder() - Method in class org.drip.spline.stretch.BoundarySettings
-
Retrieve the Order of the Left Derivative
- leftDimensionEdge() - Method in class org.drip.spaces.tensor.RdCombinatorialVector
-
- leftDimensionEdge() - Method in class org.drip.spaces.tensor.RdContinuousVector
-
- leftDimensionEdge() - Method in interface org.drip.spaces.tensor.RdGeneralizedVector
-
Retrieve the Array of the Variate Left Edges
- leftEdge() - Method in class org.drip.measure.continuous.R1Multivariate
-
Retrieve the Left Edge Bounding Multivariate
- leftEdge() - Method in class org.drip.measure.lebesgue.R1Uniform
-
Retrieve the Left Predictor Ordinate Edge
- leftEdge() - Method in interface org.drip.spaces.tensor.GeneralizedVector
-
Retrieve the Left Edge
- leftEdge() - Method in class org.drip.spaces.tensor.R1CombinatorialVector
-
- leftEdge() - Method in class org.drip.spaces.tensor.R1ContinuousVector
-
- leftEdge() - Method in class org.drip.spaces.tensor.RdCombinatorialVector
-
- leftEdge() - Method in class org.drip.spaces.tensor.RdContinuousVector
-
- leftEdgeDeriv() - Method in class org.drip.spline.params.SegmentStateCalibrationInputs
-
Retrieve the Array of the Left Edge Derivatives
- LeftHatShapeControl - Class in org.drip.spline.bspline
-
LeftHatShapeControl implements the BasisHatShapeControl interface for the left hat basis set as laid out
in the basic framework outlined in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000)
Papers.
- LeftHatShapeControl(double, double, String, double) - Constructor for class org.drip.spline.bspline.LeftHatShapeControl
-
LeftHatShapeControl constructor
- leftHoldings() - Method in class org.drip.execution.discrete.Slice
-
Retrieve the Left-of-Slice Holdings
- leftHoldingsDerivative(double, double, int) - Method in class org.drip.execution.impact.TransactionFunction
-
Compute the Sensitivity to the Left Holdings
- LeftInfinite(R1ToR1, double) - Static method in class org.drip.quant.calculus.R1ToR1Integrator
-
Integrate the specified Function Numerically from -infinity to the specified Right Limit
- LeftInfiniteRightInfinite(R1ToR1) - Static method in class org.drip.quant.calculus.R1ToR1Integrator
-
Integrate Numerically over [-infinity, +infinity] using a Change of Variables
- leftMostChild() - Method in class org.drip.spaces.big.BinaryTree
-
Retrieve the Left Most Child
- leftPillar() - Method in class org.drip.exposure.regression.AndersenPykhtinSokolSegment
-
Retrieve the Left Pillar Vertex
- leftPillar() - Method in class org.drip.exposure.regression.PykhtinBrownianBridgeSegment
-
Retrieve the Left Pillar Vertex
- lengthDPE() - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Retrieve the Segment Length DPE
- lengthDPE() - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- lengthDPE() - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Retrieve the Span Length DPE
- lengthPenaltyControl() - Method in class org.drip.spline.params.SegmentInelasticDesignControl
-
Retrieve the Length Penalty Parameters
- level() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput
-
Compute the Array of the Custom Projection Induced Confidence Level
- level() - Method in class org.drip.portfolioconstruction.optimizer.Scope
-
Retrieve the Scope Level
- Lhasa - Class in org.drip.sample.bondeos
-
Lhasa demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Lhasa.
- Lhasa() - Constructor for class org.drip.sample.bondeos.Lhasa
-
- liability() - Method in class org.drip.xva.basel.BalanceSheetVertex
-
Retrieve the Liability Account
- Lianyungang - Class in org.drip.sample.bondeos
-
Lianyungang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Lianyungang.
- Lianyungang() - Constructor for class org.drip.sample.bondeos.Lianyungang
-
- Liaocheng - Class in org.drip.sample.bondeos
-
Liaocheng demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Liaocheng.
- Liaocheng() - Constructor for class org.drip.sample.bondeos.Liaocheng
-
- Liaoyang - Class in org.drip.sample.bondeos
-
Liaoyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Liaoyang.
- Liaoyang() - Constructor for class org.drip.sample.bondeos.Liaoyang
-
- libor() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
-
Retrieve the LIBOR Rate
- libor() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
-
Retrieve the LIBOR Rate
- libor(int, int, double) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
Compute the LIBOR between 2 dates given the Day Count
- libor(int, int) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
Compute the LIBOR between 2 dates
- libor(int, String) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
Calculate the LIBOR to the given tenor at the specified date
- libor(JulianDate, String) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
Calculate the LIBOR to the given tenor at the specified Julian Date
- libor12MSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Retrieve the LIBOR 12M Sensitivity Margin Map
- libor12MTenorDeltaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
-
Retrieve the LIBOR 12M Tenor Delta Risk Weight
- libor12MTenorMargin(BucketSensitivitySettingsIR) - Method in class org.drip.simm.product.BucketSensitivityIR
-
Generate the LIBOR12M Tenor Sensitivity Margin Map
- libor12MTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketCurvatureSettingsIR
-
- libor12MTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketSensitivitySettingsIR
-
Retrieve the LIBOR 12M Tenor Risk Weight
- libor12MTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
-
- libor12MTenorSensitivity() - Method in class org.drip.simm.product.BucketSensitivityIR
-
Retrieve the LIBOR12M Risk Factor Tenor Sensitivity
- libor12MTenorVegaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
-
Retrieve the LIBOR 12M Tenor Vega Risk Weight
- libor1MSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Retrieve the LIBOR 1M Sensitivity Margin Map
- libor1MTenorDeltaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
-
Retrieve the LIBOR 1M Tenor Delta Risk Weight
- libor1MTenorMargin(BucketSensitivitySettingsIR) - Method in class org.drip.simm.product.BucketSensitivityIR
-
Generate the LIBOR1M Tenor Sensitivity Margin Map
- libor1MTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketCurvatureSettingsIR
-
- libor1MTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketSensitivitySettingsIR
-
Retrieve the LIBOR 1M Tenor Risk Weight
- libor1MTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
-
- libor1MTenorSensitivity() - Method in class org.drip.simm.product.BucketSensitivityIR
-
Retrieve the LIBOR1M Risk Factor Tenor Sensitivity
- libor1MTenorVegaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
-
Retrieve the LIBOR1M Tenor Vega Risk Weight
- libor3MSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Retrieve the LIBOR 3M Sensitivity Margin Map
- libor3MTenorDeltaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
-
Retrieve the LIBOR 3M Tenor Delta Risk Weight
- libor3MTenorMargin(BucketSensitivitySettingsIR) - Method in class org.drip.simm.product.BucketSensitivityIR
-
Generate the LIBOR3M Tenor Sensitivity Margin Map
- libor3MTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketCurvatureSettingsIR
-
- libor3MTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketSensitivitySettingsIR
-
Retrieve the LIBOR 3M Tenor Risk Weight
- libor3MTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
-
- libor3MTenorSensitivity() - Method in class org.drip.simm.product.BucketSensitivityIR
-
Retrieve the LIBOR3M Risk Factor Tenor Sensitivity
- libor3MTenorVegaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
-
Retrieve the LIBOR3M Tenor Vega Risk Weight
- libor6MSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Retrieve the LIBOR 6M Sensitivity Margin Map
- libor6MTenorDeltaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
-
Retrieve the LIBOR 6M Tenor Delta Risk Weight
- libor6MTenorMargin(BucketSensitivitySettingsIR) - Method in class org.drip.simm.product.BucketSensitivityIR
-
Generate the LIBOR6M Tenor Sensitivity Margin Map
- libor6MTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketCurvatureSettingsIR
-
- libor6MTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketSensitivitySettingsIR
-
Retrieve the LIBOR 6M Tenor Risk Weight
- libor6MTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
-
- libor6MTenorSensitivity() - Method in class org.drip.simm.product.BucketSensitivityIR
-
Retrieve the LIBOR6M Risk Factor Tenor Sensitivity
- libor6MTenorVegaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
-
Retrieve the LIBOR6M Tenor Vega Risk Weight
- liborForwardRate() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
-
Retrieve the LIBOR Forward Rate
- liborForwardRateIncrement(int, int, int, double, int) - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
-
Compute the LIBOR Forward Rate Increment given the Spot Date, the View Date, the Target Date, the
Current LIBOR Forward Rate, and the View Time Increment
- liborForwardRateIncrement() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
-
Retrieve the LIBOR Forward Rate Increment
- liborIncrement() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
-
Retrieve the LIBOR Rate Increment
- liborIncrement() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
-
Retrieve the LIBOR Rate Increment
- liborRate(int, String, boolean) - Method in class org.drip.dynamics.lmm.ContinuouslyCompoundedForwardProcess
-
Retrieve a Realized/Expected Value of the LIBOR Rate at the Target Date
- liborRateIncrements() - Method in class org.drip.dynamics.lmm.BGMTenorNodeSequence
-
Retrieve the Array of Tenor LIBOR Rate Increments
- liborRates() - Method in class org.drip.dynamics.lmm.BGMTenorNodeSequence
-
Retrieve the Array of Tenor LIBOR Rates
- licq() - Method in class org.drip.optimization.constrained.RegularityConditions
-
Retrieve the LICQ Constraint Qualifier
- lIFOListFromArray(double[]) - Static method in class org.drip.spaces.graph.SinglyLinkedNode
-
Generate a LIFO Linked List from the Value Array
- Lijiang - Class in org.drip.sample.bondeos
-
Lijiang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Lijiang.
- Lijiang() - Constructor for class org.drip.sample.bondeos.Lijiang
-
- LimitBudgetTerm - Class in org.drip.portfolioconstruction.constraint
-
LimitBudgetTerm holds the Details of a Limit Budget Constraint Term.
- LimitBudgetTerm(String, String, String, Scope, Unit, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitBudgetTerm
-
- LimitBudgetTermNet - Class in org.drip.portfolioconstruction.constraint
-
LimitBudgetTermNet holds the Details of a Limit Net Budget Constraint Term.
- LimitBudgetTermNet(String, Scope, Unit, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitBudgetTermNet
-
LimitBudgetTermNet Constructor
- LimitBudgetTermTransactionCharge - Class in org.drip.portfolioconstruction.constraint
-
LimitBudgetTermTransactionCharge holds the Details of a After Transaction Charge Limit Budget Constraint
Term.
- LimitBudgetTermTransactionCharge(String, Scope, Unit, double, double[], double[], TransactionCharge[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitBudgetTermTransactionCharge
-
LimitBudgetTermTransactionCharge Constructor
- LimitChargeTermIssuer - Class in org.drip.portfolioconstruction.constraint
-
LimitChargeTermIssuer constrains the Limit Issuer Transaction Charge Term.
- LimitChargeTermIssuer(String, String, String, Scope, Unit, double, double, double[], TransactionCharge[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitChargeTermIssuer
-
LimitChargeTermIssuer Constructor
- LimitExposureTerm - Class in org.drip.portfolioconstruction.constraint
-
LimitExposureTerm holds the Details of a Limit Exposure Constraint Term - Limits can be Absolute/Net etc.
- LimitExposureTerm(String, String, String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitExposureTerm
-
- LimitExposureTermAbsolute - Class in org.drip.portfolioconstruction.constraint
-
LimitExposureTermAbsolute holds the Details of a Limit Absolute Exposure Constraint Term.
- LimitExposureTermAbsolute(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitExposureTermAbsolute
-
LimitExposureTermAbsolute Constructor
- LimitExposureTermIssuer - Class in org.drip.portfolioconstruction.constraint
-
LimitExposureTermIssuer abstracts the Limit Issuer Exposure Constraint Term.
- LimitExposureTermIssuer(String, String, String, Scope, Unit, double, double, double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitExposureTermIssuer
-
- LimitExposureTermIssuerLong - Class in org.drip.portfolioconstruction.constraint
-
LimitExposureTermIssuerLong holds the Details of a Limit Issuer Long Exposure Constraint Term.
- LimitExposureTermIssuerLong(String, Scope, Unit, double, double, double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitExposureTermIssuerLong
-
LimitExposureTermIssuerLong Constructor
- LimitExposureTermIssuerNet - Class in org.drip.portfolioconstruction.constraint
-
LimitExposureTermIssuerNet holds the Details of a Limit Issuer Net Exposure Constraint Term.
- LimitExposureTermIssuerNet(String, Scope, Unit, double, double, double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitExposureTermIssuerNet
-
LimitExposureTermIssuerNet Constructor
- LimitExposureTermIssuerShort - Class in org.drip.portfolioconstruction.constraint
-
LimitExposureTermIssuerShort holds the Details of a Limit Issuer Short Exposure Constraint Term.
- LimitExposureTermIssuerShort(String, Scope, Unit, double, double, double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitExposureTermIssuerShort
-
LimitExposureTermIssuerShort Constructor
- LimitExposureTermNet - Class in org.drip.portfolioconstruction.constraint
-
LimitExposureTermNet holds the Details of a Limit Net Exposure Constraint Term.
- LimitExposureTermNet(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitExposureTermNet
-
LimitExposureTermNet Constructor
- LimitHoldingsTerm - Class in org.drip.portfolioconstruction.constraint
-
LimitHoldingsTerm holds the Details of a Limit Holdings Constraint Term - Limits can be Absolute/Net etc.
- LimitHoldingsTerm(String, String, String, Scope, Unit, double, double, int) - Constructor for class org.drip.portfolioconstruction.constraint.LimitHoldingsTerm
-
- LimitHoldingsTermAbsolute - Class in org.drip.portfolioconstruction.constraint
-
LimitHoldingsTermAbsolute holds the Details of a Limit Absolute Holdings Constraint Term.
- LimitHoldingsTermAbsolute(String, Scope, Unit, double, double, int) - Constructor for class org.drip.portfolioconstruction.constraint.LimitHoldingsTermAbsolute
-
LimitHoldingsTermAbsolute Constructor
- LimitHoldingsTermIssuer - Class in org.drip.portfolioconstruction.constraint
-
LimitHoldingsTermIssuer abstracts the Limit Issuer Holdings Constraint Term.
- LimitHoldingsTermIssuer(String, String, String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuer
-
- LimitHoldingsTermIssuerLong - Class in org.drip.portfolioconstruction.constraint
-
LimitHoldingsTermIssuerLong holds the Details of Limit Issuer Long Holdings Constraint Term.
- LimitHoldingsTermIssuerLong(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuerLong
-
LimitHoldingsTermIssuerLong Constructor
- LimitHoldingsTermIssuerLongShort - Class in org.drip.portfolioconstruction.constraint
-
LimitHoldingsTermIssuerLongShort holds the Details of Limit Issuer Long/Short Holdings Ratio Constraint
Term.
- LimitHoldingsTermIssuerLongShort(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuerLongShort
-
LimitHoldingsTermIssuerLongShort Constructor
- LimitHoldingsTermIssuerNet - Class in org.drip.portfolioconstruction.constraint
-
LimitHoldingsTermIssuerNet holds the Details of Limit Issuer Net Holdings Constraint Term.
- LimitHoldingsTermIssuerNet(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuerNet
-
LimitHoldingsTermIssuerNet Constructor
- LimitHoldingsTermIssuerShort - Class in org.drip.portfolioconstruction.constraint
-
LimitHoldingsTermIssuerShort holds the Details of Limit Issuer Short Holdings Constraint Term.
- LimitHoldingsTermIssuerShort(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuerShort
-
LimitHoldingsTermIssuerShort Constructor
- LimitHoldingsTermIssuerWeightedAverage - Class in org.drip.portfolioconstruction.constraint
-
LimitHoldingsTermIssuerWeightedAverage holds the Details of Weighted Average Issuer Limit Holdings
Constraint Term.
- LimitHoldingsTermIssuerWeightedAverage(String, Scope, Unit, double, double, double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuerWeightedAverage
-
LimitHoldingsTermIssuerWeightedAverage Constructor
- LimitHoldingsTermMinimumPeriod - Class in org.drip.portfolioconstruction.constraint
-
LimitHoldingsTermMinimumPeriod holds the Details of Limit Minimum Holdings Period Constraint Term.
- LimitHoldingsTermMinimumPeriod(String, Scope, Unit, double, double, int, double) - Constructor for class org.drip.portfolioconstruction.constraint.LimitHoldingsTermMinimumPeriod
-
- LimitHoldingsTermModelDeviation - Class in org.drip.portfolioconstruction.constraint
-
LimitHoldingsTermModelDeviation holds the Details of a Limit Holdings Benchmark Weights Absolute Deviation
Constraint Term.
- LimitHoldingsTermModelDeviation(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitHoldingsTermModelDeviation
-
LimitHoldingsTermModelDeviation Constructor
- LimitNamesTermIssuer - Class in org.drip.portfolioconstruction.constraint
-
LimitNamesTermIssuer holds the Details of a Limit Count of Issuer Names Constraint Term.
- LimitNamesTermIssuer(String, String, String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitNamesTermIssuer
-
- LimitNamesTermIssuerLong - Class in org.drip.portfolioconstruction.constraint
-
LimitNamesTermIssuerLong holds the Details of Count of the Total Long Active Assets in the Holdings.
- LimitNamesTermIssuerLong(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitNamesTermIssuerLong
-
LimitNamesTermIssuerLong Constructor
- LimitNamesTermIssuerShort - Class in org.drip.portfolioconstruction.constraint
-
LimitNamesTermIssuerShort holds the Details of Count of the Total Short Active Assets in the Holdings.
- LimitNamesTermIssuerShort(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitNamesTermIssuerShort
-
LimitNamesTermIssuerShort Constructor
- LimitNamesTermIssuerTotal - Class in org.drip.portfolioconstruction.constraint
-
LimitNamesTermIssuerTotal holds the Details of Count of the Total Active Assets in the Holdings.
- LimitNamesTermIssuerTotal(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitNamesTermIssuerTotal
-
LimitNamesTermIssuerTotal Constructor
- LimitRiskTerm - Class in org.drip.portfolioconstruction.constraint
-
LimitRiskTerm holds the Details of a Limit Risk Constraint Term.
- LimitRiskTerm(String, String, String, Scope, Unit, double, double, double[][]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitRiskTerm
-
- LimitRiskTermMarginal - Class in org.drip.portfolioconstruction.constraint
-
LimitRiskTermMarginal holds the Details of a Relative Marginal Contribution Based Limit Risk Constraint
Term.
- LimitRiskTermMarginal(String, Scope, Unit, double, double, double[][], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitRiskTermMarginal
-
LimitRiskTermMarginal Constructor
- LimitRiskTermVariance - Class in org.drip.portfolioconstruction.constraint
-
LimitRiskTermVariance holds the Details of a Variance Based Limit Risk Constraint Term.
- LimitRiskTermVariance(String, Scope, Unit, double, double, double[][], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitRiskTermVariance
-
LimitRiskTermVariance Constructor
- LimitTaxTerm - Class in org.drip.portfolioconstruction.constraint
-
LimitTaxTerm holds the Details of a Limit Tax Constraint Term.
- LimitTaxTerm(String, String, String, Scope, Unit, double, double, TaxationScheme, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTaxTerm
-
- LimitTaxTermGrossGains - Class in org.drip.portfolioconstruction.constraint
-
LimitTaxTermGrossGains holds the Details of a Limit Gross Tax Gains Constraint Term.
- LimitTaxTermGrossGains(String, Scope, Unit, double, double, TaxationScheme, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTaxTermGrossGains
-
LimitTaxTermGrossGains Constructor
- LimitTaxTermGrossLoss - Class in org.drip.portfolioconstruction.constraint
-
LimitTaxTermGrossLoss holds the Details of a Limit Gross Tax Loss Constraint Term.
- LimitTaxTermGrossLoss(String, Scope, Unit, double, double, TaxationScheme, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTaxTermGrossLoss
-
LimitTaxTermGrossLoss Constructor
- LimitTaxTermLiability - Class in org.drip.portfolioconstruction.constraint
-
LimitTaxTermLiability holds the Details of a Limit Tax Liability Constraint Term.
- LimitTaxTermLiability(String, Scope, Unit, double, double, TaxationScheme, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTaxTermLiability
-
LimitTaxTermLiability Constructor
- LimitTaxTermLongGains - Class in org.drip.portfolioconstruction.constraint
-
LimitTaxTermLongGains holds the Details of a Limit Long Term Tax Gains Constraint Term.
- LimitTaxTermLongGains(String, Scope, Unit, double, double, TaxationScheme, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTaxTermLongGains
-
LimitTaxTermLongGains Constructor
- LimitTaxTermNetGains - Class in org.drip.portfolioconstruction.constraint
-
LimitTaxTermNetGains holds the Details of a Limit Net Tax Gains Constraint Term.
- LimitTaxTermNetGains(String, Scope, Unit, double, double, TaxationScheme, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTaxTermNetGains
-
LimitTaxTermNetGains Constructor
- LimitTaxTermNetLoss - Class in org.drip.portfolioconstruction.constraint
-
LimitTaxTermNetLoss holds the Details of a Limit Net Tax Loss Constraint Term.
- LimitTaxTermNetLoss(String, Scope, Unit, double, double, TaxationScheme, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTaxTermNetLoss
-
LimitTaxTermNetLoss Constructor
- LimitThresholdTermIssuer - Class in org.drip.portfolioconstruction.constraint
-
LimitThresholdTermIssuer abstracts the Issuer Target Portfolio Holdings as long as they are not Zero.
- LimitThresholdTermIssuer(String, String, String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitThresholdTermIssuer
-
- LimitThresholdTermIssuerLong - Class in org.drip.portfolioconstruction.constraint
-
LimitThresholdTermIssuerLong implements the Issuer Long Portfolio Holdings as long as they are not Zero.
- LimitThresholdTermIssuerLong(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitThresholdTermIssuerLong
-
LimitThresholdTermIssuerLong Constructor
- LimitThresholdTermIssuerNet - Class in org.drip.portfolioconstruction.constraint
-
LimitThresholdTermIssuerNet implements the Issuer Net Portfolio Holdings as long as they are not Zero.
- LimitThresholdTermIssuerNet(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitThresholdTermIssuerNet
-
LimitThresholdTermIssuerNet Constructor
- LimitThresholdTermIssuerShort - Class in org.drip.portfolioconstruction.constraint
-
LimitThresholdTermIssuerShort implements the Issuer Short Portfolio Holdings as long as they are not Zero.
- LimitThresholdTermIssuerShort(String, Scope, Unit, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitThresholdTermIssuerShort
-
LimitThresholdTermIssuerShort Constructor
- LimitTradesTermIssuer - Class in org.drip.portfolioconstruction.constraint
-
LimitTradesTermIssuer abstracts the Issuer Targets the Count of Portfolio Trades.
- LimitTradesTermIssuer(String, String, String, Scope, Unit, double, double, double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTradesTermIssuer
-
- LimitTradesTermIssuerBuy - Class in org.drip.portfolioconstruction.constraint
-
LimitTradesTermIssuerBuy abstracts the Issuer Targets the Count of Total Buy Portfolio Trades.
- LimitTradesTermIssuerBuy(String, Scope, Unit, double, double, double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTradesTermIssuerBuy
-
LimitTradesTermIssuerBuy Constructor
- LimitTradesTermIssuerSell - Class in org.drip.portfolioconstruction.constraint
-
LimitTradesTermIssuerSell abstracts the Issuer Targets the Count of Total Sell Portfolio Trades.
- LimitTradesTermIssuerSell(String, Scope, Unit, double, double, double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTradesTermIssuerSell
-
LimitTradesTermIssuerSell Constructor
- LimitTradesTermIssuerTotal - Class in org.drip.portfolioconstruction.constraint
-
LimitTradesTermIssuerTotal abstracts the Issuer Targets the Count of Total Portfolio Trades.
- LimitTradesTermIssuerTotal(String, Scope, Unit, double, double, double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTradesTermIssuerTotal
-
LimitTradesTermIssuerTotal Constructor
- LimitTurnoverTermIssuer - Class in org.drip.portfolioconstruction.constraint
-
LimitTurnoverTermIssuer abstracts the Issuer Targets the Turnover of Portfolio Trades.
- LimitTurnoverTermIssuer(String, String, String, Scope, Unit, double, double, double[], double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuer
-
- LimitTurnoverTermIssuerBuy - Class in org.drip.portfolioconstruction.constraint
-
LimitTuroverTermIssuerBuy abstracts the Issuer Targets the Turnover of Total Buy Portfolio Trades.
- LimitTurnoverTermIssuerBuy(String, Scope, Unit, double, double, double[], double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuerBuy
-
LimitTurnoverTermIssuerBuy Constructor
- LimitTurnoverTermIssuerNet - Class in org.drip.portfolioconstruction.constraint
-
LimitTurnoverTermIssuerNet abstracts the Issuer Targets the Turnover of Total Net Portfolio Trades.
- LimitTurnoverTermIssuerNet(String, Scope, Unit, double, double, double[], double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuerNet
-
LimitTurnoverTermIssuerNet Constructor
- LimitTurnoverTermIssuerSell - Class in org.drip.portfolioconstruction.constraint
-
LimitTurnoverTermIssuerSell abstracts the Issuer Targets the Turnover of Total Sell Portfolio Trades.
- LimitTurnoverTermIssuerSell(String, Scope, Unit, double, double, double[], double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuerSell
-
LimitTurnoverTermIssuerSell Constructor
- LimitTurnoverTermIssuerShort - Class in org.drip.portfolioconstruction.constraint
-
LimitTurnoverTermIssuerShort abstracts the Issuer Targets the Turnover of Total Short Portfolio Trades.
- LimitTurnoverTermIssuerShort(String, Scope, Unit, double, double, double[], double[], double[]) - Constructor for class org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuerShort
-
LimitTurnoverTermIssuerShort Constructor
- Linear(double[], double, double) - Static method in class org.drip.execution.strategy.DiscreteTradingTrajectory
-
Construct a Linear DiscreteTradingTrajectory Instance
- LINEAR_TIME - Static variable in class org.drip.xva.settings.BrokenDateScheme
-
Linear Time Based Broken Date Interpolation Scheme
- linearAggregate(RiskMeasureSensitivitySettings, MarginEstimationSettings) - Method in class org.drip.simm.product.RiskMeasureSensitivity
-
Generate the Linear Risk Measure Aggregate
- linearAggregate(RiskMeasureSensitivitySettingsCR, MarginEstimationSettings) - Method in class org.drip.simm.product.RiskMeasureSensitivityCR
-
Generate the Linear Risk Measure Aggregate
- linearAggregate(RiskMeasureSensitivitySettingsIR, MarginEstimationSettings) - Method in class org.drip.simm.product.RiskMeasureSensitivityIR
-
Generate the Linear Risk Measure Aggregate
- LinearAlgebra - Class in org.drip.sample.matrix
-
LinearAlgebra implements Samples for Linear Algebra and Matrix Manipulations.
- LinearAlgebra() - Constructor for class org.drip.sample.matrix.LinearAlgebra
-
- LinearC1(double[], double[]) - Static method in class org.drip.spline.pchip.LocalMonotoneCkGenerator
-
Generate a Vanilla C1 Array from the specified Array of Predictor Ordinates and the Response Values
- linearCharge() - Method in class org.drip.portfolioconstruction.cost.TransactionChargeLinear
-
Retrieve the Linear Transaction Charge
- LinearChargeBuyTerm - Class in org.drip.portfolioconstruction.objective
-
LinearChargeBuyTerm implements the Objective Term that optimizes the Charge incurred by the Buy Trades in
the Target Portfolio under a Linear Transaction Charge from the Starting Allocation.
- LinearChargeBuyTerm(String, double[], TransactionChargeLinear[]) - Constructor for class org.drip.portfolioconstruction.objective.LinearChargeBuyTerm
-
LinearChargeBuyTerm Conastructor
- LinearChargeSellTerm - Class in org.drip.portfolioconstruction.objective
-
LinearChargeSellTerm implements the Objective Term that optimizes the Charge incurred by the Sell Trades
in the Target Portfolio under a Linear Transaction Charge from the Starting Allocation.
- LinearChargeSellTerm(String, double[], TransactionChargeLinear[]) - Constructor for class org.drip.portfolioconstruction.objective.LinearChargeSellTerm
-
LinearChargeSellTerm Constructor
- LinearChargeTerm - Class in org.drip.portfolioconstruction.objective
-
LinearChargeTerm implements the Objective Term that optimizes the Charge of the Buy/Sell Trades in the
Target Portfolio under a Linear Transaction Charge from the Starting Allocation.
- LinearChargeTerm(String, double[], TransactionChargeLinear[]) - Constructor for class org.drip.portfolioconstruction.objective.LinearChargeTerm
-
LinearChargeTerm Conastructor
- LinearCongruentialGenerator - Class in org.drip.measure.crng
-
LinearCongruentialGenerator implements a RNG based on Recurrence Based on Modular Integer Arithmetic.
- LinearCongruentialGenerator(long, long, long, RecursiveGenerator) - Constructor for class org.drip.measure.crng.LinearCongruentialGenerator
-
LinearCongruentialGenerator Contructor
- LinearExpectation(ArithmeticPriceDynamicsSettings, BackgroundParticipationRateLinear, BackgroundParticipationRateLinear) - Static method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParametersBuilder
-
Linear Expectation Version of LinearPermanentExpectationParameters Instance
- LinearImpactBlockTrajectoryEstimator - Class in org.drip.execution.capture
-
LinearImpactBlockTrajectoryEstimator estimates the Price/Cost Distribution associated with the Single
Block Trading Trajectory generated using the Linear Market Impact Evolution Parameters.
- LinearImpactBlockTrajectoryEstimator(MinimumVarianceTradingTrajectory) - Constructor for class org.drip.execution.capture.LinearImpactBlockTrajectoryEstimator
-
LinearImpactBlockTrajectoryCost Constructor
- LinearImpactNoDrift - Class in org.drip.sample.execution
-
LinearImpactNoDrift generates the Trade/Holdings List of Optimal Execution Schedule based on the Evolution
Walk Parameters specified.
- LinearImpactNoDrift() - Constructor for class org.drip.sample.execution.LinearImpactNoDrift
-
- LinearImpactTrajectoryEstimator - Class in org.drip.execution.capture
-
LinearImpactTrajectoryEstimator estimates the Price/Cost Distribution associated with the Trading
Trajectory generated using the Linear Market Impact Evolution Parameters.
- LinearImpactTrajectoryEstimator(DiscreteTradingTrajectory) - Constructor for class org.drip.execution.capture.LinearImpactTrajectoryEstimator
-
LinearImpactTrajectoryEstimator Constructor
- LinearImpactUniformTrajectoryEstimator - Class in org.drip.execution.capture
-
LinearImpactUniformTrajectoryEstimator estimates the Price/Cost Distribution associated with the Uniform
Trading Trajectory generated using the Linear Market Impact Evolution Parameters.
- LinearImpactUniformTrajectoryEstimator(MinimumImpactTradingTrajectory) - Constructor for class org.drip.execution.capture.LinearImpactUniformTrajectoryEstimator
-
LinearImpactUniformTrajectoryEstimator Constructor
- LinearImpactWithDrift - Class in org.drip.sample.execution
-
LinearImpactWithDrift generates the Trade/Holdings List of Optimal Execution Schedule based on the
Evolution Walk Parameters specified.
- LinearImpactWithDrift() - Constructor for class org.drip.sample.execution.LinearImpactWithDrift
-
- LinearizationOutput - Class in org.drip.quant.linearalgebra
-
LinearizationOutput holds the output of a sequence of linearization operations.
- LinearizationOutput(double[], double[][], String) - Constructor for class org.drip.quant.linearalgebra.LinearizationOutput
-
LinearizationOutput constructor
- LinearLatentStateCalibrator - Class in org.drip.state.inference
-
LinearLatentStateCalibrator calibrates/constructs the Latent State Stretch/Span from the calibration
instrument details.
- LinearLatentStateCalibrator(SegmentCustomBuilderControl, BoundarySettings, int, StretchBestFitResponse, StretchBestFitResponse) - Constructor for class org.drip.state.inference.LinearLatentStateCalibrator
-
LinearLatentStateCalibrator constructor
- LinearLiquidityVolatility - Class in org.drip.sample.almgren2003
-
LinearLiquidityVolatility demonstrates the Dependence of the Optimal Trading Trajectory as a Function of
Linear Trading Enhanced Volatilities.
- LinearLiquidityVolatility() - Constructor for class org.drip.sample.almgren2003.LinearLiquidityVolatility
-
- linearMargin(BucketSensitivitySettingsCR) - Method in class org.drip.simm.margin.RiskFactorAggregateCR
-
Compute the Linear Margin Co-variance
- linearMargin(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear Margin Co-variance
- linearMarginCovariance_LIBOR12M_LIBOR12M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear LIBOR12M-LIBOR12M Sensitivity Margin Co-variance
- linearMarginCovariance_LIBOR12M_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear LIBOR12M-MUNICIPAL Sensitivity Margin Co-variance
- linearMarginCovariance_LIBOR12M_PRIME(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear LIBOR12M-PRIME Sensitivity Margin Co-variance
- linearMarginCovariance_LIBOR1M_LIBOR12M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear LIBOR1M-LIBOR12M Sensitivity Margin Co-variance
- linearMarginCovariance_LIBOR1M_LIBOR1M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear LIBOR1M-LIBOR1M Sensitivity Margin Co-variance
- linearMarginCovariance_LIBOR1M_LIBOR3M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear LIBOR1M-LIBOR3M Sensitivity Margin Co-variance
- linearMarginCovariance_LIBOR1M_LIBOR6M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear LIBOR1M-LIBOR6M Sensitivity Margin Co-variance
- linearMarginCovariance_LIBOR1M_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear LIBOR1M-MUNICIPAL Sensitivity Margin Co-variance
- linearMarginCovariance_LIBOR1M_PRIME(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear LIBOR1M-PRIME Sensitivity Margin Co-variance
- linearMarginCovariance_LIBOR3M_LIBOR12M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear LIBOR3M-LIBOR12M Sensitivity Margin Co-variance
- linearMarginCovariance_LIBOR3M_LIBOR3M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear LIBOR3M-LIBOR3M Sensitivity Margin Co-variance
- linearMarginCovariance_LIBOR3M_LIBOR6M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear LIBOR3M-LIBOR6M Sensitivity Margin Co-variance
- linearMarginCovariance_LIBOR3M_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear LIBOR3M-MUNICIPAL Sensitivity Margin Co-variance
- linearMarginCovariance_LIBOR3M_PRIME(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear LIBOR3M-PRIME Sensitivity Margin Co-variance
- linearMarginCovariance_LIBOR6M_LIBOR12M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear LIBOR6M-LIBOR12M Sensitivity Margin Co-variance
- linearMarginCovariance_LIBOR6M_LIBOR6M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear LIBOR6M-LIBOR6M Sensitivity Margin Co-variance
- linearMarginCovariance_LIBOR6M_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear LIBOR6M-MUNICIPAL Sensitivity Margin Co-variance
- linearMarginCovariance_LIBOR6M_PRIME(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear LIBOR6M-PRIME Sensitivity Margin Co-variance
- linearMarginCovariance_MUNICIPAL_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear MUNICIPAL-MUNICIPAL Sensitivity Margin Co-variance
- linearMarginCovariance_OIS_LIBOR12M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear OIS-LIBOR12M Sensitivity Margin Co-variance
- linearMarginCovariance_OIS_LIBOR1M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear OIS-LIBOR1M Sensitivity Margin Co-variance
- linearMarginCovariance_OIS_LIBOR3M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear OIS-LIBOR3M Sensitivity Margin Co-variance
- linearMarginCovariance_OIS_LIBOR6M(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear OIS-LIBOR6M Sensitivity Margin Co-variance
- linearMarginCovariance_OIS_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear OIS-MUNICIPAL Sensitivity Margin Co-variance
- linearMarginCovariance_OIS_OIS(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear OIS-OIS Sensitivity Margin Co-variance
- linearMarginCovariance_OIS_PRIME(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear OIS-PRIME Sensitivity Margin Co-variance
- linearMarginCovariance_PRIME_MUNICIPAL(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear PRIME-MUNICIPAL Sensitivity Margin Co-variance
- linearMarginCovariance_PRIME_PRIME(BucketSensitivitySettingsIR) - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Compute the Linear PRIME-PRIME Sensitivity Margin Co-variance
- linearPermanentExpectation() - Method in class org.drip.execution.dynamics.LinearPermanentExpectationParameters
-
Retrieve the Background Participation Linear Permanent Market Impact Expectation Function
- LinearPermanentExpectationParameters - Class in org.drip.execution.dynamics
-
LinearPermanentExpectationParameters implements a Permanent Market Impact Function where the Price Change
scales linearly with the Trade Rate.
- LinearPermanentExpectationParameters(ArithmeticPriceDynamicsSettings, BackgroundParticipationRateLinear, BackgroundParticipationRate) - Constructor for class org.drip.execution.dynamics.LinearPermanentExpectationParameters
-
LinearPermanentExpectationParameters Constructor
- LinearPolyShapePreserver(String, String, String, int, CalibratableComponent[], double[], String) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
-
Construct an Instance of the Shape Preserver of the Linear Polynomial Type, using the Specified Basis
Set Builder Parameters.
- LinearQuadrature(R1ToR1, double, double) - Static method in class org.drip.quant.calculus.R1ToR1Integrator
-
Compute the function's integral within the specified limits using the LinearQuadrature technique.
- LinearRationalShapeControl - Class in org.drip.function.r1tor1
-
LinearRationalShapeControl implements the deterministic rational shape control functionality on top of the
estimator basis splines inside - [0,...,1) - Globally [x_0,...,x_1):
y = 1 / [1 + lambda * x]
where is the normalized ordinate mapped as
x === (x - x_i-1) / (x_i - x_i-1)
- LinearRationalShapeControl(double) - Constructor for class org.drip.function.r1tor1.LinearRationalShapeControl
-
LinearRationalShapeControl constructor
- LinearRationalTensionExponential - Class in org.drip.function.r1tor1
-
LinearRationalTensionExponential provides the evaluation of the Convolution of the Linear Rational and the
Tension Exponential Functons and its derivatives for a specified variate.
- LinearRationalTensionExponential(double, double) - Constructor for class org.drip.function.r1tor1.LinearRationalTensionExponential
-
Construct a LinearRationalTensionExponential instance
- LinearRdDecisionFunction - Class in org.drip.learning.svm
-
LinearRdDecisionFunction implements the Linear R^d Decision Function-Based SVM Functionality for
Classification and Regression.
- LinearRdDecisionFunction(RdGeneralizedVector, RdNormed, double[], double) - Constructor for class org.drip.learning.svm.LinearRdDecisionFunction
-
LinearRdDecisionFunction Constructor
- LinearSystemSolver - Class in org.drip.quant.linearalgebra
-
LinearSystemSolver implements the solver for a system of linear equations given by A * x = B, where A is
the matrix, x the set of variables, and B is the result to be solved for.
- LinearSystemSolver() - Constructor for class org.drip.quant.linearalgebra.LinearSystemSolver
-
- LinearSystemSolver() - Static method in class org.drip.sample.matrix.LinearAlgebra
-
- LinearTemporaryImpact - Class in org.drip.execution.cost
-
LinearTemporaryImpact computes and holds the Optimal Trajectory using the Linear Temporary Impact Function
for the given set of Inputs.
- LinearTemporaryImpact(double, double, double, PriorConditionalCombiner, double, TransactionFunctionLinear, double, R1ToR1, double) - Constructor for class org.drip.execution.cost.LinearTemporaryImpact
-
- linearTemporaryImpact() - Method in class org.drip.execution.cost.LinearTemporaryImpact
-
Retrieve the Linear Temporary Market Impact Function
- LinearThreshold(double, double) - Static method in class org.drip.execution.hjb.NonDimensionalCostSystemic
-
Generate a Linear Trading Systemic Non Dimensional Cost Instance
- LineEvolutionVerifier - Class in org.drip.function.rdtor1descent
-
LineEvolutionVerifier implements the Step Length Verification Criterion used for the Inexact Line Search
Increment Generation.
- LineEvolutionVerifier() - Constructor for class org.drip.function.rdtor1descent.LineEvolutionVerifier
-
- lineEvolutionVerifier() - Method in class org.drip.function.rdtor1descent.LineStepEvolutionControl
-
Retrieve the Line Evolution Verifier Instance
- LineEvolutionVerifierMetrics - Class in org.drip.function.rdtor1descent
-
LineEvolutionVerifierMetrics implements the Step Length Verification Criterion used for the Inexact Line
Search Increment Generation.
- LineEvolutionVerifierMetrics(UnitVector, double[], double, double[]) - Constructor for class org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics
-
- LineStepEvolutionControl - Class in org.drip.function.rdtor1descent
-
LineStepEvolutionControl contains the Parameters required to compute the Valid a Line Step.
- LineStepEvolutionControl(LineEvolutionVerifier, double, int) - Constructor for class org.drip.function.rdtor1descent.LineStepEvolutionControl
-
LineStepEvolutionControl Constructor
- lineStepEvolutionControl() - Method in class org.drip.function.rdtor1solver.FixedRdFinder
-
Retrieve the Line Step Evolution Control
- Linfen - Class in org.drip.sample.bondeos
-
Linfen demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Linfen.
- Linfen() - Constructor for class org.drip.sample.bondeos.Linfen
-
- Linhai - Class in org.drip.sample.bondeos
-
Linhai demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Linhai.
- Linhai() - Constructor for class org.drip.sample.bondeos.Linhai
-
- Linyi - Class in org.drip.sample.bondeos
-
Linyi demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Linyi.
- Linyi() - Constructor for class org.drip.sample.bondeos.Linyi
-
- LipschitzCoveringNumberBound - Class in org.drip.learning.bound
-
LipschitzCoveringNumberBound contains the Upper Bounds of the Covering Numbers induced by Lipschitz and
approximate Lipschitz Loss Function Class.
- LipschitzCoveringNumberBound(double, double) - Constructor for class org.drip.learning.bound.LipschitzCoveringNumberBound
-
LipschitzCoveringNumberBound Constructor
- lipschitzFloor() - Method in class org.drip.learning.rxtor1.ApproximateLipschitzLossLearner
-
Retrieve the Lipschitz Floor
- LipschitzLossLearner - Class in org.drip.learning.rxtor1
-
LipschitzLossLearner implements the Learner Class that holds the Space of Normed R^1 To Normed R^1
Learning Functions for the Family of Loss Functions that are Lipschitz, i.e.,
loss (ep) - loss (ep') Less Than C * |ep-ep'|
The References are:
1) Alon, N., S.
- LipschitzLossLearner(NormedRxToNormedR1Finite, CoveringNumberLossBound, RegularizationFunction, double) - Constructor for class org.drip.learning.rxtor1.LipschitzLossLearner
-
LipschitzLossLearner Constructor
- lipschitzSlope() - Method in class org.drip.learning.rxtor1.LipschitzLossLearner
-
Retrieve the Lipschitz Slope Bound
- lipschitzSlope() - Method in class org.drip.learning.rxtor1.LpLossLearner
-
Retrieve the Lipschitz Slope Bound
- liquidity() - Method in interface org.drip.execution.latent.MarketState
-
Retrieve the Realized Liquidity Market State
- liquidity() - Method in class org.drip.execution.latent.MarketStateCorrelated
-
- liquidity() - Method in class org.drip.execution.latent.MarketStateSystemic
-
- liquidity(double) - Method in class org.drip.execution.tradingtime.CoordinatedMarketState
-
Retrieve the Realized Random Liquidity
- liquidity(double) - Method in class org.drip.execution.tradingtime.CoordinatedVariation
-
Estimate the Liquidity given the Volatility
- liquidityExponent() - Method in class org.drip.execution.principal.OptimalMeasureDependence
-
Retrieve the Liquidity Dependence Exponent
- liquidityFactor() - Method in class org.drip.execution.athl.PermanentImpactNoArbitrage
-
Retrieve the Liquidity Factor
- liquidityFactor() - Method in class org.drip.execution.athl.PermanentImpactQuasiArbitrage
-
Retrieve the Liquidity Factor
- liquidityFunction(double) - Method in interface org.drip.execution.profiletime.BackgroundParticipationRateLinear
-
Compute the Liquidity Market Impact Function from the Volatility Function
- liquidityFunction(double) - Method in class org.drip.execution.profiletime.UniformParticipationRateLinear
-
- liquidityFunction(double) - Method in class org.drip.execution.tradingtime.CoordinatedParticipationRateLinear
-
- liquidityGradient() - Method in class org.drip.execution.hjb.NonDimensionalCostCorrelated
-
Retrieve the Non Dimensional Value Liquidity Gradient
- liquidityJacobian() - Method in class org.drip.execution.hjb.NonDimensionalCostCorrelated
-
Retrieve the Non Dimensional Value Liquidity Jacobian
- LiquiditySettings - Class in org.drip.simm.parameters
-
LiquiditySettings exposes the Concentration Thresholds for each Risk Factor.
- LiquiditySettings(double) - Constructor for class org.drip.simm.parameters.LiquiditySettings
-
- LiquidityVaR(double) - Static method in class org.drip.execution.risk.PowerVarianceObjectiveUtility
-
Generate the Liquidity VaR Version of the Power Variance Utility Function
- liquidityVolatilityGradient() - Method in class org.drip.execution.hjb.NonDimensionalCostCorrelated
-
Retrieve the Non Dimensional Value Liquidity/Volatility Gradient
- Lishui - Class in org.drip.sample.bondeos
-
Lishui demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Lishui.
- Lishui() - Constructor for class org.drip.sample.bondeos.Lishui
-
- list() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
-
Retrieve the List of the Interval Cost Distributions
- list() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
-
Retrieve the List of the Realized Composite Cost Increments
- list() - Method in class org.drip.portfolioconstruction.optimizer.ObjectiveFunction
-
Retrieve the List of Objective Terms
- Liuzhou - Class in org.drip.sample.bondeos
-
Liuzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Liuzhou.
- Liuzhou() - Constructor for class org.drip.sample.bondeos.Liuzhou
-
- LKRHoliday - Class in org.drip.analytics.holset
-
- LKRHoliday() - Constructor for class org.drip.analytics.holset.LKRHoliday
-
- llv() - Method in class org.drip.dynamics.lmm.LognormalLIBORPointEvolver
-
Retrieve the Log-normal LIBOR Volatility Instance
- LoadHolidayCalendars(String) - Static method in class org.drip.param.config.ConfigLoader
-
Load the map of the holiday calendars from the entries set in the XML Configuration file
- LoadHolidayCalendarsFromDB(String) - Static method in class org.drip.param.config.ConfigLoader
-
Load the map of the holiday calendars from the database settings set in the XML Configuration file
- LOCAL_SERVICES - Static variable in class org.drip.simm.credit.SectorSystemics
-
The Local Services Sector
- LOCAL_VOLATILITY_SMOOTHING_FLOOR_BIAS - Static variable in class org.drip.exposure.regression.LocalVolatilityGenerationControl
-
The Local Volatility Smooth Floor Bias
- LocalControlBasisSplineRegressor - Class in org.drip.regression.spline
-
LocalControlBasisSplineRegressor implements the local control basis spline regressor for the given basis
spline.
- LocalControlBasisSplineRegressor(String, String, String, FunctionSetBuilderParams, int) - Constructor for class org.drip.regression.spline.LocalControlBasisSplineRegressor
-
LocalControlBasisSplineRegressor constructor
- LocalControlCurveParams - Class in org.drip.state.estimator
-
LocalControlCurveParams enhances the SmoothingCurveStretchParams to produce locally customized curve
smoothing.
- LocalControlCurveParams(String, String, SegmentCustomBuilderControl, int, StretchBestFitResponse, StretchBestFitResponse, boolean, boolean) - Constructor for class org.drip.state.estimator.LocalControlCurveParams
-
LocalControlCurveParams constructor
- LocalControlStretchBuilder - Class in org.drip.spline.pchip
-
LocalControlStretchBuilder exports Stretch creation/calibration methods to generate customized basis
splines, with customized segment behavior using the segment control.
- LocalControlStretchBuilder() - Constructor for class org.drip.spline.pchip.LocalControlStretchBuilder
-
- Locale - Class in org.drip.analytics.eventday
-
Locale contains the set of regular holidays and the weekend holidays for a location.
- Locale() - Constructor for class org.drip.analytics.eventday.Locale
-
Construct an empty LocHolidays instance
- LocalEvaluator - Interface in org.drip.measure.dynamics
-
LocalEvaluator exposes the Random Evolution's Local/Deterministic Evaluators.
- localize(double) - Method in class org.drip.portfolioconstruction.asset.AssetBounds
-
Localize the Variate Value to within the Bounds
- localize(double) - Method in class org.drip.spline.segment.LatentStateInelastic
-
Transform the Predictor Ordinate to the Local Segment Predictor Ordinate
- LocalMonotoneCkGenerator - Class in org.drip.spline.pchip
-
LocalMonotoneCkGenerator generates customized Local Stretch by trading off Ck for local control.
- LocalUniverse - Class in org.drip.portfolioconstruction.core
-
LocalUniverse contains all the Assets in the Local Universe.
- LocalUniverse() - Constructor for class org.drip.portfolioconstruction.core.LocalUniverse
-
Empty LocalUniverse Constructor
- localVolatility() - Method in class org.drip.exposure.regression.PykhtinPillar
-
Retrieve the Point Exposure Local Volatility
- LocalVolatilityGenerationControl - Class in org.drip.exposure.regression
-
LocalVolatilityGenerationControl holds the Parameters the control the Calculation of the Local Volatility
in the Pykhtin (2009) Brownian Bridge Calibration.
- LocalVolatilityGenerationControl(int, double[], double[], SegmentCustomBuilderControl[]) - Constructor for class org.drip.exposure.regression.LocalVolatilityGenerationControl
-
LocalVolatilityGenerationControl Constructor
- localVolatilityIndexShift() - Method in class org.drip.exposure.regression.LocalVolatilityGenerationControl
-
Retrieve the Local Volatility Index Shift
- localVolatilityR1ToR1(LocalVolatilityGenerationControl, PykhtinPillar[]) - Method in class org.drip.exposure.regression.PykhtinPillarDynamics
-
Generate a Local Volatility R^1 To R^1
- localVolatilityR1ToR1(LocalVolatilityGenerationControl) - Method in class org.drip.exposure.regression.PykhtinPillarDynamics
-
Generate a Local Volatility R^1 To R^1
- LocalVolatilityRegressor - Class in org.drip.sample.pykhtin2009
-
LocalVolatilityRegressor is a Demonstration of the Exposure Regression Local Volatility Methodology of
Pykhtin (2009).
- LocalVolatilityRegressor() - Constructor for class org.drip.sample.pykhtin2009.LocalVolatilityRegressor
-
- LocalVolatilityTermStructure - Class in org.drip.sample.option
-
LocalVolatilityTermStructure contains an illustration of the Calibration and Extraction of the Implied and
the Local Volatility Surfaces and their eventual Strike and Maturity Anchor Term Structures.
- LocalVolatilityTermStructure() - Constructor for class org.drip.sample.option.LocalVolatilityTermStructure
-
- localVolatilityTrajectory() - Method in class org.drip.exposure.regression.PykhtinBrownianBridgeStretch
-
Retrieve the Path Sparse Vertex Local Volatility Trajectory
- locate(double) - Method in class org.drip.spaces.graph.SinglyLinkedNode
-
Locate the Node that contains the specified Value
- LocationHoliday - Interface in org.drip.analytics.holset
-
LocationHoliday is an interface which is implemented by all the Location Holiday classes.
- LocationHolidays(Document, String) - Static method in class org.drip.param.config.ConfigLoader
-
Create a LocHolidays object from the XML Document and the Location Tag
- Log(int, boolean, String) - Static method in class org.drip.analytics.support.Logger
-
Log a specific message to the level
- LOG_DIAGONAL_ENTROPY_ASYMPTOTE_EXPONENT - Static variable in class org.drip.learning.bound.DiagonalOperatorCoveringBound
-
Asymptote on the Log of the Diagonal Operator Entropy Number
- Logarithm(ComplexNumber) - Static method in class org.drip.quant.fourier.ComplexNumber
-
Compute Logarithm of the Complex Number
- logEntropyNumberAsymptote(DiagonalScalingOperator) - Method in class org.drip.learning.svm.RdDecisionFunction
-
Compute the Decision Function's Asymptotic Exponent for the Entropy Number
- Logger - Class in org.drip.analytics.support
-
The Logger class implements level-set logging, backed by either the screen or a file.
- Logger() - Constructor for class org.drip.analytics.support.Logger
-
- LoggerLocation(String) - Static method in class org.drip.param.config.ConfigLoader
-
Get the logger location from the XML Configuration file
- logLowerBound(double) - Method in interface org.drip.spaces.cover.FunctionClassCoveringBounds
-
Log of the Lower Bound of the Function Covering Number
- logLowerBound(double) - Method in class org.drip.spaces.cover.L1R1CoveringBounds
-
- logLowerBound(double) - Method in class org.drip.spaces.cover.ScaleSensitiveCoveringBounds
-
- Lognormal(ForwardLabel, double, double, UnivariateSequenceGenerator, UnivariateSequenceGenerator) - Static method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
-
Create a Log-normal SABR Instance
- LogNormal(int) - Static method in class org.drip.measure.discrete.SequenceGenerator
-
Generate a Sequence of Log Normal Random Numbers
- logNormal() - Method in class org.drip.state.sequence.PathRd
-
Indicate if the Random Numbers are Gaussian/LogNormal
- LognormalLIBORCurveEvolver - Class in org.drip.dynamics.lmm
-
LognormalLIBORCurveEvolver sets up and implements the Multi-Factor No-arbitrage Dynamics of the full Curve
Rates State Quantifiers traced from the Evolution of the LIBOR Forward Rate as formulated in:
1) Goldys, B., M.
- LognormalLIBORCurveEvolver(FundingLabel, ForwardLabel, int, SegmentCustomBuilderControl, SegmentCustomBuilderControl, SegmentCustomBuilderControl, SegmentCustomBuilderControl, SegmentCustomBuilderControl, SegmentCustomBuilderControl, SegmentCustomBuilderControl, SegmentCustomBuilderControl) - Constructor for class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
-
LognormalLIBORCurveEvolver Constructor
- LognormalLIBORPointEvolver - Class in org.drip.dynamics.lmm
-
LognormalLIBORPointEvolver sets up and implements the Multi-Factor No-arbitrage Dynamics of the Point
Rates State Quantifiers traced from the Evolution of the LIBOR Forward Rate as formulated in:
1) Goldys, B., M.
- LognormalLIBORPointEvolver(FundingLabel, ForwardLabel, LognormalLIBORVolatility, ForwardCurve, MergedDiscountForwardCurve) - Constructor for class org.drip.dynamics.lmm.LognormalLIBORPointEvolver
-
LognormalLIBORPointEvolver Constructor
- lognormalLIBORVolatility() - Method in class org.drip.dynamics.lmm.BGMCurveUpdate
-
Retrieve the Log-normal LIBOR Volatility Instance
- lognormalLIBORVolatility() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
-
Retrieve the Log-normal LIBOR Volatility
- lognormalLIBORVolatility() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
-
Retrieve the Log-normal LIBOR Volatility
- LognormalLIBORVolatility - Class in org.drip.dynamics.lmm
-
LognormalLIBORVolatility implements the Multi-Factor Log-normal LIBOR Volatility as formulated in:
1) Goldys, B., M.
- LognormalLIBORVolatility(int, ForwardLabel, MarketSurface[], PrincipalFactorSequenceGenerator) - Constructor for class org.drip.dynamics.lmm.LognormalLIBORVolatility
-
LognormalLIBORVolatility Constructor
- LogNormalRandomNumberGenerator - Class in org.drip.measure.crng
-
LogNormalRandomNumberGenerator provides the Functionality to generate Log-normal Random Numbers.
- LogNormalRandomNumberGenerator() - Constructor for class org.drip.measure.crng.LogNormalRandomNumberGenerator
-
Empty LogNormalRandomNumberGenerator Constructor
- logUpperBound(double) - Method in interface org.drip.spaces.cover.FunctionClassCoveringBounds
-
Log of the Upper Bound of the Function Covering Number
- logUpperBound(double) - Method in class org.drip.spaces.cover.L1R1CoveringBounds
-
- logUpperBound(double) - Method in class org.drip.spaces.cover.ScaleSensitiveCoveringBounds
-
- LONG_STUB - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
-
Period Set Generation Customization - Long Stub (if present) belongs to the front/back end depending
upon backwards/forwards generation scheme
- LongestCommonSubsequence - Class in org.drip.sequence.custom
-
LongestCommonSubsequence contains Variance Bounds on the Critical Measures of the Longest Common
Subsequence between two Strings.
- LongestCommonSubsequence() - Constructor for class org.drip.sequence.custom.LongestCommonSubsequence
-
- LongestCommonSubsequenceBound - Class in org.drip.sample.efronstein
-
LongestCommonSubsequenceBound demonstrates the Computation of the Probabilistic Bounds for the Longest
Common Subsequence across each half over the Random Sequence Values using Variants of the Efron-Stein
Methodology.
- LongestCommonSubsequenceBound() - Constructor for class org.drip.sample.efronstein.LongestCommonSubsequenceBound
-
- longestMaturity() - Method in class org.drip.market.definition.IBORIndex
-
Retrieve the Longest Maturity
- LongFixedAggressiveTimeline - Class in org.drip.sample.mporstream
-
LongFixedAggressiveTimeline displays the MPoR-related Exposure Metrics Suite for the given Long Fixed
Coupon Stream on a Daily Grid using the "Aggressive" CSA Timeline Scheme of Andersen, Pykhtin, and Sokol
(2017).
- LongFixedAggressiveTimeline() - Constructor for class org.drip.sample.mporstream.LongFixedAggressiveTimeline
-
- LongFixedClassicalMinusTimeline - Class in org.drip.sample.mporstream
-
LongFixedClassicalMinusTimeline displays the MPoR-related Exposure Metrics Suite for the given Long Fixed
Coupon Stream on a Daily Grid using the "Classical-" CSA Timeline Scheme of Andersen, Pykhtin, and Sokol
(2017).
- LongFixedClassicalMinusTimeline() - Constructor for class org.drip.sample.mporstream.LongFixedClassicalMinusTimeline
-
- LongFixedClassicalPlusTimeline - Class in org.drip.sample.mporstream
-
LongFixedClassicalPlusTimeline displays the MPoR-related Exposure Metrics Suite for the given Long Fixed
Coupon Stream on a Daily Grid using the "Classical+" CSA Timeline Scheme of Andersen, Pykhtin, and Sokol
(2017).
- LongFixedClassicalPlusTimeline() - Constructor for class org.drip.sample.mporstream.LongFixedClassicalPlusTimeline
-
- LongFixedConservativeTimeline - Class in org.drip.sample.mporstream
-
LongFixedConservativeTimeline displays the MPoR-related Exposure Metrics Suite for the given Long Fixed
Coupon Stream on a Daily Grid using the "Conservative" CSA Timeline Scheme of Andersen, Pykhtin, and Sokol
(2017).
- LongFixedConservativeTimeline() - Constructor for class org.drip.sample.mporstream.LongFixedConservativeTimeline
-
- LongFloatAggressiveTimeline - Class in org.drip.sample.mporstream
-
LongFloatAggressiveTimeline displays the MPoR-related Exposure Metrics Suite for the given Long Float
Coupon Stream on a Daily Grid using the "Aggressive" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
- LongFloatAggressiveTimeline() - Constructor for class org.drip.sample.mporstream.LongFloatAggressiveTimeline
-
- LongFloatClassicalMinusTimeline - Class in org.drip.sample.mporstream
-
LongFloatClassicalMinusTimeline displays the MPoR-related Exposure Metrics Suite for the given Long Float
Coupon Stream on a Daily Grid using the "Classical-" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
- LongFloatClassicalMinusTimeline() - Constructor for class org.drip.sample.mporstream.LongFloatClassicalMinusTimeline
-
- LongFloatClassicalPlusTimeline - Class in org.drip.sample.mporstream
-
LongFloatClassicalPlusTimeline displays the MPoR-related Exposure Metrics Suite for the given Long Float
Coupon Stream on a Daily Grid using the "Classical+" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
- LongFloatClassicalPlusTimeline() - Constructor for class org.drip.sample.mporstream.LongFloatClassicalPlusTimeline
-
- LongFloatConservativeTimeline - Class in org.drip.sample.mporstream
-
LongFloatConservativeTimeline displays the MPoR-related Exposure Metrics Suite for the given Long Float
Coupon Stream on a Daily Grid using the "Conservative" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
- LongFloatConservativeTimeline() - Constructor for class org.drip.sample.mporstream.LongFloatConservativeTimeline
-
- LongOnlyMarkovitzBullet - Class in org.drip.sample.efficientfrontier
-
LongOnlyMarkovitzBullet demonstrates the Construction of the Efficient Frontier using the Constrained Mean
Variance Optimizer for a Long-Only Portfolio.
- LongOnlyMarkovitzBullet() - Constructor for class org.drip.sample.efficientfrontier.LongOnlyMarkovitzBullet
-
- longOnlyMaximumReturns() - Method in class org.drip.portfolioconstruction.mpt.MarkovitzBullet
-
Retrieve the Long Only Maximum Returns Portfolio Metrics
- longOnlyMaximumReturnsAllocate(PortfolioConstructionParameters, AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.ConstrainedMeanVarianceOptimizer
-
- longOnlyMaximumReturnsAllocate(PortfolioConstructionParameters, AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.MeanVarianceOptimizer
-
Allocate the Long-Only Maximum Returns Portfolio
- longOnlyMaximumReturnsAllocate(PortfolioConstructionParameters, AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.QuadraticMeanVarianceOptimizer
-
- LongTenorSwap - Class in org.drip.sample.fixfloat
-
LongTenorSwap demonstrates the Construction and Valuation of In-Advance and In-Arrears Long Tenor Swap.
- LongTenorSwap() - Constructor for class org.drip.sample.fixfloat.LongTenorSwap
-
- longTermTaxGain(double[], double[]) - Method in interface org.drip.portfolioconstruction.objective.TaxationScheme
-
Compute the Long Term Tax Gain
- longTermTaxRate() - Method in class org.drip.portfolioconstruction.core.TaxAccountingScheme
-
Retrieve the Long Term Tax Rate
- LongTiltTerm - Class in org.drip.portfolioconstruction.objective
-
LongTiltTerm holds the Details of Long Tilt Unit Objective Term.
- LongTiltTerm(String, double[], double[], double[]) - Constructor for class org.drip.portfolioconstruction.objective.LongTiltTerm
-
LongTiltTerm Constructor
- Loni - Class in org.drip.sample.bondmetrics
-
Loni demonstrates the Analytics Calculation/Reconciliation for the Bond Loni.
- Loni() - Constructor for class org.drip.sample.bondmetrics.Loni
-
- loss(double) - Method in class org.drip.learning.bound.EmpiricalLearnerLoss
-
Compute the Loss for the specified Variate
- lossExpectationUpperBound(int) - Method in class org.drip.learning.bound.MeasureConcentrationExpectationBound
-
Compute the Expected Loss Upper Bound between the Sample and the Population for the specified Sample
Size
- lossExponent() - Method in class org.drip.learning.rxtor1.LpLossLearner
-
Retrieve the Loss Exponent
- lossFlow(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.BondComponent
-
- lossFlow(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.CDSComponent
-
- lossFlow(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.CreditComponent
-
Generate the loss flow for the credit component based on the pricer parameters
- lossFlow(JulianDate, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.CreditComponent
-
Generate the loss flow for the credit component based on the pricer parameters
- lossFlowFromPrice(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- lossFlowFromPrice(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Get the bond's loss flow from price
- lossMetrics(CreditComponent, ValuationParams, CreditPricerParams, int, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Create a List of Loss Period Measures
- lossOnInstantaneousDefault() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve the Loss On Instantaneous Default
- lossPayLag() - Method in class org.drip.product.params.CreditSetting
-
Retrieve the Loss Pay-out Lag
- lossPV() - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Retrieve the Loss PV
- LossQuadratureGenerator - Class in org.drip.analytics.support
-
LossQuadratureGenerator generates the decomposed Integrand Quadrature for the Loss Steps.
- LossQuadratureGenerator() - Constructor for class org.drip.analytics.support.LossQuadratureGenerator
-
- LossQuadratureMetrics - Class in org.drip.analytics.cashflow
-
LossPeriodCurveFactors is an Implementation of the Period Class enhanced by the Loss Period Measures.
- LossQuadratureMetrics(int, int, double, double, double, double, double, double) - Constructor for class org.drip.analytics.cashflow.LossQuadratureMetrics
-
LossPeriodCurveFactors Constructor
- lossSampleCoveringNumber(GeneralizedValidatedVector, double, boolean) - Method in class org.drip.learning.rxtor1.ApproximateLipschitzLossLearner
-
- lossSampleCoveringNumber(GeneralizedValidatedVector, double, boolean) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Retrieve the Loss Class Sample Covering Number - L-Infinity or L-p based Based
- lossSampleCoveringNumber(GeneralizedValidatedVector, double, boolean) - Method in class org.drip.learning.rxtor1.L1LossLearner
-
- lossSampleCoveringNumber(GeneralizedValidatedVector, double, boolean) - Method in class org.drip.learning.rxtor1.LipschitzLossLearner
-
- lossSampleCoveringNumber(GeneralizedValidatedVector, double, boolean) - Method in class org.drip.learning.rxtor1.LpLossLearner
-
- lower() - Method in class org.drip.portfolioconstruction.asset.AssetBounds
-
Retrieve the Lower Bound
- lower() - Method in class org.drip.sequence.metrics.PivotedDepartureBounds
-
Retrieve the Lower Probability Bound
- LOWER_AND_UPPER_TRIANGULAR - Static variable in class org.drip.quant.linearalgebra.Matrix
-
Lower+Upper Triangular Matrix
- LOWER_TRIANGULAR - Static variable in class org.drip.quant.linearalgebra.Matrix
-
Lower Triangular Matrix
- lowerBound(String) - Method in class org.drip.portfolioconstruction.allocator.BoundedPortfolioConstructionParameters
-
Retrieve the Lower Bound for the Specified Asset ID
- lowerBound() - Method in class org.drip.portfolioconstruction.optimizer.ConstraintRealization
-
Retrieve the Lower Bound
- lowerBound() - Method in class org.drip.sequence.random.Bounded
-
Retrieve the Lower Bound
- LowUrgencyTrajectoryComparison - Class in org.drip.sample.almgren2009
-
LowUrgencyTrajectoryComparison compares the Static Continuous Trading Trajectory generated by the Almgren
and Chriss (2012) Scheme against the Low Urgency Asymptote Version.
- LowUrgencyTrajectoryComparison() - Constructor for class org.drip.sample.almgren2009.LowUrgencyTrajectoryComparison
-
- LowVolatilityCurrencySet() - Static method in class org.drip.simm.rates.IRSettingsContainer20
-
Retrieve the Low Volatility Currency Set
- LowVolatilityCurrencySet() - Static method in class org.drip.simm.rates.IRSettingsContainer21
-
Retrieve the Low Volatility Currency Set
- LpLossLearner - Class in org.drip.learning.rxtor1
-
LpLossLearner implements the Learner Class that holds the Space of Normed R^x To Normed R^1 Learning
Functions for the Family of Loss Functions that are Polynomial, i.e.,
loss (eta) = (eta ^ p) / p, for p greater than 1.
- LpLossLearner(NormedRxToNormedR1Finite, CoveringNumberLossBound, RegularizationFunction, double) - Constructor for class org.drip.learning.rxtor1.LpLossLearner
-
LpLossLearner Constructor
- lpUpperBound() - Method in class org.drip.learning.bound.LipschitzCoveringNumberBound
-
Retrieve the Lp-based Covering Number Upper Bound
- LSQMCurveIncrement - Class in org.drip.dynamics.evolution
-
LSQMCurveIncrement contains the Increment of the Evolving Term Structure of the Latent State
Quantification Metrics.
- LSQMCurveIncrement() - Constructor for class org.drip.dynamics.evolution.LSQMCurveIncrement
-
Empty LSQMCurveIncrement Constructor
- LSQMCurveSnapshot - Class in org.drip.dynamics.evolution
-
LSQMCurveSnapshot contains the Snapshot of the Evolving Term Structure of the Latent State Quantification
Metrics.
- LSQMCurveSnapshot() - Constructor for class org.drip.dynamics.evolution.LSQMCurveSnapshot
-
Empty LSQMCurveSnapshot Constructor
- LSQMCurveUpdate - Class in org.drip.dynamics.evolution
-
LSQMCurveUpdate contains the Snapshot and the Increment of the Evolving Curve Latent State Quantification
Metrics.
- LSQMCurveUpdate(int, int, LSQMCurveSnapshot, LSQMCurveIncrement) - Constructor for class org.drip.dynamics.evolution.LSQMCurveUpdate
-
LSQMCurveUpdate Constructor
- LSQMPointRecord - Class in org.drip.dynamics.evolution
-
LSQMPointRecord contains the Record of the Evolving Point Latent State Quantification Metrics.
- LSQMPointRecord() - Constructor for class org.drip.dynamics.evolution.LSQMPointRecord
-
Empty LSQMPointRecord Constructor
- LSQMPointUpdate - Class in org.drip.dynamics.evolution
-
LSQMPointUpdate contains the Snapshot and the Increment of the Evolving Point Latent State Quantification
Metrics.
- LSQMPointUpdate(int, int, int, LSQMPointRecord, LSQMPointRecord) - Constructor for class org.drip.dynamics.evolution.LSQMPointUpdate
-
LSQMPointUpdate Constructor
- lss() - Method in class org.drip.product.calib.ProductQuoteSet
-
Retrieve the Array of Latent State Specification
- LT_80PC_OVERLAP_NON_RESIDUAL - Static variable in class org.drip.simm.credit.CRNQBucketCorrelation20
-
Correlation between Sensitivities having Overlap of Less Than 80% Names Non-Residual Same Bucket
- LT_80PC_OVERLAP_NON_RESIDUAL - Static variable in class org.drip.simm.credit.CRNQBucketCorrelation21
-
Correlation between Sensitivities having Overlap of Less Than 80% Names Non-Residual Same Bucket
- LT_80PC_OVERLAP_RESIDUAL - Static variable in class org.drip.simm.credit.CRNQBucketCorrelation20
-
Correlation between Sensitivities having Overlap of Less Than 80% Names Residual
- LT_80PC_OVERLAP_RESIDUAL - Static variable in class org.drip.simm.credit.CRNQBucketCorrelation21
-
Correlation between Sensitivities having Overlap of Less Than 80% Names Residual
- ltds() - Method in class org.drip.market.exchange.DeliverableSwapFutures
-
Retrieve the Last Trading Date Setting
- ltds() - Method in class org.drip.market.exchange.TreasuryFuturesOptionConvention
-
Retrieve the Array of Last Trading Date Settings
- ltdsArray(String) - Method in class org.drip.market.exchange.FuturesOptions
-
Retrieve the LTDS Array corresponding to the Exchange
- LTLHoliday - Class in org.drip.analytics.holset
-
- LTLHoliday() - Constructor for class org.drip.analytics.holset.LTLHoliday
-
- Luan - Class in org.drip.sample.bondeos
-
Luan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Luan.
- Luan() - Constructor for class org.drip.sample.bondeos.Luan
-
- Lucknow - Class in org.drip.sample.bondmetrics
-
Lucknow generates the Full Suite of Replication Metrics for Bond Lucknow.
- Lucknow() - Constructor for class org.drip.sample.bondmetrics.Lucknow
-
- Ludhiana - Class in org.drip.sample.bondmetrics
-
Ludhiana generates the Full Suite of Replication Metrics for Bond Ludhiana.
- Ludhiana() - Constructor for class org.drip.sample.bondmetrics.Ludhiana
-
- LUFHoliday - Class in org.drip.analytics.holset
-
- LUFHoliday() - Constructor for class org.drip.analytics.holset.LUFHoliday
-
- lugosiVarianceBound(double[]) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumMetrics
-
Compute the Lugosi Data-Dependent Variance Bound from the Sample and the Classifier Class Asymptotic
Behavior.
- lugosiVarianceBound(double[][]) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumMetrics
-
Compute the Lugosi Data-Dependent Variance Bound from the Sample and the Classifier Class Asymptotic
Behavior.
- Luoyang - Class in org.drip.sample.bondeos
-
Luoyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Luoyang.
- Luoyang() - Constructor for class org.drip.sample.bondeos.Luoyang
-
- LUXHoliday - Class in org.drip.analytics.holset
-
- LUXHoliday() - Constructor for class org.drip.analytics.holset.LUXHoliday
-
- LVLHoliday - Class in org.drip.analytics.holset
-
- LVLHoliday() - Constructor for class org.drip.analytics.holset.LVLHoliday
-
- m() - Method in class org.drip.measure.crng.LinearCongruentialGenerator
-
Retrieve M
- m1() - Method in class org.drip.measure.crng.MultipleRecursiveGeneratorLEcuyer
-
Retrieve M1
- m2() - Method in class org.drip.measure.crng.MultipleRecursiveGeneratorLEcuyer
-
Retrieve M2
- Maanshan - Class in org.drip.sample.bondeos
-
Maanshan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Maanshan.
- Maanshan() - Constructor for class org.drip.sample.bondeos.Maanshan
-
- macaulayDuration() - Method in class org.drip.analytics.output.BondRVMeasures
-
Retrieve the Macaulay Duration
- macaulayDurationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from ASW to Work-out
- macaulayDurationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from ASW to Maturity
- macaulayDurationFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from ASW to Optimal Exercise
- macaulayDurationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from Bond Basis to Work-out
- macaulayDurationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from Bond Basis to Maturity
- macaulayDurationFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from Bond Basis to Optimal Exercise
- macaulayDurationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from Credit Basis to Work-out
- macaulayDurationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from Credit Basis to Maturity
- macaulayDurationFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from Credit Basis to Optimal Exercise
- macaulayDurationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from Discount Margin to Work-out
- macaulayDurationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from Discount Margin to Maturity
- macaulayDurationFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from Discount Margin to Optimal Exercise
- macaulayDurationFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from E Spread to Work-out
- macaulayDurationFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from E Spread to Maturity
- macaulayDurationFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from E Spread to Optimal Exercise
- macaulayDurationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from G Spread to Work-out
- macaulayDurationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from G Spread to Maturity
- macaulayDurationFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from G Spread to Optimal Exercise
- macaulayDurationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from I Spread to Work-out
- macaulayDurationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from I Spread to Maturity
- macaulayDurationFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from I Spread to Optimal Exercise
- macaulayDurationFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from J Spread to Work-out
- macaulayDurationFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from J Spread to Maturity
- macaulayDurationFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from J Spread to Optimal Exercise
- macaulayDurationFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from N Spread to Work-out
- macaulayDurationFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from N Spread to Maturity
- macaulayDurationFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from N Spread to Optimal Exercise
- macaulayDurationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from OAS to Work-out
- macaulayDurationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from OAS to Maturity
- macaulayDurationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from PECS to Work-out
- macaulayDurationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from PECS to Maturity
- macaulayDurationFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from PECS to Optimal Exercise
- macaulayDurationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from Price to Work-out
- macaulayDurationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from Price to Maturity
- macaulayDurationFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from Price to Optimal Exercise
- macaulayDurationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from TSY Spread to Work-out
- macaulayDurationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from TSY Spread to Maturity
- macaulayDurationFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from TSY Spread to Optimal Exercise
- macaulayDurationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from Yield to Work-out
- macaulayDurationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from Yield to Maturity
- macaulayDurationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from Yield Spread to Work-out
- macaulayDurationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from Yield Spread to Maturity
- macaulayDurationFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from Yield Spread to Optimal Exercise
- macaulayDurationFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from Yield to Optimal Exercise
- macaulayDurationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from Z Spread to Work-out
- macaulayDurationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from Z Spread to Maturity
- macaulayDurationFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- macaulayDurationFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from Z Spread to Optimal Exercise
- Madurai - Class in org.drip.sample.bondmetrics
-
Madurai generates the Full Suite of Replication Metrics for Bond Madurai.
- Madurai() - Constructor for class org.drip.sample.bondmetrics.Madurai
-
- magnitude() - Method in class org.drip.function.definition.SizedVector
-
Retrieve the Vector Magnitude
- magnitude() - Method in class org.drip.measure.dynamics.HazardJumpEvaluator
-
Retrieve the Magnitude
- magnitude() - Method in class org.drip.portfolioconstruction.objective.TiltTerm
-
Retrieve the Array of Tilt Magnitudes
- magnitudeEvaluator() - Method in class org.drip.measure.dynamics.SingleJumpEvaluator
-
Retrieve the Jump Magnitude Evaluator
- Maheshtala - Class in org.drip.sample.cma
-
Maheshtala demonstrates Pricing and Relative Value Measure Generation Functionality for the Sinker
Maheshtala.
- Maheshtala() - Constructor for class org.drip.sample.cma.Maheshtala
-
- main(String[]) - Static method in class org.drip.feed.loader.CDXRefData
-
- main(String[]) - Static method in class org.drip.function.r1tor1.BernsteinPolynomial
-
- main(String[]) - Static method in class org.drip.function.r1tor1.ExponentialTension
-
- main(String[]) - Static method in class org.drip.function.r1tor1.HyperbolicTension
-
- main(String[]) - Static method in class org.drip.function.r1tor1.LinearRationalTensionExponential
-
- main(String[]) - Static method in class org.drip.function.r1tor1.Polynomial
-
- main(String[]) - Static method in class org.drip.function.r1tor1.QuadraticRationalShapeControl
-
- main(String[]) - Static method in class org.drip.function.r1tor1.UnivariateReciprocal
-
- main(String[]) - Static method in class org.drip.function.r1tor1.UnivariateReflection
-
- main(String[]) - Static method in class org.drip.param.config.ConfigLoader
-
- main(String[]) - Static method in class org.drip.regression.curve.CreditAnalyticsRegressionEngine
-
- main(String[]) - Static method in class org.drip.regression.curvejacobian.CurveJacobianRegressionEngine
-
- main(String[]) - Static method in class org.drip.regression.fixedpointfinder.FixedPointFinderRegressionEngine
-
- main(String[]) - Static method in class org.drip.regression.spline.BasisSplineRegressionEngine
-
- main(String[]) - Static method in class org.drip.sample.agency.FixedBullet1
-
- main(String[]) - Static method in class org.drip.sample.agency.FixedBullet2
-
- main(String[]) - Static method in class org.drip.sample.algo.C1ArrayTranslateShuffle
-
- main(String[]) - Static method in class org.drip.sample.algo.R1ArrayInSituSort
-
- main(String[]) - Static method in class org.drip.sample.algo.R2ArrayPathwiseProcessing
-
- main(String[]) - Static method in class org.drip.sample.algo.SubMatrixSetExtraction
-
- main(String[]) - Static method in class org.drip.sample.algo.SubStringSetExtraction
-
- main(String[]) - Static method in class org.drip.sample.alm.NetLiabilityCliffDependence
-
- main(String[]) - Static method in class org.drip.sample.alm.NetLiabilityConsumptionDependence
-
- main(String[]) - Static method in class org.drip.sample.alm.NetLiabilityDiscountDependence
-
- main(String[]) - Static method in class org.drip.sample.alm.NetLiabilityStreamEstimator
-
- main(String[]) - Static method in class org.drip.sample.alm.NetLiabilityTaxYieldDependence
-
- main(String[]) - Static method in class org.drip.sample.almgren2003.ConstantLiquidityVolatility
-
- main(String[]) - Static method in class org.drip.sample.almgren2003.ConstantTradingEnhancedVolatility
-
- main(String[]) - Static method in class org.drip.sample.almgren2003.ContinuousTrajectoryConcaveImpact
-
- main(String[]) - Static method in class org.drip.sample.almgren2003.ContinuousTrajectoryConvexImpact
-
- main(String[]) - Static method in class org.drip.sample.almgren2003.ContinuousTrajectoryLinearImpact
-
- main(String[]) - Static method in class org.drip.sample.almgren2003.LinearLiquidityVolatility
-
- main(String[]) - Static method in class org.drip.sample.almgren2003.PowerLawOptimalTrajectory
-
- main(String[]) - Static method in class org.drip.sample.almgren2009.AdaptiveOptimalCostTrajectory
-
- main(String[]) - Static method in class org.drip.sample.almgren2009.AdaptiveOptimalHJBTrajectory
-
- main(String[]) - Static method in class org.drip.sample.almgren2009.AdaptiveOptimalRollingHorizonTrajectory
-
- main(String[]) - Static method in class org.drip.sample.almgren2009.AdaptiveOptimalStaticTrajectory
-
- main(String[]) - Static method in class org.drip.sample.almgren2009.CoordinatedMarketStateTrajectory
-
- main(String[]) - Static method in class org.drip.sample.almgren2009.EnhancedEulerScheme
-
- main(String[]) - Static method in class org.drip.sample.almgren2009.HighUrgencyTrajectoryComparison
-
- main(String[]) - Static method in class org.drip.sample.almgren2009.LowUrgencyTrajectoryComparison
-
- main(String[]) - Static method in class org.drip.sample.almgren2009.StaticContinuousOptimalTrajectory
-
- main(String[]) - Static method in class org.drip.sample.almgren2012.AdaptiveStaticInitialHoldings
-
- main(String[]) - Static method in class org.drip.sample.almgren2012.AdaptiveStaticInitialTradeRate
-
- main(String[]) - Static method in class org.drip.sample.almgren2012.AdaptiveZeroInitialHoldings
-
- main(String[]) - Static method in class org.drip.sample.almgren2012.AdaptiveZeroInitialTradeRate
-
- main(String[]) - Static method in class org.drip.sample.almgren2012.RollingHorizonOptimalHoldings
-
- main(String[]) - Static method in class org.drip.sample.almgren2012.RollingHorizonOptimalTradeRate
-
- main(String[]) - Static method in class org.drip.sample.almgren2012.StaticOptimalTrajectoryHoldings
-
- main(String[]) - Static method in class org.drip.sample.almgren2012.StaticOptimalTrajectoryTradeRate
-
- main(String[]) - Static method in class org.drip.sample.almgrenchriss.EfficientFrontierNoDrift
-
- main(String[]) - Static method in class org.drip.sample.almgrenchriss.EfficientFrontierWithDrift
-
- main(String[]) - Static method in class org.drip.sample.almgrenchriss.OptimalSerialCorrelationImpact
-
- main(String[]) - Static method in class org.drip.sample.almgrenchriss.OptimalTrajectoryNoDrift
-
- main(String[]) - Static method in class org.drip.sample.almgrenchriss.OptimalTrajectoryWithDrift
-
- main(String[]) - Static method in class org.drip.sample.almgrenchriss.TrajectoryComparisonNoDrift
-
- main(String[]) - Static method in class org.drip.sample.almgrenchriss.TrajectoryComparisonWithDrift
-
- main(String[]) - Static method in class org.drip.sample.andersen2017vm.EnsembleTradeFlowAdjustment
-
- main(String[]) - Static method in class org.drip.sample.andersen2017vm.EnsembleVariationMarginEstimate
-
- main(String[]) - Static method in class org.drip.sample.andersen2017vm.FixFloatAggressiveLong
-
- main(String[]) - Static method in class org.drip.sample.andersen2017vm.FixFloatAggressiveShort
-
- main(String[]) - Static method in class org.drip.sample.andersen2017vm.FixFloatClassicalMinusLong
-
- main(String[]) - Static method in class org.drip.sample.andersen2017vm.FixFloatClassicalMinusShort
-
- main(String[]) - Static method in class org.drip.sample.andersen2017vm.FixFloatClassicalPlusLong
-
- main(String[]) - Static method in class org.drip.sample.andersen2017vm.FixFloatClassicalPlusShort
-
- main(String[]) - Static method in class org.drip.sample.andersen2017vm.FixFloatConservativeLong
-
- main(String[]) - Static method in class org.drip.sample.andersen2017vm.FixFloatConservativeShort
-
- main(String[]) - Static method in class org.drip.sample.andersen2017vm.PathTradeFlowAdjustment
-
- main(String[]) - Static method in class org.drip.sample.assetallocation.BudgetConstrainedVarianceMinimizer
-
- main(String[]) - Static method in class org.drip.sample.assetallocation.DualConstrainedVariateConvergence
-
- main(String[]) - Static method in class org.drip.sample.assetallocation.ReturnsConstrainedVarianceMinimizer
-
- main(String[]) - Static method in class org.drip.sample.assetallocation.RiskTolerantVarianceMinimizer
-
- main(String[]) - Static method in class org.drip.sample.assetallocation.VanillaVarianceMinimizer
-
- main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler01
-
- main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler02
-
- main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler03
-
- main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler04
-
- main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler05
-
- main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler06
-
- main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler07
-
- main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler08
-
- main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler09
-
- main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVMonthlyReconciler10
-
- main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVReconciler1
-
- main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVReconciler2
-
- main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVReconciler3
-
- main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVReconciler4
-
- main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVReconciler5
-
- main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVReconciler6
-
- main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVReconciler7
-
- main(String[]) - Static method in class org.drip.sample.assetallocationexcel.CMVReconciler8
-
- main(String[]) - Static method in class org.drip.sample.assetbacked.ConstantPaymentBond
-
- main(String[]) - Static method in class org.drip.sample.assetbacked.PrepayableConstantPaymentBond
-
- main(String[]) - Static method in class org.drip.sample.athl.EquityMarketImpactDRI
-
- main(String[]) - Static method in class org.drip.sample.athl.EquityMarketImpactIBM
-
- main(String[]) - Static method in class org.drip.sample.athl.OptimalTrajectoryDRI
-
- main(String[]) - Static method in class org.drip.sample.athl.OptimalTrajectoryIBM
-
- main(String[]) - Static method in class org.drip.sample.athl.OptimalTrajectoryTradeAnalysis
-
- main(String[]) - Static method in class org.drip.sample.athl.OptimalTrajectoryVolatilityAnalysis
-
- main(String[]) - Static method in class org.drip.sample.blacklitterman.DaJagannathan2005a
-
- main(String[]) - Static method in class org.drip.sample.blacklitterman.DaJagannathan2005b
-
- main(String[]) - Static method in class org.drip.sample.blacklitterman.DaJagannathan2005c
-
- main(String[]) - Static method in class org.drip.sample.blacklitterman.DaJagannathan2005d
-
- main(String[]) - Static method in class org.drip.sample.blacklitterman.DaJagannathan2005e
-
- main(String[]) - Static method in class org.drip.sample.blacklitterman.IdzorekAndrogue2003
-
- main(String[]) - Static method in class org.drip.sample.blacklitterman.OToole2013
-
- main(String[]) - Static method in class org.drip.sample.blacklitterman.Soontornkit2010
-
- main(String[]) - Static method in class org.drip.sample.blacklitterman.Yamabe2016
-
- main(String[]) - Static method in class org.drip.sample.bloomberg.CDSO
-
- main(String[]) - Static method in class org.drip.sample.bloomberg.CDSW
-
- main(String[]) - Static method in class org.drip.sample.bloomberg.SWPM
-
- main(String[]) - Static method in class org.drip.sample.bloomberg.SWPM_NEW
-
- main(String[]) - Static method in class org.drip.sample.bloomberg.SWPMOIS
-
- main(String[]) - Static method in class org.drip.sample.bloomberg.YAS
-
- main(String[]) - Static method in class org.drip.sample.bond.BasketAggregateMeasuresGeneration
-
- main(String[]) - Static method in class org.drip.sample.bond.CoreCashFlowMeasures
-
- main(String[]) - Static method in class org.drip.sample.bond.CorporateIssueMetrics
-
- main(String[]) - Static method in class org.drip.sample.bond.MultiCallExerciseMetrics
-
- main(String[]) - Static method in class org.drip.sample.bond.MultiCallMonteCarlo
-
- main(String[]) - Static method in class org.drip.sample.bond.RegressionSplineCashCurve
-
- main(String[]) - Static method in class org.drip.sample.bond.RelativeValueMeasuresGeneration
-
- main(String[]) - Static method in class org.drip.sample.bondapi.FixedCoupon
-
- main(String[]) - Static method in class org.drip.sample.bondapi.FixedCouponKeyRateDuration
-
- main(String[]) - Static method in class org.drip.sample.bondapi.FixedCouponRVMeasures
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Agra
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Aksu
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Allahabad
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Altay
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Amritsar
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Anqing
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Anshan
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Anyang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Aurangabad
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Baoding
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Baoji
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Baotou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Bazhong
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Beihai
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Beijing
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Bengbu
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Benxi
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Bhopal
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Binzhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Bozhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Canhzhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Chandigarh
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Changchun
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Changde
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Changsha
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Changshu
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Changzhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Chaozhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Chengdu
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Chifeng
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Chongqing
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Chuzhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Cixi
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Dalian
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Dandong
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Danyang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Daqing
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Datong
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Dengzhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Dezhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Dhanbad
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Dingzhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Dongguan
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Dongying
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Ezhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Faridabad
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Feicheng
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Foshan
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Fuqing
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Fushun
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Fuxin
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Fuyang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Fuzhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Ganzhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Ghaziabad
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Giulin
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Guangzhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Guigang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Guiyang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Guwahati
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Gwalior
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Haicheng
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Haikou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Haimen
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Handan
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Harbin
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Hefei
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Hegang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Hengyang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Heze
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Hezhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Hohhot
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Hongzhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Howrah
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Huaian
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Huaibei
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Huainan
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Huangshi
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Huazhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Huizhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Huludao
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Indore
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Jabalpur
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Jamshedpur
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Jiamusi
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Jiangmen
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Jiangyin
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Jiaozuo
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Jiaxing
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Jilin
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Jinan
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Jingjiang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Jingzhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Jinhua
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Jining
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Jinzhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Jiujiang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.KalyanDombivli
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Kanpur
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Karamay
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Kashgar
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Keifeng
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Kota
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Kunming
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Laiwu
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Langfeng
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Lanzhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Lhasa
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Lianyungang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Liaocheng
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Liaoyang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Lijiang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Linfen
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Linhai
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Linyi
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Lishui
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Liuzhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Luan
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Luoyang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Maanshan
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Maoming
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Mianyang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Mudanjiang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Nanchang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Nanchong
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Nanjing
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Nanning
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Nanping
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Nantong
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Nanyang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Nashik
-
- main(String[]) - Static method in class org.drip.sample.bondeos.NaviMumbai
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Neijiang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Ningbo
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Panjin
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Panzhihua
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Patna
-
- main(String[]) - Static method in class org.drip.sample.bondeos.PimpriChinchwad
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Pingdingshan
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Pizhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Putian
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Puyang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Qidong
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Qingdao
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Qinghuangdao
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Qiqihar
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Quanzhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Qujing
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Raipur
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Ranchi
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Rizhao
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Rugao
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Shanghai
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Shantou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Shaoxing
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Shaoyang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Shenyang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Shenzhen
-
- main(String[]) - Static method in class org.drip.sample.bondeos.ShijiaZhuang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Shouguang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Solapur
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Srinagar
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Suihua
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Surat
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Suzhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Taian
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Taixing
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Taiyuan
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Taizhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Tangshan
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Tanjin
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Tengzhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Tianshui
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Tieling
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Urumqi
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Vadodra
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Varanasi
-
- main(String[]) - Static method in class org.drip.sample.bondeos.VasaiVirar
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Vijayawada
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Visakhapatnam
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Weifang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Weihai
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Wenling
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Wenzhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Wuchuan
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Wuhan
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Wuhu
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Wuwei
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Wuxi
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Xiamen
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Xian
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Xiangcheng
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Xiangtan
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Xiangyang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Xianyang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Xingtai
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Xining
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Xinxiang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Xinyang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Xinyi
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Xuchang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Xuzhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Yancheng
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Yangjiang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Yangzhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Yantai
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Yibin
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Yichang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Yinchuan
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Yingkou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Yiwu
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Yixing
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Yueyang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Yulin
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Yuzhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Zaoyang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Zaozhuang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Zhangjiagang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Zhangqiu
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Zhangzhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Zhanjiang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Zhaoqing
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Zhengzhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Zhenjiang
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Zhongshan
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Zhoukou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Zhoushan
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Zhucheng
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Zhuhai
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Zhuji
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Zhuzhou
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Zibo
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Zigong
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Zoucheng
-
- main(String[]) - Static method in class org.drip.sample.bondeos.Zunyi
-
- main(String[]) - Static method in class org.drip.sample.bondfixed.Bareilly
-
- main(String[]) - Static method in class org.drip.sample.bondfixed.BulletAgency
-
- main(String[]) - Static method in class org.drip.sample.bondfixed.BulletCorporate1
-
- main(String[]) - Static method in class org.drip.sample.bondfixed.BulletCorporate2
-
- main(String[]) - Static method in class org.drip.sample.bondfixed.BulletCorporate3
-
- main(String[]) - Static method in class org.drip.sample.bondfixed.BulletCorporate4
-
- main(String[]) - Static method in class org.drip.sample.bondfixed.BulletCorporate5
-
- main(String[]) - Static method in class org.drip.sample.bondfixed.BulletCorporate6
-
- main(String[]) - Static method in class org.drip.sample.bondfixed.HubbaliDharwad
-
- main(String[]) - Static method in class org.drip.sample.bondfixed.Moradabad
-
- main(String[]) - Static method in class org.drip.sample.bondfixed.Mysore
-
- main(String[]) - Static method in class org.drip.sample.bondfixed.Tiruchirapalli
-
- main(String[]) - Static method in class org.drip.sample.bondfixed.Tiruppur
-
- main(String[]) - Static method in class org.drip.sample.bondfloat.BulletLIBORCorporate
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Agartala
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Ahmedabad
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Aizawl
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Ajmer
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Akola
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Ambattur
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Asansol
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Bally
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Belgaum
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Bellary
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Bengaluru
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Bhagalpur
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Bhatpara
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Bhilai
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Bokaro
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Chennai
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Coimbatore
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Darbhanga
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Delhi
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Dewas
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Dumdum
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Durgapur
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Erode
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Gaya
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Goa
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Gopalpur
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Gulbarga
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Hyderabad
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Jaipur
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Jalgaon
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Jammu
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Jamnagar
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Jhansi
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Jullundar
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Kochi
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Kolhapur
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Kolkata
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Kottayam
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Latur
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Loni
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Lucknow
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Ludhiana
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Madurai
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Malegaon
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Mangalore
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Mumbai
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Muzaffarnagar
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Muzaffarpur
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Nanded
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Noida
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Panihati
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Panipat
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Parbhani
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Patiala
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Puducherry
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Pune
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Rajahmundry
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Rajkot
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.RajpurSonarpur
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Reconciler_Call
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Reconciler_Fixed
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Reconciler_Float
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Reconciler_Sink
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Rourkela
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.SangliMirajKhupwad
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Siliguri
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Thane
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Thiruvananthapuram
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Tirunelveli
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Tumkur
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Udaipur
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Ujjain
-
- main(String[]) - Static method in class org.drip.sample.bondmetrics.Ulhasnagar
-
- main(String[]) - Static method in class org.drip.sample.bondsink.Aligarh
-
- main(String[]) - Static method in class org.drip.sample.bondsink.Amaravati
-
- main(String[]) - Static method in class org.drip.sample.bondsink.Bhavnagar
-
- main(String[]) - Static method in class org.drip.sample.bondsink.Bhiwandi
-
- main(String[]) - Static method in class org.drip.sample.bondsink.Bhubaneswar
-
- main(String[]) - Static method in class org.drip.sample.bondsink.Bikaner
-
- main(String[]) - Static method in class org.drip.sample.bondsink.Cuttack
-
- main(String[]) - Static method in class org.drip.sample.bondsink.Dehradun
-
- main(String[]) - Static method in class org.drip.sample.bondsink.Firozabad
-
- main(String[]) - Static method in class org.drip.sample.bondsink.Gorakhpur
-
- main(String[]) - Static method in class org.drip.sample.bondsink.Guntur
-
- main(String[]) - Static method in class org.drip.sample.bondsink.Ichalkaranji
-
- main(String[]) - Static method in class org.drip.sample.bondsink.MiraBhayander
-
- main(String[]) - Static method in class org.drip.sample.bondsink.Nellore
-
- main(String[]) - Static method in class org.drip.sample.bondsink.Saharanpur
-
- main(String[]) - Static method in class org.drip.sample.bondsink.Salem
-
- main(String[]) - Static method in class org.drip.sample.bondsink.Warangal
-
- main(String[]) - Static method in class org.drip.sample.bondswap.BiharSharif
-
- main(String[]) - Static method in class org.drip.sample.bondswap.Khammam
-
- main(String[]) - Static method in class org.drip.sample.bondswap.Ozhukarai
-
- main(String[]) - Static method in class org.drip.sample.burgard2011.CorrelatedNumeraireXVAAttribution
-
- main(String[]) - Static method in class org.drip.sample.burgard2011.CorrelatedNumeraireXVAExplain
-
- main(String[]) - Static method in class org.drip.sample.burgard2011.CorrelatedNumeraireXVAGreeks
-
- main(String[]) - Static method in class org.drip.sample.burgard2011.CorrelatedNumeraireXVAReplicationPortfolio
-
- main(String[]) - Static method in class org.drip.sample.burgard2011.XVAExplain
-
- main(String[]) - Static method in class org.drip.sample.burgard2011.XVAGreeks
-
- main(String[]) - Static method in class org.drip.sample.burgard2011.XVAMarketGeneration
-
- main(String[]) - Static method in class org.drip.sample.burgard2011.XVAReplicationPortfolio
-
- main(String[]) - Static method in class org.drip.sample.burgard2012.CounterPartyHazardHigh
-
- main(String[]) - Static method in class org.drip.sample.burgard2012.CounterPartyHazardLow
-
- main(String[]) - Static method in class org.drip.sample.burgard2012.CounterPartyHazardMedium
-
- main(String[]) - Static method in class org.drip.sample.burgard2012.EulerTrajectoryEvolutionScheme
-
- main(String[]) - Static method in class org.drip.sample.burgard2012.FixFloatVABank
-
- main(String[]) - Static method in class org.drip.sample.burgard2012.FixFloatVACounterParty
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.BilateralCSACollateralizedFunding
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.BilateralCSACollateralizedFundingStochastic
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.BilateralCSAUncollateralizedFunding
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.BilateralCSAUncollateralizedFundingStochastic
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.BilateralCSAZeroThresholdFunding
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.BilateralCSAZeroThresholdFundingStochastic
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.PerfectReplicationCollateralizedFunding
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.PerfectReplicationCollateralizedFundingStochastic
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.PerfectReplicationUncollateralizedFunding
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.PerfectReplicationUncollateralizedFundingStochastic
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.PerfectReplicationZeroThresholdFunding
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.PerfectReplicationZeroThresholdFundingStochastic
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.SemiReplicationCollateralizedFunding
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.SemiReplicationCollateralizedFundingStochastic
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.SemiReplicationUncollateralizedFunding
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.SemiReplicationUncollateralizedFundingStochastic
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.SemiReplicationZeroThresholdFunding
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.SemiReplicationZeroThresholdFundingStochastic
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.SetOffCollateralizedFunding
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.SetOffCollateralizedFundingStochastic
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.SetOffUncollateralizedFunding
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.SetOffUncollateralizedFundingStochastic
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.SetOffZeroThresholdFunding
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.SetOffZeroThresholdFundingStochastic
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.UnilateralCSACollateralizedFunding
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.UnilateralCSACollateralizedFundingStochastic
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.UnilateralCSAUncollateralizedFunding
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.UnilateralCSAUncollateralizedFundingStochastic
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.UnilateralCSAZeroThresholdFunding
-
- main(String[]) - Static method in class org.drip.sample.burgard2013.UnilateralCSAZeroThresholdFundingStochastic
-
- main(String[]) - Static method in class org.drip.sample.capfloor.FRAStdCapFloor
-
- main(String[]) - Static method in class org.drip.sample.capfloor.FRAStdCapFloorAnalysis
-
- main(String[]) - Static method in class org.drip.sample.capfloor.FRAStdCapModels
-
- main(String[]) - Static method in class org.drip.sample.capfloor.FRAStdCapMonteCarlo
-
- main(String[]) - Static method in class org.drip.sample.capfloor.FRAStdCapSequence
-
- main(String[]) - Static method in class org.drip.sample.cashflow.AmortizingBondPeriods
-
- main(String[]) - Static method in class org.drip.sample.cashflow.DepositPeriods
-
- main(String[]) - Static method in class org.drip.sample.cashflow.EOSBondPeriods
-
- main(String[]) - Static method in class org.drip.sample.cashflow.FixedCouponBondPeriods
-
- main(String[]) - Static method in class org.drip.sample.cashflow.FixFloatInAdvanceIMMPeriods
-
- main(String[]) - Static method in class org.drip.sample.cashflow.FixFloatInAdvancePeriods
-
- main(String[]) - Static method in class org.drip.sample.cashflow.FixFloatInArrearsIMMPeriods
-
- main(String[]) - Static method in class org.drip.sample.cashflow.FixFloatInArrearsPeriods
-
- main(String[]) - Static method in class org.drip.sample.cashflow.FloatingCouponBondPeriods
-
- main(String[]) - Static method in class org.drip.sample.cashflow.ForwardRateFuturePeriods
-
- main(String[]) - Static method in class org.drip.sample.cashflow.FRAMarketPeriods
-
- main(String[]) - Static method in class org.drip.sample.cashflow.FRAStandardPeriods
-
- main(String[]) - Static method in class org.drip.sample.cashflow.InAdvanceLongTenorPeriods
-
- main(String[]) - Static method in class org.drip.sample.cashflow.InAdvanceShortTenorPeriods
-
- main(String[]) - Static method in class org.drip.sample.cashflow.InArrearsLongTenorPeriods
-
- main(String[]) - Static method in class org.drip.sample.cashflow.InArrearsShortTenorPeriods
-
- main(String[]) - Static method in class org.drip.sample.classifier.BinaryClassifierSupremumBound
-
- main(String[]) - Static method in class org.drip.sample.cma.LatamCorp
-
- main(String[]) - Static method in class org.drip.sample.cma.Maheshtala
-
- main(String[]) - Static method in class org.drip.sample.cms.FixFloatMetricComparison
-
- main(String[]) - Static method in class org.drip.sample.cms.FixFloatVarianceAnalysis
-
- main(String[]) - Static method in class org.drip.sample.cms.FloatFloatMetricComparison
-
- main(String[]) - Static method in class org.drip.sample.cms.FloatFloatVarianceAnalysis
-
- main(String[]) - Static method in class org.drip.sample.corporate.FixedBullet1
-
- main(String[]) - Static method in class org.drip.sample.corporate.FixedBullet2
-
- main(String[]) - Static method in class org.drip.sample.corporate.FixedBullet3
-
- main(String[]) - Static method in class org.drip.sample.corporate.FixedBullet4
-
- main(String[]) - Static method in class org.drip.sample.corporate.FixedBullet5
-
- main(String[]) - Static method in class org.drip.sample.corporate.FixedBullet6
-
- main(String[]) - Static method in class org.drip.sample.corporate.FixedBullet7
-
- main(String[]) - Static method in class org.drip.sample.corporate.FixedBullet8
-
- main(String[]) - Static method in class org.drip.sample.corporate.NonFixedBullet
-
- main(String[]) - Static method in class org.drip.sample.coveringnumber.BoundedFunction
-
- main(String[]) - Static method in class org.drip.sample.coveringnumber.ScaleSensitiveFunction
-
- main(String[]) - Static method in class org.drip.sample.credit.BuiltInCDSPortfolioDefinitions
-
- main(String[]) - Static method in class org.drip.sample.credit.CDSBasketMeasures
-
- main(String[]) - Static method in class org.drip.sample.credit.CDSCashFlowMeasures
-
- main(String[]) - Static method in class org.drip.sample.credit.CDSValuationMetrics
-
- main(String[]) - Static method in class org.drip.sample.credit.CreditIndexDefinitions
-
- main(String[]) - Static method in class org.drip.sample.creditfeed.CDXNAIGS155YReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.creditfeed.CDXNAIGS165YReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.creditfeed.CDXNAIGS175YReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.creditfeed.CDXNAIGS185YReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.creditfeed.CDXNAIGS195YReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.creditfeed.CDXNAIGS205YReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.creditfeed.CDXNAIGS215YReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.creditfeed.CDXNAIGS225YReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.creditfeed.CDXNAIGS235YReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.creditfeed.CDXNAIGS245YReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.creditfeed.CDXNAIGS255YReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.creditfeed.CDXNAIGS265YReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.creditfeed.USDCreditFixingReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.credithistorical.CDXNAIGS155YMetrics
-
- main(String[]) - Static method in class org.drip.sample.credithistorical.CDXNAIGS165YMetrics
-
- main(String[]) - Static method in class org.drip.sample.credithistorical.CDXNAIGS175YMetrics
-
- main(String[]) - Static method in class org.drip.sample.credithistorical.CDXNAIGS185YMetrics
-
- main(String[]) - Static method in class org.drip.sample.credithistorical.CDXNAIGS195YMetrics
-
- main(String[]) - Static method in class org.drip.sample.credithistorical.CDXNAIGS205YMetrics
-
- main(String[]) - Static method in class org.drip.sample.credithistorical.CDXNAIGS215YMetrics
-
- main(String[]) - Static method in class org.drip.sample.credithistorical.CDXNAIGS225YMetrics
-
- main(String[]) - Static method in class org.drip.sample.credithistorical.CDXNAIGS235YMetrics
-
- main(String[]) - Static method in class org.drip.sample.credithistorical.CDXNAIGS245YMetrics
-
- main(String[]) - Static method in class org.drip.sample.credithistorical.CDXNAIGS255YMetrics
-
- main(String[]) - Static method in class org.drip.sample.credithistorical.CDXNAIGS265YMetrics
-
- main(String[]) - Static method in class org.drip.sample.creditindexpnl.CDXNAIGS155YAttribution
-
- main(String[]) - Static method in class org.drip.sample.creditindexpnl.CDXNAIGS165YAttribution
-
- main(String[]) - Static method in class org.drip.sample.creditindexpnl.CDXNAIGS175YAttribution
-
- main(String[]) - Static method in class org.drip.sample.creditindexpnl.CDXNAIGS185YAttribution
-
- main(String[]) - Static method in class org.drip.sample.creditindexpnl.CDXNAIGS195YAttribution
-
- main(String[]) - Static method in class org.drip.sample.creditindexpnl.CDXNAIGS205YAttribution
-
- main(String[]) - Static method in class org.drip.sample.creditindexpnl.CDXNAIGS215YAttribution
-
- main(String[]) - Static method in class org.drip.sample.creditindexpnl.CDXNAIGS225YAttribution
-
- main(String[]) - Static method in class org.drip.sample.creditindexpnl.CDXNAIGS235YAttribution
-
- main(String[]) - Static method in class org.drip.sample.creditindexpnl.CDXNAIGS245YAttribution
-
- main(String[]) - Static method in class org.drip.sample.creditindexpnl.CDXNAIGS255YAttribution
-
- main(String[]) - Static method in class org.drip.sample.creditindexpnl.CDXNAIGS265YAttribution
-
- main(String[]) - Static method in class org.drip.sample.creditoption.CDSPayerReceiver
-
- main(String[]) - Static method in class org.drip.sample.creditoption.CDSPayerReceiverAnalysis
-
- main(String[]) - Static method in class org.drip.sample.cross.CrossFixedPlainFloat
-
- main(String[]) - Static method in class org.drip.sample.cross.CrossFixedPlainFloatAnalysis
-
- main(String[]) - Static method in class org.drip.sample.cross.CrossFloatCrossFloat
-
- main(String[]) - Static method in class org.drip.sample.cross.CrossFloatCrossFloatAnalysis
-
- main(String[]) - Static method in class org.drip.sample.cross.FixFloatFixFloat
-
- main(String[]) - Static method in class org.drip.sample.cross.FixFloatFixFloatAnalysis
-
- main(String[]) - Static method in class org.drip.sample.cross.FloatFloatFloatFloat
-
- main(String[]) - Static method in class org.drip.sample.cross.FloatFloatFloatFloatAnalysis
-
- main(String[]) - Static method in class org.drip.sample.csaevents.AggressiveTimeline
-
- main(String[]) - Static method in class org.drip.sample.csaevents.AndersenPykhtinSokolDates
-
- main(String[]) - Static method in class org.drip.sample.csaevents.ConservativeTimeline
-
- main(String[]) - Static method in class org.drip.sample.date.CalendarAPI
-
- main(String[]) - Static method in class org.drip.sample.date.DateRollAPI
-
- main(String[]) - Static method in class org.drip.sample.date.DayCountAPI
-
- main(String[]) - Static method in class org.drip.sample.date.FliegelvanFlandernJulian
-
- main(String[]) - Static method in class org.drip.sample.date.IMMRollAPI
-
- main(String[]) - Static method in class org.drip.sample.descentverifier.ArmijoEvolutionMetrics
-
- main(String[]) - Static method in class org.drip.sample.descentverifier.StrongCurvatureEvolutionMetrics
-
- main(String[]) - Static method in class org.drip.sample.descentverifier.StrongWolfeEvolutionMetrics
-
- main(String[]) - Static method in class org.drip.sample.descentverifier.WeakCurvatureEvolutionMetrics
-
- main(String[]) - Static method in class org.drip.sample.descentverifier.WeakWolfeEvolutionMetrics
-
- main(String[]) - Static method in class org.drip.sample.dual.CAD3M6MUSD3M6M
-
- main(String[]) - Static method in class org.drip.sample.dual.CHF3M6MUSD3M6M
-
- main(String[]) - Static method in class org.drip.sample.dual.DKK3M6MUSD3M6M
-
- main(String[]) - Static method in class org.drip.sample.dual.EUR3M6MUSD3M6M
-
- main(String[]) - Static method in class org.drip.sample.dual.GBP3M6MUSD3M6M
-
- main(String[]) - Static method in class org.drip.sample.dual.JPY3M6MUSD3M6M
-
- main(String[]) - Static method in class org.drip.sample.dual.NOK3M6MUSD3M6M
-
- main(String[]) - Static method in class org.drip.sample.dual.PLN3M6MUSD3M6M
-
- main(String[]) - Static method in class org.drip.sample.dual.SEK3M6MUSD3M6M
-
- main(String[]) - Static method in class org.drip.sample.efficientfrontier.BoundedMarkovitzBullet
-
- main(String[]) - Static method in class org.drip.sample.efficientfrontier.LongOnlyMarkovitzBullet
-
- main(String[]) - Static method in class org.drip.sample.efficientfrontier.UnboundedMarkovitzBullet
-
- main(String[]) - Static method in class org.drip.sample.efficientfrontier.UnboundedMarkovitzBulletExplicit
-
- main(String[]) - Static method in class org.drip.sample.efronstein.BinaryVariateSumBound
-
- main(String[]) - Static method in class org.drip.sample.efronstein.BoundedVariateSumBound
-
- main(String[]) - Static method in class org.drip.sample.efronstein.GlivenkoCantelliSupremumBound
-
- main(String[]) - Static method in class org.drip.sample.efronstein.GlivenkoCantelliUniformBound
-
- main(String[]) - Static method in class org.drip.sample.efronstein.KernelDensityL1Bound
-
- main(String[]) - Static method in class org.drip.sample.efronstein.LongestCommonSubsequenceBound
-
- main(String[]) - Static method in class org.drip.sample.efronstein.MinimumBinPackingBound
-
- main(String[]) - Static method in class org.drip.sample.efronstein.OrientedPassageTimeBound
-
- main(String[]) - Static method in class org.drip.sample.env.CacheManagerAPI
-
- main(String[]) - Static method in class org.drip.sample.execution.AlmgrenConstantTradingEnhanced
-
- main(String[]) - Static method in class org.drip.sample.execution.AlmgrenLinearTradingEnhanced
-
- main(String[]) - Static method in class org.drip.sample.execution.ConcaveImpactNoDrift
-
- main(String[]) - Static method in class org.drip.sample.execution.LinearImpactNoDrift
-
- main(String[]) - Static method in class org.drip.sample.execution.LinearImpactWithDrift
-
- main(String[]) - Static method in class org.drip.sample.fedfund.CompositeFedFundLIBORSwap
-
- main(String[]) - Static method in class org.drip.sample.fedfund.FedFundOvernightCompounding
-
- main(String[]) - Static method in class org.drip.sample.fedfund.OvernightFedFundLIBORSwap
-
- main(String[]) - Static method in class org.drip.sample.fixfloat.AmortizingCapitalizingAccruingSwap
-
- main(String[]) - Static method in class org.drip.sample.fixfloat.CustomFixFloatSwap
-
- main(String[]) - Static method in class org.drip.sample.fixfloat.InAdvanceIMMSwap
-
- main(String[]) - Static method in class org.drip.sample.fixfloat.InAdvanceSwap
-
- main(String[]) - Static method in class org.drip.sample.fixfloat.InArrearsSwap
-
- main(String[]) - Static method in class org.drip.sample.fixfloat.JurisdictionOTCIndexDefinitions
-
- main(String[]) - Static method in class org.drip.sample.fixfloat.JurisdictionOTCIndexSwaps
-
- main(String[]) - Static method in class org.drip.sample.fixfloat.LongTenorSwap
-
- main(String[]) - Static method in class org.drip.sample.fixfloat.RollerCoasterSwap
-
- main(String[]) - Static method in class org.drip.sample.fixfloat.ShortTenorSwap
-
- main(String[]) - Static method in class org.drip.sample.fixfloat.StepUpStepDown
-
- main(String[]) - Static method in class org.drip.sample.fixfloatoption.MultiCurvePayerReceiver
-
- main(String[]) - Static method in class org.drip.sample.fixfloatoption.MultiCurvePayerReceiverAnalysis
-
- main(String[]) - Static method in class org.drip.sample.fixfloatpnl.AUDIRSAttribution
-
- main(String[]) - Static method in class org.drip.sample.fixfloatpnl.CADIRSAttribution
-
- main(String[]) - Static method in class org.drip.sample.fixfloatpnl.CHFIRSAttribution
-
- main(String[]) - Static method in class org.drip.sample.fixfloatpnl.CZKIRSAttribution
-
- main(String[]) - Static method in class org.drip.sample.fixfloatpnl.DKKIRSAttribution
-
- main(String[]) - Static method in class org.drip.sample.fixfloatpnl.EURIRSAttribution
-
- main(String[]) - Static method in class org.drip.sample.fixfloatpnl.GBPIRSAttribution
-
- main(String[]) - Static method in class org.drip.sample.fixfloatpnl.HKDIRSAttribution
-
- main(String[]) - Static method in class org.drip.sample.fixfloatpnl.HUFIRSAttribution
-
- main(String[]) - Static method in class org.drip.sample.fixfloatpnl.ILSIRSAttribution
-
- main(String[]) - Static method in class org.drip.sample.fixfloatpnl.JPYIRSAttribution
-
- main(String[]) - Static method in class org.drip.sample.fixfloatpnl.MXNIRSAttribution
-
- main(String[]) - Static method in class org.drip.sample.fixfloatpnl.NOKIRSAttribution
-
- main(String[]) - Static method in class org.drip.sample.fixfloatpnl.NZDIRSAttribution
-
- main(String[]) - Static method in class org.drip.sample.fixfloatpnl.PLNIRSAttribution
-
- main(String[]) - Static method in class org.drip.sample.fixfloatpnl.SEKIRSAttribution
-
- main(String[]) - Static method in class org.drip.sample.fixfloatpnl.SGDIRSAttribution
-
- main(String[]) - Static method in class org.drip.sample.fixfloatpnl.TRYIRSAttribution
-
- main(String[]) - Static method in class org.drip.sample.fixfloatpnl.USDIRSAttribution
-
- main(String[]) - Static method in class org.drip.sample.floatfloat.JurisdictionOTCIndexDefinitions
-
- main(String[]) - Static method in class org.drip.sample.floatfloat.JurisdictionOTCIndexSwaps
-
- main(String[]) - Static method in class org.drip.sample.forward.IBOR12MCubicKLKHyperbolic
-
- main(String[]) - Static method in class org.drip.sample.forward.IBOR12MCubicPolyVanilla
-
- main(String[]) - Static method in class org.drip.sample.forward.IBOR12MQuarticPolyVanilla
-
- main(String[]) - Static method in class org.drip.sample.forward.IBOR1MCubicKLKHyperbolic
-
- main(String[]) - Static method in class org.drip.sample.forward.IBOR1MCubicPolyVanilla
-
- main(String[]) - Static method in class org.drip.sample.forward.IBOR1MQuarticPolyVanilla
-
- main(String[]) - Static method in class org.drip.sample.forward.IBOR3MCubicKLKHyperbolic
-
- main(String[]) - Static method in class org.drip.sample.forward.IBOR3MCubicPolyVanilla
-
- main(String[]) - Static method in class org.drip.sample.forward.IBOR3MQuarticPolyVanilla
-
- main(String[]) - Static method in class org.drip.sample.forward.IBOR6MCubicKLKHyperbolic
-
- main(String[]) - Static method in class org.drip.sample.forward.IBOR6MCubicPolyVanilla
-
- main(String[]) - Static method in class org.drip.sample.forward.IBOR6MQuarticPolyVanilla
-
- main(String[]) - Static method in class org.drip.sample.forward.JurisdictionIBORIndexDefinition
-
- main(String[]) - Static method in class org.drip.sample.forwardratefutures.DIFutures
-
- main(String[]) - Static method in class org.drip.sample.forwardratefutures.EONIAFutures
-
- main(String[]) - Static method in class org.drip.sample.forwardratefutures.FedFundFutures
-
- main(String[]) - Static method in class org.drip.sample.forwardratefutures.JurisdictionIRSFuturesDefinition
-
- main(String[]) - Static method in class org.drip.sample.forwardratefutures.JurisdictionIRSFuturesValuation
-
- main(String[]) - Static method in class org.drip.sample.forwardratefutures.JurisdictionVenueOptionDetails
-
- main(String[]) - Static method in class org.drip.sample.forwardratefutures.JurisdictionVenueOptionValuation
-
- main(String[]) - Static method in class org.drip.sample.forwardratefutures.ShortTermFuturesDefinition
-
- main(String[]) - Static method in class org.drip.sample.forwardratefuturesfeed.BA1ClosesReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.forwardratefuturesfeed.ED1ClosesReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.forwardratefuturesfeed.EF1ClosesReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.forwardratefuturesfeed.ER1ClosesReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.forwardratefuturesfeed.ES1ClosesReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.forwardratefuturesfeed.IR1ClosesReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.forwardratefuturesfeed.L1ClosesReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.forwardratefuturesfeed.YE1ClosesReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.forwardratefuturespnl.BA1Attribution
-
- main(String[]) - Static method in class org.drip.sample.forwardratefuturespnl.ED1Attribution
-
- main(String[]) - Static method in class org.drip.sample.forwardratefuturespnl.EF1Attribution
-
- main(String[]) - Static method in class org.drip.sample.forwardratefuturespnl.ER1Attribution
-
- main(String[]) - Static method in class org.drip.sample.forwardratefuturespnl.ES1Attribution
-
- main(String[]) - Static method in class org.drip.sample.forwardratefuturespnl.IR1Attribution
-
- main(String[]) - Static method in class org.drip.sample.forwardratefuturespnl.L1Attribution
-
- main(String[]) - Static method in class org.drip.sample.forwardratefuturespnl.YE1Attribution
-
- main(String[]) - Static method in class org.drip.sample.forwardvolatility.CustomFRAVolatilityCurve
-
- main(String[]) - Static method in class org.drip.sample.fra.FRAStandardOption
-
- main(String[]) - Static method in class org.drip.sample.fra.FRAStandardOptionAnalysis
-
- main(String[]) - Static method in class org.drip.sample.fra.MultiCurveFRAMarket
-
- main(String[]) - Static method in class org.drip.sample.fra.MultiCurveFRAMarketAnalysis
-
- main(String[]) - Static method in class org.drip.sample.fra.MultiCurveFRAStandard
-
- main(String[]) - Static method in class org.drip.sample.fra.MultiCurveFRAStandardAnalysis
-
- main(String[]) - Static method in class org.drip.sample.funding.CustomFundingCurveBuilder
-
- main(String[]) - Static method in class org.drip.sample.funding.CustomFundingCurveReconciler
-
- main(String[]) - Static method in class org.drip.sample.funding.HaganWestForwardInterpolator
-
- main(String[]) - Static method in class org.drip.sample.funding.MultiStreamSwapMeasures
-
- main(String[]) - Static method in class org.drip.sample.funding.NonlinearCurveMeasures
-
- main(String[]) - Static method in class org.drip.sample.funding.ShapePreservingZeroSmooth
-
- main(String[]) - Static method in class org.drip.sample.funding.ShapeZeroLocalSmooth
-
- main(String[]) - Static method in class org.drip.sample.funding.TemplatedFundingCurveBuilder
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.AUDShapePreservingReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.AUDSmoothReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.CADShapePreservingReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.CADSmoothReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.CHFShapePreservingReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.CHFSmoothReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.CZKShapePreservingReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.DKKShapePreservingReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.EURShapePreservingReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.EURSmoothReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.GBPShapePreservingReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.GBPSmoothReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.HKDShapePreservingReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.HUFShapePreservingReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.ILSShapePreservingReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.JPYShapePreservingReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.JPYSmoothReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.MXNShapePreservingReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.NOKShapePreservingReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.NOKSmoothReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.NZDShapePreservingReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.NZDSmoothReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.PLNShapePreservingReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.SEKShapePreservingReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.SEKSmoothReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.SGDShapePreservingReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.TRYShapePreservingReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.UnifiedShapePreserving1YStart
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.USDShapePreservingReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.USDSmoothReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundingfeed.ZARShapePreservingReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.AUDShapePreserving1YForward
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.AUDShapePreserving1YStart
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.AUDSmooth1YForward
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.CADShapePreserving1YForward
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.CADShapePreserving1YStart
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.CADSmooth1YForward
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.CHFShapePreserving1YForward
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.CHFShapePreserving1YStart
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.CHFSmooth1YForward
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.CZKShapePreserving1YStart
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.DKKShapePreserving1YStart
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.EURShapePreserving1YForward
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.EURShapePreserving1YStart
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.EURSmooth1YForward
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.GBPShapePreserving1YForward
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.GBPShapePreserving1YStart
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.GBPSmooth1YForward
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.HKDShapePreserving1YStart
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.HUFShapePreserving1YStart
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.ILSShapePreserving1YStart
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.JPYShapePreserving1YForward
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.JPYShapePreserving1YStart
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.JPYSmooth1YForward
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.MXNShapePreserving1YStart
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.NOKShapePreserving1YForward
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.NOKShapePreserving1YStart
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.NOKSmooth1YForward
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.NZDShapePreserving1YForward
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.NZDShapePreserving1YStart
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.NZDSmooth1YForward
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.PLNShapePreserving1YStart
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.SEKShapePreserving1YForward
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.SEKShapePreserving1YStart
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.SEKSmooth1YForward
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.SGDShapePreserving1YStart
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.TRYShapePreserving1YStart
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.USDShapePreserving1YForward
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.USDShapePreserving1YStart
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.USDSmooth1YForward
-
- main(String[]) - Static method in class org.drip.sample.fundinghistorical.ZARShapePreserving1YStart
-
- main(String[]) - Static method in class org.drip.sample.fx.CustomFXCurveBuilder
-
- main(String[]) - Static method in class org.drip.sample.fx.FXCurrencyPairConventions
-
- main(String[]) - Static method in class org.drip.sample.govvie.NonlinearGovvieCurve
-
- main(String[]) - Static method in class org.drip.sample.govvie.SplineGovvieCurve
-
- main(String[]) - Static method in class org.drip.sample.govviemc.PathDateForwardCurves
-
- main(String[]) - Static method in class org.drip.sample.govviemc.PathExerciseIndicator
-
- main(String[]) - Static method in class org.drip.sample.govviemc.PathForwardPrice
-
- main(String[]) - Static method in class org.drip.sample.govviemc.PathForwardRealization
-
- main(String[]) - Static method in class org.drip.sample.govviemc.PathVertexExerciseIndicator
-
- main(String[]) - Static method in class org.drip.sample.govviemc.PathVertexExerciseMetrics
-
- main(String[]) - Static method in class org.drip.sample.govviemc.PathVertexExerciseOptimal
-
- main(String[]) - Static method in class org.drip.sample.govviemc.PathVertexForwardCurves
-
- main(String[]) - Static method in class org.drip.sample.govviemc.PathVertexForwardPrice
-
- main(String[]) - Static method in class org.drip.sample.govviemc.PathVertexForwardRealization
-
- main(String[]) - Static method in class org.drip.sample.govviemc.PathVertexForwardState
-
- main(String[]) - Static method in class org.drip.sample.graph.BellmanFord
-
- main(String[]) - Static method in class org.drip.sample.graph.Dijkstra
-
- main(String[]) - Static method in class org.drip.sample.graph.TopographyMap
-
- main(String[]) - Static method in class org.drip.sample.helitterman.Table4DetailedBlowout
-
- main(String[]) - Static method in class org.drip.sample.helitterman.Table4Reconciler
-
- main(String[]) - Static method in class org.drip.sample.helitterman.Table5Reconciler
-
- main(String[]) - Static method in class org.drip.sample.helitterman.Table6Reconciler
-
- main(String[]) - Static method in class org.drip.sample.helitterman.Table7Reconciler
-
- main(String[]) - Static method in class org.drip.sample.helitterman.Table8Reconciler
-
- main(String[]) - Static method in class org.drip.sample.hjm.G2PlusPlusDynamics
-
- main(String[]) - Static method in class org.drip.sample.hjm.MultiFactorDynamics
-
- main(String[]) - Static method in class org.drip.sample.hjm.MultiFactorQMDynamics
-
- main(String[]) - Static method in class org.drip.sample.hjm.PrincipalComponentDynamics
-
- main(String[]) - Static method in class org.drip.sample.hjm.PrincipalComponentQMDynamics
-
- main(String[]) - Static method in class org.drip.sample.hullwhite.EvolutionMetrics
-
- main(String[]) - Static method in class org.drip.sample.hullwhite.ShortRateDynamics
-
- main(String[]) - Static method in class org.drip.sample.hullwhite.TrinomialTreeCalibration
-
- main(String[]) - Static method in class org.drip.sample.hullwhite.TrinomialTreeEvolution
-
- main(String[]) - Static method in class org.drip.sample.idzorek.ExpectedExcessReturnsWeights
-
- main(String[]) - Static method in class org.drip.sample.idzorek.PortfolioAndBenchmarkMetrics
-
- main(String[]) - Static method in class org.drip.sample.idzorek.PriorPosteriorMetricsComparison
-
- main(String[]) - Static method in class org.drip.sample.idzorek.ProjectionImpliedConfidenceLevel
-
- main(String[]) - Static method in class org.drip.sample.idzorek.ProjectionImpliedConfidenceTilt
-
- main(String[]) - Static method in class org.drip.sample.idzorek.UserConfidenceProjectionCalibration
-
- main(String[]) - Static method in class org.drip.sample.intexfeed.BrokenDateGovvieSpot
-
- main(String[]) - Static method in class org.drip.sample.intexfeed.BrokenDateLIBOREUR
-
- main(String[]) - Static method in class org.drip.sample.intexfeed.BrokenDateLIBORSpot
-
- main(String[]) - Static method in class org.drip.sample.intexfeed.BrokenDateLIBORUSD
-
- main(String[]) - Static method in class org.drip.sample.intexfeed.BrokenDateOISRate
-
- main(String[]) - Static method in class org.drip.sample.intexfeed.BrokenDateSwapRate
-
- main(String[]) - Static method in class org.drip.sample.intexfeed.ForwardGovvieYield
-
- main(String[]) - Static method in class org.drip.sample.intexfeed.ForwardSwapRate
-
- main(String[]) - Static method in class org.drip.sample.json.Test
-
- main(String[]) - Static method in class org.drip.sample.json.YylexTest
-
- main(String[]) - Static method in class org.drip.sample.lmm.ContinuousForwardRateVolatility
-
- main(String[]) - Static method in class org.drip.sample.lmm.FixFloatMonteCarloEvolver
-
- main(String[]) - Static method in class org.drip.sample.lmm.MultiFactorCurveDynamics
-
- main(String[]) - Static method in class org.drip.sample.lmm.MultiFactorLIBORCurveEvolver
-
- main(String[]) - Static method in class org.drip.sample.lmm.MultiFactorLIBORMonteCarlo
-
- main(String[]) - Static method in class org.drip.sample.lmm.PointAncillaryMetricsDynamics
-
- main(String[]) - Static method in class org.drip.sample.lmm.PointCoreMetricsDynamics
-
- main(String[]) - Static method in class org.drip.sample.lmm.TwoFactorLIBORVolatility
-
- main(String[]) - Static method in class org.drip.sample.loan.Alwar
-
- main(String[]) - Static method in class org.drip.sample.loan.Avadi
-
- main(String[]) - Static method in class org.drip.sample.loan.Bardhaman
-
- main(String[]) - Static method in class org.drip.sample.loan.Bijapur
-
- main(String[]) - Static method in class org.drip.sample.loan.Bilaspur
-
- main(String[]) - Static method in class org.drip.sample.loan.Chandrapur
-
- main(String[]) - Static method in class org.drip.sample.loan.Junagadh
-
- main(String[]) - Static method in class org.drip.sample.loan.Kadapa
-
- main(String[]) - Static method in class org.drip.sample.loan.Kakinada
-
- main(String[]) - Static method in class org.drip.sample.loan.Kollam
-
- main(String[]) - Static method in class org.drip.sample.loan.Kulti
-
- main(String[]) - Static method in class org.drip.sample.loan.Nizamabad
-
- main(String[]) - Static method in class org.drip.sample.loan.Rampur
-
- main(String[]) - Static method in class org.drip.sample.loan.Sambalpur
-
- main(String[]) - Static method in class org.drip.sample.loan.Satara
-
- main(String[]) - Static method in class org.drip.sample.loan.Shahjahanpur
-
- main(String[]) - Static method in class org.drip.sample.loan.Shivamogga
-
- main(String[]) - Static method in class org.drip.sample.loan.Thrissur
-
- main(String[]) - Static method in class org.drip.sample.lvar.OptimalTrajectoryNoDrift
-
- main(String[]) - Static method in class org.drip.sample.lvar.OptimalTrajectoryWithDrift
-
- main(String[]) - Static method in class org.drip.sample.matrix.CholeskyFactorization
-
- main(String[]) - Static method in class org.drip.sample.matrix.Eigenization
-
- main(String[]) - Static method in class org.drip.sample.matrix.GrahamSchmidtProcess
-
- main(String[]) - Static method in class org.drip.sample.matrix.LinearAlgebra
-
- main(String[]) - Static method in class org.drip.sample.matrix.MultivariateRandom
-
- main(String[]) - Static method in class org.drip.sample.matrix.PrincipalComponent
-
- main(String[]) - Static method in class org.drip.sample.matrix.QRDecomposition
-
- main(String[]) - Static method in class org.drip.sample.matrix.RayleighQuotient
-
- main(String[]) - Static method in class org.drip.sample.measure.BrownianBridgeConcave
-
- main(String[]) - Static method in class org.drip.sample.measure.BrownianBridgeConvex
-
- main(String[]) - Static method in class org.drip.sample.measure.BrownianBridgeLinear
-
- main(String[]) - Static method in class org.drip.sample.measure.GaussianSequence
-
- main(String[]) - Static method in class org.drip.sample.measure.PiecewiseDisplacedLebesgue
-
- main(String[]) - Static method in class org.drip.sample.measure.PiecewiseLinearLebesgue
-
- main(String[]) - Static method in class org.drip.sample.mporfixfloat.OTCPayerAggressiveTimeline
-
- main(String[]) - Static method in class org.drip.sample.mporfixfloat.OTCPayerClassicalMinusTimeline
-
- main(String[]) - Static method in class org.drip.sample.mporfixfloat.OTCPayerClassicalPlusTimeline
-
- main(String[]) - Static method in class org.drip.sample.mporfixfloat.OTCPayerConservativeTimeline
-
- main(String[]) - Static method in class org.drip.sample.mporfixfloat.OTCReceiverAggressiveTimeline
-
- main(String[]) - Static method in class org.drip.sample.mporfixfloat.OTCReceiverClassicalMinusTimeline
-
- main(String[]) - Static method in class org.drip.sample.mporfixfloat.OTCReceiverClassicalPlusTimeline
-
- main(String[]) - Static method in class org.drip.sample.mporfixfloat.OTCReceiverConservativeTimeline
-
- main(String[]) - Static method in class org.drip.sample.mporfixfloatxva.OTCPayerCSAAggressive
-
- main(String[]) - Static method in class org.drip.sample.mporfixfloatxva.OTCPayerCSAClassicalMinus
-
- main(String[]) - Static method in class org.drip.sample.mporfixfloatxva.OTCPayerCSAClassicalPlus
-
- main(String[]) - Static method in class org.drip.sample.mporfixfloatxva.OTCPayerCSAConservative
-
- main(String[]) - Static method in class org.drip.sample.mporfixfloatxva.OTCReceiverCSAAggressive
-
- main(String[]) - Static method in class org.drip.sample.mporfixfloatxva.OTCReceiverCSAClassicalMinus
-
- main(String[]) - Static method in class org.drip.sample.mporfixfloatxva.OTCReceiverCSAClassicalPlus
-
- main(String[]) - Static method in class org.drip.sample.mporfixfloatxva.OTCReceiverCSAConservative
-
- main(String[]) - Static method in class org.drip.sample.mporstream.LongFixedAggressiveTimeline
-
- main(String[]) - Static method in class org.drip.sample.mporstream.LongFixedClassicalMinusTimeline
-
- main(String[]) - Static method in class org.drip.sample.mporstream.LongFixedClassicalPlusTimeline
-
- main(String[]) - Static method in class org.drip.sample.mporstream.LongFixedConservativeTimeline
-
- main(String[]) - Static method in class org.drip.sample.mporstream.LongFloatAggressiveTimeline
-
- main(String[]) - Static method in class org.drip.sample.mporstream.LongFloatClassicalMinusTimeline
-
- main(String[]) - Static method in class org.drip.sample.mporstream.LongFloatClassicalPlusTimeline
-
- main(String[]) - Static method in class org.drip.sample.mporstream.LongFloatConservativeTimeline
-
- main(String[]) - Static method in class org.drip.sample.mporstream.ShortFixedAggressiveTimeline
-
- main(String[]) - Static method in class org.drip.sample.mporstream.ShortFixedClassicalMinusTimeline
-
- main(String[]) - Static method in class org.drip.sample.mporstream.ShortFixedClassicalPlusTimeline
-
- main(String[]) - Static method in class org.drip.sample.mporstream.ShortFixedConservativeTimeline
-
- main(String[]) - Static method in class org.drip.sample.mporstream.ShortFloatAggressiveTimeline
-
- main(String[]) - Static method in class org.drip.sample.mporstream.ShortFloatClassicalMinusTimeline
-
- main(String[]) - Static method in class org.drip.sample.mporstream.ShortFloatClassicalPlusTimeline
-
- main(String[]) - Static method in class org.drip.sample.mporstream.ShortFloatConservativeTimeline
-
- main(String[]) - Static method in class org.drip.sample.multicurve.CustomBasisCurveBuilder
-
- main(String[]) - Static method in class org.drip.sample.multicurve.FixFloatForwardCurve
-
- main(String[]) - Static method in class org.drip.sample.multicurve.FixFloatSwap
-
- main(String[]) - Static method in class org.drip.sample.multicurve.FixFloatSwapAnalysis
-
- main(String[]) - Static method in class org.drip.sample.multicurve.FixFloatSwapIMM
-
- main(String[]) - Static method in class org.drip.sample.multicurve.FloatFloatForwardCurve
-
- main(String[]) - Static method in class org.drip.sample.multicurve.FundingNativeForwardReconciler
-
- main(String[]) - Static method in class org.drip.sample.multicurve.OTCSwapOptionSettlements
-
- main(String[]) - Static method in class org.drip.sample.municipal.Davanagere
-
- main(String[]) - Static method in class org.drip.sample.municipal.Kozhikode
-
- main(String[]) - Static method in class org.drip.sample.municipal.Kurnool
-
- main(String[]) - Static method in class org.drip.sample.municipal.MunicipalFixedBullet1
-
- main(String[]) - Static method in class org.drip.sample.municipal.MunicipalFixedBullet2
-
- main(String[]) - Static method in class org.drip.sample.municipal.MunicipalFixedBullet3
-
- main(String[]) - Static method in class org.drip.sample.netting.PortfolioGroupRun
-
- main(String[]) - Static method in class org.drip.sample.netting.PortfolioGroupSimulation
-
- main(String[]) - Static method in class org.drip.sample.netting.PortfolioPathAggregationCorrelated
-
- main(String[]) - Static method in class org.drip.sample.netting.PortfolioPathAggregationDeterministic
-
- main(String[]) - Static method in class org.drip.sample.netting.PortfolioPathAggregationUncorrelated
-
- main(String[]) - Static method in class org.drip.sample.numeraire.R1JointDiffusion
-
- main(String[]) - Static method in class org.drip.sample.numeraire.R1JointJumpDiffusion
-
- main(String[]) - Static method in class org.drip.sample.numeraire.R1Jump
-
- main(String[]) - Static method in class org.drip.sample.numerical.FixedPointSearch
-
- main(String[]) - Static method in class org.drip.sample.numerical.IntegrandQuadrature
-
- main(String[]) - Static method in class org.drip.sample.numerical.PhaseTrackerComparison
-
- main(String[]) - Static method in class org.drip.sample.ois.CrossOvernightFloatingStream
-
- main(String[]) - Static method in class org.drip.sample.ois.IndexFundCurvesReconciliation
-
- main(String[]) - Static method in class org.drip.sample.ois.JurisdictionOTCInstrumentDefinitions
-
- main(String[]) - Static method in class org.drip.sample.ois.JurisdictionOTCInstrumentMeasures
-
- main(String[]) - Static method in class org.drip.sample.ois.OvernightArithmeticCompoundingConvexity
-
- main(String[]) - Static method in class org.drip.sample.ois.OvernightJurisdictionIndexDefinition
-
- main(String[]) - Static method in class org.drip.sample.oisapi.CustomSwapMeasures
-
- main(String[]) - Static method in class org.drip.sample.optimizer.KKTNecessarySufficientConditions
-
- main(String[]) - Static method in class org.drip.sample.optimizer.KKTRegularityConditions
-
- main(String[]) - Static method in class org.drip.sample.optimizer.NSphereSurfaceExtremization
-
- main(String[]) - Static method in class org.drip.sample.optimizer.VariateSumExtremization
-
- main(String[]) - Static method in class org.drip.sample.option.ATMTermStructureSpline
-
- main(String[]) - Static method in class org.drip.sample.option.BlackHestonForwardOption
-
- main(String[]) - Static method in class org.drip.sample.option.BrokenDateVolSurface
-
- main(String[]) - Static method in class org.drip.sample.option.CustomVolSurfaceBuilder
-
- main(String[]) - Static method in class org.drip.sample.option.DeterministicVolBlackScholes
-
- main(String[]) - Static method in class org.drip.sample.option.DeterministicVolTermStructure
-
- main(String[]) - Static method in class org.drip.sample.option.LocalVolatilityTermStructure
-
- main(String[]) - Static method in class org.drip.sample.option.MarketSurfaceTermStructure
-
- main(String[]) - Static method in class org.drip.sample.option.VanillaBlackNormalPricing
-
- main(String[]) - Static method in class org.drip.sample.option.VanillaBlackScholesPricing
-
- main(String[]) - Static method in class org.drip.sample.overnight.CustomOvernightCurveReconciler
-
- main(String[]) - Static method in class org.drip.sample.overnight.MultiStretchCurveBuilder
-
- main(String[]) - Static method in class org.drip.sample.overnight.ShapeOvernightZeroLocalSmooth
-
- main(String[]) - Static method in class org.drip.sample.overnight.ShapePreservingOvernightZeroSmooth
-
- main(String[]) - Static method in class org.drip.sample.overnight.SingleStretchCurveBuilder
-
- main(String[]) - Static method in class org.drip.sample.overnightfeed.AUDOISSmoothReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.overnightfeed.CADOISSmoothReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.overnightfeed.CHFOISSmoothReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.overnightfeed.EUROISSmoothReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.overnightfeed.GBPOISSmoothReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.overnightfeed.JPYOISSmoothReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.overnightfeed.NZDOISSmoothReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.overnightfeed.SEKOISSmoothReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.overnightfeed.USDOISSmoothReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.overnighthistorical.AUDSmooth1MForward
-
- main(String[]) - Static method in class org.drip.sample.overnighthistorical.CADSmooth1MForward
-
- main(String[]) - Static method in class org.drip.sample.overnighthistorical.CHFSmooth1MForward
-
- main(String[]) - Static method in class org.drip.sample.overnighthistorical.EURSmooth1MForward
-
- main(String[]) - Static method in class org.drip.sample.overnighthistorical.GBPSmooth1MForward
-
- main(String[]) - Static method in class org.drip.sample.overnighthistorical.JPYSmooth1MForward
-
- main(String[]) - Static method in class org.drip.sample.overnighthistorical.NZDSmooth1MForward
-
- main(String[]) - Static method in class org.drip.sample.overnighthistorical.SEKSmooth1MForward
-
- main(String[]) - Static method in class org.drip.sample.overnighthistorical.USDSmooth1MForward
-
- main(String[]) - Static method in class org.drip.sample.piterbarg2010.CSAFundingAbsoluteForward
-
- main(String[]) - Static method in class org.drip.sample.piterbarg2010.CSAFundingRelativeForward
-
- main(String[]) - Static method in class org.drip.sample.piterbarg2010.CSAImpliedMeasureDifference
-
- main(String[]) - Static method in class org.drip.sample.piterbarg2010.ForwardContract
-
- main(String[]) - Static method in class org.drip.sample.piterbarg2010.ZeroStrikeCallOption
-
- main(String[]) - Static method in class org.drip.sample.piterbarg2012.DeterministicCollateralChoiceZeroCoupon
-
- main(String[]) - Static method in class org.drip.sample.piterbarg2012.DomesticCollateralForeignForex
-
- main(String[]) - Static method in class org.drip.sample.piterbarg2012.DomesticCollateralForeignForexAnalysis
-
- main(String[]) - Static method in class org.drip.sample.piterbarg2012.ForeignCollateralDomesticForex
-
- main(String[]) - Static method in class org.drip.sample.piterbarg2012.ForeignCollateralDomesticForexAnalysis
-
- main(String[]) - Static method in class org.drip.sample.piterbarg2012.ForeignCollateralizedZeroCoupon
-
- main(String[]) - Static method in class org.drip.sample.preferred.PreferredFixedBullet
-
- main(String[]) - Static method in class org.drip.sample.principal.ImpactExponentAnalysis
-
- main(String[]) - Static method in class org.drip.sample.principal.InformationRatioAnalysis
-
- main(String[]) - Static method in class org.drip.sample.principal.OptimalMeasuresConstantExponent
-
- main(String[]) - Static method in class org.drip.sample.principal.OptimalMeasuresDiscountDependence
-
- main(String[]) - Static method in class org.drip.sample.principal.OptimalMeasuresReconciler
-
- main(String[]) - Static method in class org.drip.sample.principal.OptimalTrajectoryMeasures
-
- main(String[]) - Static method in class org.drip.sample.pykhtin2009.ExposurePathBrownianBridge
-
- main(String[]) - Static method in class org.drip.sample.pykhtin2009.ExposurePathFixFloat
-
- main(String[]) - Static method in class org.drip.sample.pykhtin2009.ExposurePathLocalVolatility
-
- main(String[]) - Static method in class org.drip.sample.pykhtin2009.LocalVolatilityRegressor
-
- main(String[]) - Static method in class org.drip.sample.rdtor1.ConstrainedCovarianceEllipsoid
-
- main(String[]) - Static method in class org.drip.sample.rdtor1.UnconstrainedCovarianceEllipsoid
-
- main(String[]) - Static method in class org.drip.sample.rng.LCGNumericalRecipesDouble
-
- main(String[]) - Static method in class org.drip.sample.rng.LCGNumericalRecipesLong
-
- main(String[]) - Static method in class org.drip.sample.rng.MRG32k3a
-
- main(String[]) - Static method in class org.drip.sample.rng.RdMultiPath
-
- main(String[]) - Static method in class org.drip.sample.rng.RdMultiPathAntithetic
-
- main(String[]) - Static method in class org.drip.sample.rng.RdMultiPathQR
-
- main(String[]) - Static method in class org.drip.sample.rng.RdMultiPathQRUnbiased
-
- main(String[]) - Static method in class org.drip.sample.rng.ShiftRegisterDouble
-
- main(String[]) - Static method in class org.drip.sample.rng.ShiftRegisterLong
-
- main(String[]) - Static method in class org.drip.sample.sabr.BlackVolatility
-
- main(String[]) - Static method in class org.drip.sample.sabr.ForwardRateEvolution
-
- main(String[]) - Static method in class org.drip.sample.securitysuite.Ahmednagar
-
- main(String[]) - Static method in class org.drip.sample.securitysuite.Berhampur
-
- main(String[]) - Static method in class org.drip.sample.securitysuite.Bhilwara
-
- main(String[]) - Static method in class org.drip.sample.securitysuite.CMEFixFloat
-
- main(String[]) - Static method in class org.drip.sample.securitysuite.CreditDefaultSwapIndex
-
- main(String[]) - Static method in class org.drip.sample.securitysuite.Dhule
-
- main(String[]) - Static method in class org.drip.sample.securitysuite.FXSwap
-
- main(String[]) - Static method in class org.drip.sample.securitysuite.Kamarhati
-
- main(String[]) - Static method in class org.drip.sample.securitysuite.Korba
-
- main(String[]) - Static method in class org.drip.sample.securitysuite.Mathura
-
- main(String[]) - Static method in class org.drip.sample.securitysuite.Repo
-
- main(String[]) - Static method in class org.drip.sample.securitysuite.Rohtak
-
- main(String[]) - Static method in class org.drip.sample.securitysuite.Tirupati
-
- main(String[]) - Static method in class org.drip.sample.semidefinite.DualConstrainedEllipsoidVariance
-
- main(String[]) - Static method in class org.drip.sample.semidefinite.TwoVariateConstrainedVariance
-
- main(String[]) - Static method in class org.drip.sample.semidefinite.WeightConstrainedEllipsoidVariance
-
- main(String[]) - Static method in class org.drip.sample.sensitivity.ForwardDerivedBasisSensitivity
-
- main(String[]) - Static method in class org.drip.sample.sensitivity.ForwardReferenceBasisSensitivity
-
- main(String[]) - Static method in class org.drip.sample.sensitivity.FundingCurveQuoteSensitivity
-
- main(String[]) - Static method in class org.drip.sample.sensitivity.OISCurveQuoteSensitivity
-
- main(String[]) - Static method in class org.drip.sample.sequence.DualRandomSequenceBound
-
- main(String[]) - Static method in class org.drip.sample.sequence.IIDSequenceSumBound
-
- main(String[]) - Static method in class org.drip.sample.sequence.IntegerRandomSequenceBound
-
- main(String[]) - Static method in class org.drip.sample.sequence.PoissonRandomSequenceBound
-
- main(String[]) - Static method in class org.drip.sample.sequence.SingleRandomSequenceBound
-
- main(String[]) - Static method in class org.drip.sample.sequence.UnitRandomSequenceBound
-
- main(String[]) - Static method in class org.drip.sample.service.BlackLittermanBayesianClient
-
- main(String[]) - Static method in class org.drip.sample.service.BondClientCashFlow
-
- main(String[]) - Static method in class org.drip.sample.service.BondClientCurve
-
- main(String[]) - Static method in class org.drip.sample.service.BondClientSecular
-
- main(String[]) - Static method in class org.drip.sample.service.BudgetConstrainedAllocationClient
-
- main(String[]) - Static method in class org.drip.sample.service.CreditDefaultSwapClient
-
- main(String[]) - Static method in class org.drip.sample.service.CreditStateClient
-
- main(String[]) - Static method in class org.drip.sample.service.DateManipulationClient
-
- main(String[]) - Static method in class org.drip.sample.service.DepositClient
-
- main(String[]) - Static method in class org.drip.sample.service.FixedAssetBackedClient
-
- main(String[]) - Static method in class org.drip.sample.service.FixFloatClient
-
- main(String[]) - Static method in class org.drip.sample.service.ForwardRateFuturesClient
-
- main(String[]) - Static method in class org.drip.sample.service.FundingStateClient
-
- main(String[]) - Static method in class org.drip.sample.service.PrepayAssetBackedClient
-
- main(String[]) - Static method in class org.drip.sample.service.ReturnsConstrainedAllocationClient
-
- main(String[]) - Static method in class org.drip.sample.service.TreasuryBondClient
-
- main(String[]) - Static method in class org.drip.sample.simm.ProductMargin20
-
- main(String[]) - Static method in class org.drip.sample.simm.ProductMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingBucketCurvatureMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingBucketCurvatureMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingBucketCurvatureMarginFlow20
-
- main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingBucketCurvatureMarginFlow21
-
- main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingBucketDeltaMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingBucketDeltaMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingBucketDeltaMarginFlow20
-
- main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingBucketDeltaMarginFlow21
-
- main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingBucketVegaMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingBucketVegaMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingBucketVegaMarginFlow20
-
- main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingBucketVegaMarginFlow21
-
- main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingClassMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingClassMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingCurvatureMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingCurvatureMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingDeltaMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingDeltaMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingVegaMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmcrnq.CreditNonQualifyingVegaMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingBucketCurvatureMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingBucketCurvatureMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingBucketCurvatureMarginFlow20
-
- main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingBucketCurvatureMarginFlow21
-
- main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingBucketDeltaMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingBucketDeltaMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingBucketDeltaMarginFlow20
-
- main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingBucketDeltaMarginFlow21
-
- main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingBucketVegaMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingBucketVegaMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingBucketVegaMarginFlow20
-
- main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingBucketVegaMarginFlow21
-
- main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingClassMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingClassMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingCurvatureMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingCurvatureMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingDeltaMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingDeltaMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingVegaMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmcrq.CreditQualifyingVegaMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmct.CommodityClassMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmct.CommodityClassMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmct.CommodityCurvatureMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmct.CommodityCurvatureMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmct.CommodityDeltaMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmct.CommodityDeltaMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmct.CommodityVegaMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmct.CommodityVegaMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmeq.EquityClassMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmeq.EquityClassMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmeq.EquityCurvatureMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmeq.EquityCurvatureMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmeq.EquityDeltaMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmeq.EquityDeltaMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmeq.EquityVegaMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmeq.EquityVegaMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmfx.FXClassMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmfx.FXClassMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmfx.FXCurvatureMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmfx.FXCurvatureMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmfx.FXDeltaMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmfx.FXDeltaMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmfx.FXVegaMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmfx.FXVegaMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmir.RatesClassMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmir.RatesClassMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmir.RatesCurrencyCurvatureMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmir.RatesCurrencyCurvatureMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmir.RatesCurrencyCurvatureMarginFlow20
-
- main(String[]) - Static method in class org.drip.sample.simmir.RatesCurrencyCurvatureMarginFlow21
-
- main(String[]) - Static method in class org.drip.sample.simmir.RatesCurrencyDeltaMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmir.RatesCurrencyDeltaMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmir.RatesCurrencyDeltaMarginFlow20
-
- main(String[]) - Static method in class org.drip.sample.simmir.RatesCurrencyDeltaMarginFlow21
-
- main(String[]) - Static method in class org.drip.sample.simmir.RatesCurrencyVegaMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmir.RatesCurrencyVegaMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmir.RatesCurrencyVegaMarginFlow20
-
- main(String[]) - Static method in class org.drip.sample.simmir.RatesCurrencyVegaMarginFlow21
-
- main(String[]) - Static method in class org.drip.sample.simmir.RatesCurvatureMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmir.RatesCurvatureMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmir.RatesDeltaMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmir.RatesDeltaMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmir.RatesVegaMargin20
-
- main(String[]) - Static method in class org.drip.sample.simmir.RatesVegaMargin21
-
- main(String[]) - Static method in class org.drip.sample.simmsettings.CommodityParameters20
-
- main(String[]) - Static method in class org.drip.sample.simmsettings.CommodityParameters21
-
- main(String[]) - Static method in class org.drip.sample.simmsettings.CommodityRiskConcentrationThreshold20
-
- main(String[]) - Static method in class org.drip.sample.simmsettings.CommodityRiskConcentrationThreshold21
-
- main(String[]) - Static method in class org.drip.sample.simmsettings.CreditNonQualifyingParameters20
-
- main(String[]) - Static method in class org.drip.sample.simmsettings.CreditNonQualifyingParameters21
-
- main(String[]) - Static method in class org.drip.sample.simmsettings.CreditQualifyingParameters20
-
- main(String[]) - Static method in class org.drip.sample.simmsettings.CreditQualifyingParameters21
-
- main(String[]) - Static method in class org.drip.sample.simmsettings.CreditRiskConcentrationThreshold20
-
- main(String[]) - Static method in class org.drip.sample.simmsettings.CreditRiskConcentrationThreshold21
-
- main(String[]) - Static method in class org.drip.sample.simmsettings.Equity20
-
- main(String[]) - Static method in class org.drip.sample.simmsettings.Equity21
-
- main(String[]) - Static method in class org.drip.sample.simmsettings.EquityRiskConcentrationThreshold20
-
- main(String[]) - Static method in class org.drip.sample.simmsettings.EquityRiskConcentrationThreshold21
-
- main(String[]) - Static method in class org.drip.sample.simmsettings.FX20
-
- main(String[]) - Static method in class org.drip.sample.simmsettings.FX21
-
- main(String[]) - Static method in class org.drip.sample.simmsettings.InterestRate20
-
- main(String[]) - Static method in class org.drip.sample.simmsettings.InterestRate21
-
- main(String[]) - Static method in class org.drip.sample.simmsettings.InterestRateConcentrationThreshold20
-
- main(String[]) - Static method in class org.drip.sample.simmsettings.InterestRateConcentrationThreshold21
-
- main(String[]) - Static method in class org.drip.sample.simmvariance.CRNQMarginComparison
-
- main(String[]) - Static method in class org.drip.sample.simmvariance.CrossGroupPrincipalCovariance
-
- main(String[]) - Static method in class org.drip.sample.simmvariance.CRQMarginComparison
-
- main(String[]) - Static method in class org.drip.sample.simmvariance.CTCrossBucketPrincipal
-
- main(String[]) - Static method in class org.drip.sample.simmvariance.CTMarginComparison
-
- main(String[]) - Static method in class org.drip.sample.simmvariance.EQCrossBucketPrincipal
-
- main(String[]) - Static method in class org.drip.sample.simmvariance.EQMarginComparison
-
- main(String[]) - Static method in class org.drip.sample.simmvariance.FXCrossGroupPrincipal
-
- main(String[]) - Static method in class org.drip.sample.simmvariance.FXMarginComparison
-
- main(String[]) - Static method in class org.drip.sample.simmvariance.IRCrossCurvePrincipal
-
- main(String[]) - Static method in class org.drip.sample.simmvariance.IRMarginComparison
-
- main(String[]) - Static method in class org.drip.sample.sovereign.SovereignFixedBullet
-
- main(String[]) - Static method in class org.drip.sample.sovereign.ZeroCouponBullet1
-
- main(String[]) - Static method in class org.drip.sample.sovereign.ZeroCouponBullet2
-
- main(String[]) - Static method in class org.drip.sample.sovereign.ZeroCouponBullet3
-
- main(String[]) - Static method in class org.drip.sample.spline.BasisBSplineSet
-
- main(String[]) - Static method in class org.drip.sample.spline.BasisMonicBSpline
-
- main(String[]) - Static method in class org.drip.sample.spline.BasisMonicHatComparison
-
- main(String[]) - Static method in class org.drip.sample.spline.BasisMulticBSpline
-
- main(String[]) - Static method in class org.drip.sample.spline.BasisSplineSet
-
- main(String[]) - Static method in class org.drip.sample.spline.BasisTensionSplineSet
-
- main(String[]) - Static method in class org.drip.sample.spline.BSplineSequence
-
- main(String[]) - Static method in class org.drip.sample.spline.PolynomialBasisSpline
-
- main(String[]) - Static method in class org.drip.sample.statistics.CorrelatedRdSequence
-
- main(String[]) - Static method in class org.drip.sample.statistics.CorrelatedRdSequenceAntithetic
-
- main(String[]) - Static method in class org.drip.sample.statistics.CorrelatedRdSequenceQR
-
- main(String[]) - Static method in class org.drip.sample.statistics.CorrelatedRdSequenceQRUnbiased
-
- main(String[]) - Static method in class org.drip.sample.statistics.MultivariateSequence
-
- main(String[]) - Static method in class org.drip.sample.statistics.UnivariateSequence
-
- main(String[]) - Static method in class org.drip.sample.stochasticvolatility.AlbrecherMayerSchoutensTistaert
-
- main(String[]) - Static method in class org.drip.sample.stochasticvolatility.CallPriceSplineSurface
-
- main(String[]) - Static method in class org.drip.sample.stochasticvolatility.CallVolSplineSurface
-
- main(String[]) - Static method in class org.drip.sample.stochasticvolatility.HestonAMSTPayoffTransform
-
- main(String[]) - Static method in class org.drip.sample.stochasticvolatility.StandardHestonPricingMeasures
-
- main(String[]) - Static method in class org.drip.sample.stretch.ATMTTESurface2D
-
- main(String[]) - Static method in class org.drip.sample.stretch.CurvatureLengthRoughnessPenalty
-
- main(String[]) - Static method in class org.drip.sample.stretch.CurvatureRoughnessPenaltyFit
-
- main(String[]) - Static method in class org.drip.sample.stretch.CustomDiscountCurveBuilder
-
- main(String[]) - Static method in class org.drip.sample.stretch.KnotInsertionPolynomialEstimator
-
- main(String[]) - Static method in class org.drip.sample.stretch.KnotInsertionSequenceAdjuster
-
- main(String[]) - Static method in class org.drip.sample.stretch.KnotInsertionTensionEstimator
-
- main(String[]) - Static method in class org.drip.sample.stretch.KnottedRegressionSplineEstimator
-
- main(String[]) - Static method in class org.drip.sample.stretch.MultiSpanAggregationEstimator
-
- main(String[]) - Static method in class org.drip.sample.treasury.GovvieBondDefinitions
-
- main(String[]) - Static method in class org.drip.sample.treasury.TreasuryFixedBullet
-
- main(String[]) - Static method in class org.drip.sample.treasury.YAS_BTPS
-
- main(String[]) - Static method in class org.drip.sample.treasury.YAS_CAN
-
- main(String[]) - Static method in class org.drip.sample.treasury.YAS_DBR
-
- main(String[]) - Static method in class org.drip.sample.treasury.YAS_FRTR
-
- main(String[]) - Static method in class org.drip.sample.treasury.YAS_GGB
-
- main(String[]) - Static method in class org.drip.sample.treasury.YAS_GILT
-
- main(String[]) - Static method in class org.drip.sample.treasury.YAS_JGB
-
- main(String[]) - Static method in class org.drip.sample.treasury.YAS_MBONO
-
- main(String[]) - Static method in class org.drip.sample.treasury.YAS_SPGB
-
- main(String[]) - Static method in class org.drip.sample.treasury.YAS_UST
-
- main(String[]) - Static method in class org.drip.sample.treasuryfeed.AGBReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.treasuryfeed.CANReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.treasuryfeed.DBRReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.treasuryfeed.DGBReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.treasuryfeed.GILTReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.treasuryfeed.GSWISSReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.treasuryfeed.JGBReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.treasuryfeed.NGBReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.treasuryfeed.NZGBReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.treasuryfeed.SGBReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.treasuryfeed.USTReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.treasuryfutures.ContractDefinitions
-
- main(String[]) - Static method in class org.drip.sample.treasuryfutures.ContractEligibilitySettlementDefinitions
-
- main(String[]) - Static method in class org.drip.sample.treasuryfutures.ExchangeTradedOptionDefinitions
-
- main(String[]) - Static method in class org.drip.sample.treasuryfutures.ExpiryDeliveryTradingDates
-
- main(String[]) - Static method in class org.drip.sample.treasuryfutures.UST02Y
-
- main(String[]) - Static method in class org.drip.sample.treasuryfutures.UST05Y
-
- main(String[]) - Static method in class org.drip.sample.treasuryfutures.UST10Y
-
- main(String[]) - Static method in class org.drip.sample.treasuryfutures.UST30Y
-
- main(String[]) - Static method in class org.drip.sample.treasuryfutures.USTULTRA
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.CN1
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.DU1
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.FBB1
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.FV1
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.G1
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.IK1
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.JB1
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.KeyRateDuration
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.OAT1
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.OE1
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.RX1
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.TU1
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.TY1
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.UB1
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.ULTRA
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.US1
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesapi.YM1
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.CN1ClosesReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.DU1ClosesReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.FBB1ClosesReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.FV1ClosesReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.IK1ClosesReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.JB1ClosesReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.OAT1ClosesReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.OE1ClosesReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.RX1ClosesReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.TU1ClosesReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.TY1ClosesReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.UB1ClosesReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.US1ClosesReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesfeed.WN1ClosesReconstitutor
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.CN1Attribution
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.DU1Attribution
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.FBB1Attribution
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.FV1Attribution
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.IK1Attribution
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.JB1Attribution
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.OAT1Attribution
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.OE1Attribution
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.RX1Attribution
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.TU1Attribution
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.TY1Attribution
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.UB1Attribution
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.US1Attribution
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturespnl.WN1Attribution
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.CN1KeyRateDuration
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.DU1KeyRateDuration
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.FBB1KeyRateDuration
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.FV1KeyRateDuration
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.IK1KeyRateDuration
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.JB1KeyRateDuration
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.OAT1KeyRateDuration
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.OE1KeyRateDuration
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.RX1KeyRateDuration
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.TU1KeyRateDuration
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.TY1KeyRateDuration
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.UB1KeyRateDuration
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.US1KeyRateDuration
-
- main(String[]) - Static method in class org.drip.sample.treasuryfuturesrisk.WN1KeyRateDuration
-
- main(String[]) - Static method in class org.drip.sample.treasurypnl.AGBBenchmarkAttribution
-
- main(String[]) - Static method in class org.drip.sample.treasurypnl.CANBenchmarkAttribution
-
- main(String[]) - Static method in class org.drip.sample.treasurypnl.DBRBenchmarkAttribution
-
- main(String[]) - Static method in class org.drip.sample.treasurypnl.DGBBenchmarkAttribution
-
- main(String[]) - Static method in class org.drip.sample.treasurypnl.GILTBenchmarkAttribution
-
- main(String[]) - Static method in class org.drip.sample.treasurypnl.GSWISSBenchmarkAttribution
-
- main(String[]) - Static method in class org.drip.sample.treasurypnl.JGBBenchmarkAttribution
-
- main(String[]) - Static method in class org.drip.sample.treasurypnl.NGBBenchmarkAttribution
-
- main(String[]) - Static method in class org.drip.sample.treasurypnl.NZGBBenchmarkAttribution
-
- main(String[]) - Static method in class org.drip.sample.treasurypnl.SGBBenchmarkAttribution
-
- main(String[]) - Static method in class org.drip.sample.treasurypnl.USTBenchmarkAttribution
-
- main(String[]) - Static method in class org.drip.sample.trend.BayesianDriftTrajectoryDependence
-
- main(String[]) - Static method in class org.drip.sample.trend.BayesianDriftTransactionDependence
-
- main(String[]) - Static method in class org.drip.sample.trend.BayesianGain
-
- main(String[]) - Static method in class org.drip.sample.trend.BayesianPriceProcess
-
- main(String[]) - Static method in class org.drip.sample.trend.FixedDriftTrajectoryComparator
-
- main(String[]) - Static method in class org.drip.sample.trend.VariableDriftTrajectoryComparator
-
- main(String[]) - Static method in class org.drip.sample.xccy.OTCCrossCurrencyDefinitions
-
- main(String[]) - Static method in class org.drip.sample.xccy.OTCCrossCurrencySwaps
-
- main(String[]) - Static method in class org.drip.sample.xva.CollateralizedCollateralGroup
-
- main(String[]) - Static method in class org.drip.sample.xva.CollateralizedCollateralGroupCorrelated
-
- main(String[]) - Static method in class org.drip.sample.xva.PortfolioCollateralEstimate
-
- main(String[]) - Static method in class org.drip.sample.xva.UncollateralizedCollateralGroup
-
- main(String[]) - Static method in class org.drip.sample.xva.UncollateralizedCollateralGroupCorrelated
-
- main(String[]) - Static method in class org.drip.sample.xva.ZeroThresholdCollateralGroup
-
- main(String[]) - Static method in class org.drip.sample.xva.ZeroThresholdCollateralGroupCorrelated
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedCollateralNeutral
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedCollateralNeutralStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedCollateralPayable
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedCollateralPayableStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedCollateralReceivable
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedCollateralReceivableStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedFundingNeutral
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedFundingNeutralStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedFundingPayable
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedFundingPayableStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedFundingReceivable
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedFundingReceivableStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedNettingNeutral
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedNettingNeutralStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedNettingPayable
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedNettingPayableStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedNettingReceivable
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.CollateralizedNettingReceivableStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedCollateralNeutral
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedCollateralNeutralStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedCollateralPayable
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedCollateralPayableStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedCollateralReceivable
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedCollateralReceivableStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedFundingNeutral
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedFundingNeutralStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedFundingPayable
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedFundingPayableStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedFundingReceivable
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedFundingReceivableStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedNettingNeutral
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedNettingNeutralStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedNettingPayable
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedNettingPayableStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedNettingReceivable
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.UncollateralizedNettingReceivableStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdCollateralNeutral
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdCollateralNeutralStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdCollateralPayable
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdCollateralPayableStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdCollateralReceivable
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdCollateralReceivableStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdFundingNeutral
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdFundingNeutralStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdFundingPayable
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdFundingPayableStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdFundingReceivable
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdFundingReceivableStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdNettingNeutral
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdNettingNeutralStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdNettingPayable
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdNettingPayableStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdNettingReceivable
-
- main(String[]) - Static method in class org.drip.sample.xvabasel.ZeroThresholdNettingReceivableStochastic
-
- main(String[]) - Static method in class org.drip.sample.xvadigest.CPGACollateralized
-
- main(String[]) - Static method in class org.drip.sample.xvadigest.CPGACollateralizedCorrelated
-
- main(String[]) - Static method in class org.drip.sample.xvadigest.CPGAUncollateralized
-
- main(String[]) - Static method in class org.drip.sample.xvadigest.CPGAUncollateralizedCorrelated
-
- main(String[]) - Static method in class org.drip.sample.xvadigest.CPGAZeroThreshold
-
- main(String[]) - Static method in class org.drip.sample.xvadigest.CPGAZeroThresholdCorrelated
-
- main(String[]) - Static method in class org.drip.sample.xvafixfloat.AlbaneseAndersenBaselProxy
-
- main(String[]) - Static method in class org.drip.sample.xvafixfloat.GoldPlatedBaselProxy
-
- main(String[]) - Static method in class org.drip.sample.xvafixfloat.HedgeErrorBaselProxy
-
- main(String[]) - Static method in class org.drip.sample.xvafixfloat.OneWayBaselProxy
-
- main(String[]) - Static method in class org.drip.sample.xvafixfloat.SemiReplicationBaselProxy
-
- main(String[]) - Static method in class org.drip.sample.xvafixfloat.SetOffBaselProxy
-
- main(String[]) - Static method in class org.drip.sample.xvastrategy.FundingGroupBilateralCSA
-
- main(String[]) - Static method in class org.drip.sample.xvastrategy.FundingGroupHedgeError
-
- main(String[]) - Static method in class org.drip.sample.xvastrategy.FundingGroupPerfectReplication
-
- main(String[]) - Static method in class org.drip.sample.xvastrategy.FundingGroupSemiReplication
-
- main(String[]) - Static method in class org.drip.sample.xvastrategy.FundingGroupSetOff
-
- main(String[]) - Static method in class org.drip.sample.xvastrategy.FundingGroupUnilateralCSA
-
- main(String[]) - Static method in class org.drip.sample.xvatopology.BookGroupLayout
-
- main(String[]) - Static method in class org.drip.sample.xvatopology.BookLatentStateMap
-
- main(String[]) - Static method in class org.drip.service.engine.ComputeClient
-
- main(String[]) - Static method in class org.drip.service.engine.ComputeServer
-
- main(String[]) - Static method in class org.drip.service.env.StandardCDXManager
-
- main(String[]) - Static method in class org.drip.spline.basis.FunctionSetBuilder
-
- main(String[]) - Static method in class org.drip.spline.pchip.MinimalQuadraticHaganWest
-
- main(String[]) - Static method in class org.drip.spline.tension.KLKHyperbolicTensionPhy
-
- main(String[]) - Static method in class org.drip.spline.tension.KLKHyperbolicTensionPsy
-
- main(String[]) - Static method in class org.drip.template.forwardratefutures.AUDBBSW3M
-
- main(String[]) - Static method in class org.drip.template.forwardratefutures.CADCDOR3M
-
- main(String[]) - Static method in class org.drip.template.forwardratefutures.CHFLIBOR3M
-
- main(String[]) - Static method in class org.drip.template.forwardratefutures.EURIBOR3M
-
- main(String[]) - Static method in class org.drip.template.forwardratefutures.EuroDollar
-
- main(String[]) - Static method in class org.drip.template.forwardratefutures.GBPLIBOR3M
-
- main(String[]) - Static method in class org.drip.template.forwardratefutures.JPYLIBOR3M
-
- main(String[]) - Static method in class org.drip.template.irs.AUD
-
- main(String[]) - Static method in class org.drip.template.irs.CAD
-
- main(String[]) - Static method in class org.drip.template.irs.CHF
-
- main(String[]) - Static method in class org.drip.template.irs.CNY
-
- main(String[]) - Static method in class org.drip.template.irs.DKK
-
- main(String[]) - Static method in class org.drip.template.irs.EUR
-
- main(String[]) - Static method in class org.drip.template.irs.GBP
-
- main(String[]) - Static method in class org.drip.template.irs.HKD
-
- main(String[]) - Static method in class org.drip.template.irs.INR
-
- main(String[]) - Static method in class org.drip.template.irs.JPYLIBOR
-
- main(String[]) - Static method in class org.drip.template.irs.JPYTIBOR
-
- main(String[]) - Static method in class org.drip.template.irs.KRW
-
- main(String[]) - Static method in class org.drip.template.irs.MYR
-
- main(String[]) - Static method in class org.drip.template.irs.NOK
-
- main(String[]) - Static method in class org.drip.template.irs.NZD
-
- main(String[]) - Static method in class org.drip.template.irs.PLN
-
- main(String[]) - Static method in class org.drip.template.irs.SEK
-
- main(String[]) - Static method in class org.drip.template.irs.SGD
-
- main(String[]) - Static method in class org.drip.template.irs.THB
-
- main(String[]) - Static method in class org.drip.template.irs.TWD
-
- main(String[]) - Static method in class org.drip.template.irs.USD
-
- main(String[]) - Static method in class org.drip.template.irs.ZAR
-
- main(String[]) - Static method in class org.drip.template.state.DerivedForwardState
-
- main(String[]) - Static method in class org.drip.template.state.ForwardVolatilityState
-
- main(String[]) - Static method in class org.drip.template.state.FundingState
-
- main(String[]) - Static method in class org.drip.template.state.FXState
-
- main(String[]) - Static method in class org.drip.template.state.GovvieState
-
- main(String[]) - Static method in class org.drip.template.state.OvernightState
-
- main(String[]) - Static method in class org.drip.template.state.ReferenceForwardState
-
- main(String[]) - Static method in class org.drip.template.state.SurvivalRecoveryState
-
- main(String[]) - Static method in class org.drip.template.statebump.DerivedForwardStateShifted
-
- main(String[]) - Static method in class org.drip.template.statebump.ForwardVolatilityStateShifted
-
- main(String[]) - Static method in class org.drip.template.statebump.FundingStateShifted
-
- main(String[]) - Static method in class org.drip.template.statebump.FXStateShifted
-
- main(String[]) - Static method in class org.drip.template.statebump.GovvieStateShifted
-
- main(String[]) - Static method in class org.drip.template.statebump.OvernightStateShifted
-
- main(String[]) - Static method in class org.drip.template.statebump.ReferenceForwardStateShifted
-
- main(String[]) - Static method in class org.drip.template.statebump.SurvivalRecoveryStateShifted
-
- main(String[]) - Static method in class org.drip.template.ust.FV1_05Y
-
- main(String[]) - Static method in class org.drip.template.ust.TU1_02Y
-
- main(String[]) - Static method in class org.drip.template.ust.TY1_10Y
-
- main(String[]) - Static method in class org.drip.template.ust.US1_30Y
-
- main(String[]) - Static method in class org.drip.template.ust.WN1_ULTRA
-
- Make3MForward(String, String, JulianDate, MergedDiscountForwardCurve, ForwardCurve, SegmentCustomBuilderControl, boolean) - Static method in class org.drip.sample.forward.IBOR3MCubicPolyVanilla
-
- Make6MForward(JulianDate, String, String) - Static method in class org.drip.sample.forward.IBOR6MCubicKLKHyperbolic
-
- Make6MForward(JulianDate, String, String, boolean) - Static method in class org.drip.sample.forward.IBOR6MCubicPolyVanilla
-
- Make6MForward(JulianDate, String, String) - Static method in class org.drip.sample.forward.IBOR6MQuarticPolyVanilla
-
- MakeBasketDefaultSwap(Component[]) - Static method in class org.drip.product.creator.CDSBasketBuilder
-
Create the basket default swap from an array of the credit components.
- MakeC2DesignInelasticControl() - Static method in class org.drip.spline.params.SegmentInelasticDesignControl
-
Create the C2 Inelastic Design Params
- MakeCDX(JulianDate, JulianDate, double, String, String[], double[], String) - Static method in class org.drip.product.creator.CDSBasketBuilder
-
Create the named CDX from effective, maturity, coupon, IR curve name, credit curve name set, and their
weights.
- MakeCDX(JulianDate, JulianDate, double, String, String[], String) - Static method in class org.drip.product.creator.CDSBasketBuilder
-
Create the named CDX from effective, maturity, coupon, IR curve name, credit curve name set.
- makeConvergenceVariate() - Method in class org.drip.function.r1tor1solver.BracketingOutput
-
Make a ConvergenceOutput for the Open Method from the bracketing output
- MakeDC(String, JulianDate, int[], double[], String[], double[], String[], String[], double[], String[], double[], SegmentCustomBuilderControl, FloaterIndex) - Static method in class org.drip.sample.forward.OvernightIndexCurve
-
- MakeDC(JulianDate, String) - Static method in class org.drip.sample.forward.OvernightIndexCurve
-
Construct an elaborate EONIA Discount Curve
- MakeDefaultPeriod(int, int, double, double, double, MergedDiscountForwardCurve, CreditCurve, int) - Static method in class org.drip.analytics.cashflow.LossQuadratureMetrics
-
Create an Instance of the LossPeriodCurveFactors using the Period's Dates and Curves to generate the
Curve Measures
- MakeDefaultPeriod(int, int, double, double, MergedDiscountForwardCurve, CreditCurve, int) - Static method in class org.drip.analytics.cashflow.LossQuadratureMetrics
-
Create a LossPeriodCurveFactors Instance from the Period Dates and the Curve Measures
- MakeDEOMA(int, int, boolean) - Static method in class org.drip.analytics.daycount.DateEOMAdjustment
-
Construct a DateEOMAdjustment Instance for all other Day Counts
- MakeDEOMA30_360(int, int, boolean) - Static method in class org.drip.analytics.daycount.DateEOMAdjustment
-
Construct a DateEOMAdjustment Instance for the 30/360 Day Count
- MakeDEOMA30_365(int, int, boolean) - Static method in class org.drip.analytics.daycount.DateEOMAdjustment
-
Construct a DateEOMAdjustment Instance for the 30/365 Day Count
- MakeDEOMA30E_360(int, int, boolean) - Static method in class org.drip.analytics.daycount.DateEOMAdjustment
-
Construct a DateEOMAdjustment Instance for the 30E/360 Day Count
- MakeDEOMA30E_360_ISDA(int, int, boolean) - Static method in class org.drip.analytics.daycount.DateEOMAdjustment
-
Construct a DateEOMAdjustment Instance for the 30E/360 ISDA Day Count
- MakeDEOMA30EPLUS_360_ISDA(int, int, boolean) - Static method in class org.drip.analytics.daycount.DateEOMAdjustment
-
Construct a DateEOMAdjustment Instance for the 30E+/360 ISDA Day Count
- MakeDiscountCurve(String, String, JulianDate, MergedDiscountForwardCurve, ForwardCurve, ForwardCurve, double, SegmentCustomBuilderControl, String[], double[], double[], boolean) - Static method in class org.drip.sample.dual.CCBSDiscountCurve
-
- MakeDoubleArrayFromStringTokenizer(StringTokenizer) - Static method in class org.drip.quant.common.StringUtil
-
Make an array of double from a string tokenizer
- MakeFixFloat(Stream, Stream, CashSettleParams) - Static method in class org.drip.product.creator.DualStreamComponentBuilder
-
Make the FixFloatComponent Instance from the Reference Fixed and the Derived Floating Streams
- MakeFloatFloat(Stream, Stream, CashSettleParams) - Static method in class org.drip.product.creator.DualStreamComponentBuilder
-
Make the FloatFloatComponent Instance from the Reference and the Derived Floating Streams
- MakeForwardCurve(JulianDate, MergedDiscountForwardCurve, String) - Static method in class org.drip.sample.bloomberg.SWPM_NEW
-
- MakeIntegerArrayFromStringTokenizer(StringTokenizer) - Static method in class org.drip.quant.common.StringUtil
-
Make an array of Integers from a string tokenizer
- MakeJulianDateFromBBGDate(String) - Static method in class org.drip.analytics.date.DateUtil
-
Create a JulianDate from Bloomberg date string
- MakeJulianFromDDMMMYY(String, String) - Static method in class org.drip.analytics.date.DateUtil
-
Create a JulianDate from the DD MMM YY
- MakeJulianFromRSEntry(Date) - Static method in class org.drip.analytics.date.DateUtil
-
Create a JulianDate from the java Date
- MakeJulianFromYYYYMMDD(String, String) - Static method in class org.drip.analytics.date.DateUtil
-
Create a JulianDate from the YYYY MM DD
- MakeOracleDateFromBBGDate(String) - Static method in class org.drip.analytics.date.DateUtil
-
Create an Oracle date trigram from a Bloomberg date string
- MakeOracleDateFromYYYYMMDD(String) - Static method in class org.drip.analytics.date.DateUtil
-
Create an Oracle Date Trigram from a YYYYMMDD String
- MakePolynomialSBP(int) - Static method in class org.drip.sample.stretch.CustomDiscountCurveBuilder
-
- makeSQLDelete() - Method in class org.drip.product.creator.BondProductBuilder
-
Create an SQL Delete statement from the object's state
- makeSQLDelete() - Method in class org.drip.product.creator.BondRefDataBuilder
-
Create an SQL Delete string for the given object
- makeSQLInsert() - Method in class org.drip.product.creator.BondProductBuilder
-
Create an SQL Insert statement from the object's state
- makeSQLInsert() - Method in class org.drip.product.creator.BondRefDataBuilder
-
Create an SQL Insert string for the given object
- MakeSquareDiagonal(double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Make a Square Diagonal Matrix from a Row
- MakeStandardCDX(String, int, String) - Static method in class org.drip.service.env.StandardCDXManager
-
Create a standard CDX from the index code, the index series, and the tenor.
- MakeStringArg(String) - Static method in class org.drip.quant.common.StringUtil
-
Format the given string parameter into an argument
- Malegaon - Class in org.drip.sample.bondmetrics
-
Malegaon generates the Full Suite of Replication Metrics for Bond Malegaon.
- Malegaon() - Constructor for class org.drip.sample.bondmetrics.Malegaon
-
- Mangalore - Class in org.drip.sample.bondmetrics
-
Mangalore demonstrates the Analytics Calculation/Reconciliation for the Bond Mangalore.
- Mangalore() - Constructor for class org.drip.sample.bondmetrics.Mangalore
-
- manifestMeasure(String) - Method in interface org.drip.analytics.definition.Curve
-
Retrieve the Manifest Measure Map of the given Instrument used to construct the Curve
- manifestMeasure(String) - Method in class org.drip.analytics.definition.MarketSurface
-
- manifestMeasure(String) - Method in class org.drip.analytics.definition.NodeStructure
-
- manifestMeasure() - Method in class org.drip.product.option.OptionComponent
-
Retrieve the Manifest Measure on which the Option's Strike is quoted
- manifestMeasure(String) - Method in class org.drip.state.basis.BasisCurve
-
- manifestMeasure(String) - Method in class org.drip.state.credit.CreditCurve
-
- manifestMeasure(String) - Method in class org.drip.state.curve.DerivedZeroRate
-
- manifestMeasure(String) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
-
- manifestMeasure(String) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
-
- manifestMeasure(String) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
-
- manifestMeasure(String) - Method in class org.drip.state.discount.ExplicitBootDiscountCurve
-
- manifestMeasure(String) - Method in class org.drip.state.forward.ForwardCurve
-
- manifestMeasure(String) - Method in class org.drip.state.fx.FXCurve
-
- manifestMeasure(String) - Method in class org.drip.state.govvie.ExplicitBootGovvieCurve
-
- manifestMeasure(String) - Method in class org.drip.state.govvie.GovvieCurve
-
- manifestMeasure(String) - Method in class org.drip.state.repo.RepoCurve
-
- manifestMeasureDFMicroJack(String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.credit.BondComponent
-
- manifestMeasureDFMicroJack(String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.credit.CDSComponent
-
- manifestMeasureDFMicroJack(String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.definition.CalibratableComponent
-
Compute the micro-Jacobian of the given measure to the DF
- manifestMeasureDFMicroJack(String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fra.FRAStandardComponent
-
- manifestMeasureDFMicroJack(String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fx.FXForwardComponent
-
- manifestMeasureDFMicroJack(String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.option.OptionComponent
-
- manifestMeasureDFMicroJack(String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.FixFloatComponent
-
- manifestMeasureDFMicroJack(String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.FloatFloatComponent
-
- manifestMeasureDFMicroJack(String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.RatesBasket
-
- manifestMeasureDFMicroJack(String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.SingleStreamComponent
-
- manifestMeasureDFMicroJack(String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.Stream
-
Generate the micro-Jacobian of the Manifest Measure to the Discount Factor
- manifestMeasures() - Method in class org.drip.historical.attribution.PositionChangeComponents
-
Retrieve the Set of Manifest Measures
- manifestMeasures() - Method in class org.drip.historical.attribution.PositionMarketSnap
-
Retrieve the Set of Manifest Measures
- manifestMeasures() - Method in class org.drip.spline.params.ResponseValueSensitivityConstraint
-
Return the Set of Available Manifest Measures (if any)
- manifestMeasures() - Method in class org.drip.state.inference.LatentStateSegmentSpec
-
Retrieve the Calibration Manifest Measure Quote Set
- manifestMeasureSensitivity(String) - Method in class org.drip.spline.params.ResponseValueSensitivityConstraint
-
Retrieve the SRVC Instance Specified by the Manifest Measure
- manifestMeasureSensitivity(LatentStateResponseModel, String, SegmentResponseValueConstraint, SegmentResponseValueConstraint, SegmentBestFitResponse) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Compute the Local and the Preceeding Manifest Measure Sensitivity Coefficients from the Preceeding
Segment, the Local Response Value, the Local Response Value Manifest Measure Sensitivity, and the
Local Best Fit Response Sensitivity
- manifestMeasureSensitivity(LatentStateResponseModel, String, double, SegmentBestFitResponse) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Compute the Local and the Preceeding Manifest Measure Sensitivity Coefficients from the Preceeding
Segments, the Local Response Value Sensitivity at the Right Predictor Ordinate, and the Local Best
Fit Response Sensitivity
- manifestMeasureSensitivity(String, double, double, double, SegmentBestFitResponse) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Compute the Local and the Preceeding Manifest Measure Sensitivity Coefficients from the Local
Response Value Sensitivity at the Left/Right Predictor Ordinate, the Local Left Response Value
Sensitivity Slope, and the Local Best Fit Response Sensitivity.
- manifestMeasureSensitivity(String, SegmentResponseValueConstraint, SegmentResponseValueConstraint, double, SegmentResponseValueConstraint, SegmentResponseValueConstraint, SegmentBestFitResponse) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Compute the Local and the Preceeding Manifest Measure Sensitivity Coefficients from the Local
Response Value/Sensitivity Constraints at the Left/Right Predictor Ordinate, the Local Left
Response Value Sensitivity Slope, and the Local Best Fit Response Sensitivity
- manifestMeasureSensitivity(double) - Method in class org.drip.spline.stretch.CkSegmentSequenceBuilder
-
- manifestMeasureSensitivity(double) - Method in interface org.drip.spline.stretch.SegmentSequenceBuilder
-
Compute the Stretch Manifest Measure Sensitivity Sequence
- manifestMeasureSensitivity(double) - Method in class org.drip.state.inference.LatentStateSequenceBuilder
-
- manifestMeasureSnap(String) - Method in class org.drip.historical.attribution.PositionMarketSnap
-
Retrieve the Snapshot associated with the specified Manifest Measure
- ManifestMeasureTweak - Class in org.drip.param.definition
-
ManifestMeasureTweak contains the place holder for the scenario tweak parameters, for either a specific curve
node, or the entire curve (flat).
- ManifestMeasureTweak(int, boolean, double) - Constructor for class org.drip.param.definition.ManifestMeasureTweak
-
ManifestMeasureTweak constructor
- Maoming - Class in org.drip.sample.bondeos
-
Maoming demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Maoming.
- Maoming() - Constructor for class org.drip.sample.bondeos.Maoming
-
- map() - Method in class org.drip.portfolioconstruction.composite.TransactionChargeGroup
-
Retrieve the Map of Transaction Charge
- MARCH - Static variable in class org.drip.analytics.date.DateUtil
-
Integer Month - March
- margin(double, double, double) - Method in interface org.drip.simm.foundation.CurvatureEstimator
-
Compute the SBA Margin from the Curvature Sensitivities
- margin(double, double, double) - Method in class org.drip.simm.foundation.CurvatureEstimatorISDADelta
-
- margin(double, double, double) - Method in class org.drip.simm.foundation.CurvatureEstimatorResponseFunction
-
- margin() - Method in class org.drip.simm.margin.RiskClassAggregate
-
Compute the SBA Margin
- margin() - Method in class org.drip.simm.margin.RiskClassAggregateCR
-
Compute the SBA Margin
- margin() - Method in class org.drip.simm.margin.RiskClassAggregateIR
-
Compute the SBA Margin
- MARGIN_FREQUENCY_DAILY - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
-
Daily Margining Frequency
- marginal() - Method in class org.drip.measure.joint.Edge
-
Retrieve the Array of the Marginal Level Realizations
- marginCallFrequency() - Method in class org.drip.exposure.mpor.MarginPeriodOfRisk
-
Retrieve the MPoR Margin Call Frequency
- marginCovariance_LIBOR12M_LIBOR12M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the LIBOR12M - LIBOR12M Margin Co-variance
- marginCovariance_LIBOR12M_MUNICIPAL() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the LIBOR12M - MUNICIPAL Margin Co-variance
- marginCovariance_LIBOR12M_PRIME() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the LIBOR12M - PRIME Margin Co-variance
- marginCovariance_LIBOR1M_LIBOR12M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the LIBOR1M - LIBOR12M Margin Co-variance
- marginCovariance_LIBOR1M_LIBOR1M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the LIBOR1M - LIBOR1M Margin Co-variance
- marginCovariance_LIBOR1M_LIBOR3M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the LIBOR1M - LIBOR3M Margin Co-variance
- marginCovariance_LIBOR1M_LIBOR6M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the LIBOR1M - LIBOR6M Margin Co-variance
- marginCovariance_LIBOR1M_MUNICIPAL() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the LIBOR1M - MUNICIPAL Margin Co-variance
- marginCovariance_LIBOR1M_PRIME() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the LIBOR1M - PRIME Margin Co-variance
- marginCovariance_LIBOR3M_LIBOR12M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the LIBOR3M - LIBOR12M Margin Co-variance
- marginCovariance_LIBOR3M_LIBOR3M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the LIBOR3M - LIBOR3M Margin Co-variance
- marginCovariance_LIBOR3M_LIBOR6M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the LIBOR3M - LIBOR6M Margin Co-variance
- marginCovariance_LIBOR3M_MUNICIPAL() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the LIBOR3M - MUNICIPAL Margin Co-variance
- marginCovariance_LIBOR3M_PRIME() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the LIBOR3M - PRIME Margin Co-variance
- marginCovariance_LIBOR6M_LIBOR12M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the LIBOR6M - LIBOR12M Margin Co-variance
- marginCovariance_LIBOR6M_LIBOR6M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the LIBOR6M - LIBOR6M Margin Co-variance
- marginCovariance_LIBOR6M_MUNICIPAL() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the LIBOR6M - MUNICIPAL Margin Co-variance
- marginCovariance_LIBOR6M_PRIME() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the LIBOR6M - PRIME Margin Co-variance
- marginCovariance_MUNICIPAL_MUNICIPAL() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the MUNICIPAL - MUNICIPAL Margin Co-variance
- marginCovariance_OIS_LIBOR12M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the OIS - LIBOR12M Margin Co-variance
- marginCovariance_OIS_LIBOR1M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the OIS - LIBOR1M Margin Co-variance
- marginCovariance_OIS_LIBOR3M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the OIS - LIBOR3M Margin Co-variance
- marginCovariance_OIS_LIBOR6M() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the OIS - LIBOR6M Margin Co-variance
- marginCovariance_OIS_MUNICIPAL() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the OIS - MUNICIPAL Margin Co-variance
- marginCovariance_OIS_OIS() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the OIS - OIS Margin Co-variance
- marginCovariance_OIS_PRIME() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the OIS - PRIME Margin Co-variance
- marginCovariance_PRIME_MUNICIPAL() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the PRIME - MUNICIPAL Margin Co-variance
- marginCovariance_PRIME_PRIME() - Method in class org.drip.simm.margin.SensitivityAggregateIR
-
Retrieve the PRIME - PRIME Margin Co-variance
- marginDuration() - Method in class org.drip.exposure.csatimeline.EventSequence
-
Retrieve the Margin Duration
- MarginEstimationSettings - Class in org.drip.simm.parameters
-
MarginEstimationSettings exposes the Customization Settings used in the Margin Estimation.
- MarginEstimationSettings(String, CurvatureEstimator) - Constructor for class org.drip.simm.parameters.MarginEstimationSettings
-
MarginEstimationSettings Constructor
- marginFrequency() - Method in class org.drip.exposure.csatimeline.EventSequence
-
Retrieve the CSA Margin Frequency
- marginPeriodEnd() - Method in class org.drip.exposure.csatimeline.EventSequence
-
Retrieve the Margin Period End Date
- MarginPeriodOfRisk - Class in org.drip.exposure.mpor
-
MarginPeriodOfRisk contains the Margining Information associated with the Client Exposure.
- MarginPeriodOfRisk(int, int) - Constructor for class org.drip.exposure.mpor.MarginPeriodOfRisk
-
MarginPeriodOfRisk Constructor
- marginPeriodStart() - Method in class org.drip.exposure.csatimeline.EventSequence
-
Retrieve the Margin Period Start Date
- marginTradePaymentGenerator() - Method in class org.drip.exposure.regressiontrade.AdjustedVariationMarginEstimator
-
Retrieve the Path-wise Variation Margin/Trade Payment Generator
- marginTradePaymentGenerator() - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble
-
Retrieve the Path-wise Variation Margin/Trade Payment Generator
- Market(MarketVertex) - Static method in class org.drip.xva.definition.CloseOutBilateral
-
Generate the Close Out Bilateral Instance from the Market Vertex
- MarketCapitalizationSystemics - Class in org.drip.simm.equity
-
MarketCapitalizationSystemics contains the Systemic Settings that contain the Market Capitalization
Classification.
- MarketCapitalizationSystemics() - Constructor for class org.drip.simm.equity.MarketCapitalizationSystemics
-
- marketConvention() - Method in class org.drip.product.credit.BondComponent
-
- marketConvention() - Method in interface org.drip.product.definition.BondProduct
-
Retrieve the Bond's Market Convention
- MarketCorrelation - Class in org.drip.exposure.universe
-
MarketCorrelation holds the Cross Latent State Correlations needed for computing the Valuation Adjustment.
- MarketCorrelation(List<LatentStateLabel>, double[][]) - Constructor for class org.drip.exposure.universe.MarketCorrelation
-
MarketCorrelation Constructor
- marketDynamicDrift() - Method in class org.drip.execution.discrete.EvolutionIncrement
-
Retrieve the Change induced by Deterministic Asset Price Market Dynamic Drivers
- marketDynamicExpectation() - Method in class org.drip.execution.discrete.ShortfallIncrementDistribution
-
Retrieve the Market Dynamic Expectation Component
- marketDynamicsExpectation(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
-
- marketDynamicsExpectation(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
-
- marketDynamicsExpectation(ArithmeticPriceEvolutionParameters) - Method in interface org.drip.execution.sensitivity.ControlNodesGreekGenerator
-
Generate the Market Dynamics Expectation Contribution
- marketDynamicsVariance(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
-
- marketDynamicsVariance(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
-
- marketDynamicsVariance(ArithmeticPriceEvolutionParameters) - Method in interface org.drip.execution.sensitivity.ControlNodesGreekGenerator
-
Generate the Market Dynamics Variance Contribution
- marketDynamicVariance() - Method in class org.drip.execution.discrete.ShortfallIncrementDistribution
-
Retrieve the Market Dynamic Variance Component
- marketDynamicWander() - Method in class org.drip.execution.discrete.EvolutionIncrement
-
Retrieve the Change induced by Stochastic Asset Price Market Dynamic Drivers
- MarketEdge - Class in org.drip.exposure.universe
-
MarketEdge holds the Vertex Realizations of the Market States of the Reference Universe along an
Evolution Edge.
- MarketEdge(MarketVertex, MarketVertex) - Constructor for class org.drip.exposure.universe.MarketEdge
-
MarketEdge Constructor
- MarketImpactChargeTerm - Class in org.drip.portfolioconstruction.objective
-
MarketImpactChargeTerm implements the Objective Term that optimizes the Charge incurred by the Buy/Sell
Trades in the Target Portfolio under a specified Market Impact Charge from the Starting Allocation.
- MarketImpactChargeTerm(String, double[], TransactionCharge[]) - Constructor for class org.drip.portfolioconstruction.objective.MarketImpactChargeTerm
-
MarketImpactChargeTerm Conastructor
- MarketImpactComponent - Class in org.drip.execution.evolution
-
MarketImpactComponent exposes the Evolution Increment Components of the Movements exhibited by an Asset's
Manifest Measures owing to either Stochastic or Deterministic Factors.
- MarketImpactComponent(double, double, double, double) - Constructor for class org.drip.execution.evolution.MarketImpactComponent
-
MarketImpactComponent Constructor
- MarketImpactComposite - Class in org.drip.execution.evolution
-
MarketImpactComposite contains the Composite Evolution Increment Components of the Movements exhibited by
an Asset's Manifest Measures owing to the Stochastic and the Deterministic Factors.
- MarketImpactComposite(MarketImpactComponent, MarketImpactComponent) - Constructor for class org.drip.execution.evolution.MarketImpactComposite
-
- marketMeasureName() - Method in class org.drip.historical.attribution.PositionMarketSnap
-
Retrieve the Market Measure Name
- marketMeasureName() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
-
Retrieve the Component Market Measure Name
- MarketMeasureRollDown - Class in org.drip.historical.engine
-
MarketMeasureRollDown holds the Map of the Market Measure Roll Down Values for the Native as well as the
Additional Horizon Tenors.
- MarketMeasureRollDown(double) - Constructor for class org.drip.historical.engine.MarketMeasureRollDown
-
MarketMeasureRollDown Constructor
- marketMeasureValue() - Method in class org.drip.historical.attribution.PositionMarketSnap
-
Retrieve the Market Measure Value
- marketMeasureValue() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
-
Retrieve the Component Market Measure Value
- marketParameters() - Method in class org.drip.analytics.input.BootCurveConstructionInput
-
- marketParameters() - Method in interface org.drip.analytics.input.CurveConstructionInputSet
-
Retrieve the Market Parameters
- marketParameters() - Method in class org.drip.analytics.input.LatentStateShapePreservingCCIS
-
Retrieve the Market Parameters
- marketParameters() - Method in class org.drip.service.scenario.EOSMetricsReplicator
-
Retrieve the Market Parameters
- marketParams() - Method in class org.drip.xva.topology.Adiabat
-
Generate the Adiabat Dependent Market Parameters
- MarketParamsBuilder - Class in org.drip.param.creator
-
MarketParamsBuilder implements the various ways of constructing, de-serializing, and building the Market
Parameters.
- MarketParamsBuilder() - Constructor for class org.drip.param.creator.MarketParamsBuilder
-
- marketPath() - Method in class org.drip.exposure.regressiontrade.AdjustedVariationMarginEstimator
-
Retrieve the Path-wise Market Path
- MarketPath - Class in org.drip.exposure.universe
-
MarketPath holds the Vertex Market Realizations at the Trajectory Vertexes along the Path of a Simulation.
- MarketPath(Map<Integer, MarketVertex>) - Constructor for class org.drip.exposure.universe.MarketPath
-
MarketPath Constructor
- marketPath() - Method in class org.drip.xva.dynamics.PositionGroupTrajectory
-
Retrieve the Market Path
- marketPath() - Method in class org.drip.xva.netting.CollateralGroupPath
-
Retrieve the Market Path
- marketPath() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Retrieve the Market Path
- marketPath() - Method in class org.drip.xva.netting.FundingGroupPath
-
Retrieve the Market Path
- marketPathArray() - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble
-
Retrieve the Array of Market Paths
- marketPower() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant
-
Retrieve the Preference-free "Market Power" Parameter
- marketPower() - Method in interface org.drip.execution.optimum.EfficientTradingTrajectory
-
Retrieve the Intrinsic Market Power Parameter
- marketPower() - Method in class org.drip.execution.optimum.EfficientTradingTrajectoryContinuous
-
- marketPower() - Method in class org.drip.execution.optimum.EfficientTradingTrajectoryDiscrete
-
- marketQuote() - Method in class org.drip.param.definition.ProductQuote
-
Return the market quote object
- marketQuote() - Method in class org.drip.param.quote.ProductMultiMeasure
-
- marketQuoteField() - Method in class org.drip.param.definition.ProductQuote
-
Retrieve the market quote field
- marketQuoteField() - Method in class org.drip.param.quote.ProductMultiMeasure
-
- marketRealizationChange() - Method in class org.drip.historical.attribution.PositionChangeComponents
-
Retrieve the Full Manifest Measure Realization Position Change
- marketRollDownChange() - Method in class org.drip.historical.attribution.PositionChangeComponents
-
Retrieve the Full Manifest Measure Roll-down Position Change
- marketSensitivityChange() - Method in class org.drip.historical.attribution.PositionChangeComponents
-
Retrieve the Full Manifest Measure Market Sensitivity Position Change
- marketState() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryState
-
Retrieve the Trajectory Time Node Market State
- MarketState - Interface in org.drip.execution.latent
-
MarketState holds the Random Market State(s) that control(s) the Cost Evolution and the Eventual Optimal
Trajectory Generation.
- MarketStateCorrelated - Class in org.drip.execution.latent
-
MarketStateCorrelated holds the Correlated Market State that drives the Liquidity and the Volatility
Market States separately.
- MarketStateCorrelated(double, double) - Constructor for class org.drip.execution.latent.MarketStateCorrelated
-
MarketStateCorrelated Constructor
- MarketStateSystemic - Class in org.drip.execution.latent
-
MarketStateSystemic holds the Single Systemic Market State that drives both the Liquidity and the
Volatility Market States.
- MarketStateSystemic(double) - Constructor for class org.drip.execution.latent.MarketStateSystemic
-
MarketStateSystemic Constructor
- MarketSurface - Class in org.drip.analytics.definition
-
MarketSurface exposes the stub that implements the market surface that holds the latent state's
Evolution parameters.
- MarketSurface(int, CustomLabel, String) - Constructor for class org.drip.analytics.definition.MarketSurface
-
- MarketSurfaceTermStructure - Class in org.drip.sample.option
-
MarketSurfaceTermStructure contains an illustration of the Creation and Usage of the Strike Anchored and
Maturity Anchored Term Structures extracted from the given Market Surface.
- MarketSurfaceTermStructure() - Constructor for class org.drip.sample.option.MarketSurfaceTermStructure
-
- marketValue() - Method in class org.drip.historical.attribution.PositionMarketSnap
-
Retrieve the Position Market Value
- marketVertex(int) - Method in class org.drip.exposure.universe.MarketPath
-
Retrieve the Market Vertex for the Specified Date
- MarketVertex - Class in org.drip.exposure.universe
-
MarketVertex holds the Market Realizations at a Market Trajectory Vertex needed for computing the
Valuation Adjustment.
- MarketVertex(JulianDate, double, double, double, double, MarketVertexEntity, MarketVertexEntity, LatentStateVertexContainer) - Constructor for class org.drip.exposure.universe.MarketVertex
-
MarketVertex Constructor
- marketVertex(MarketVertex, LatentStateWeiner) - Method in class org.drip.exposure.universe.MarketVertexGenerator
-
Generate the Trajectory of the Simulated Market Vertexes
- marketVertexArray() - Method in class org.drip.exposure.universe.MarketPath
-
Retrieve the Array of the Market Vertexes
- MarketVertexEntity - Class in org.drip.exposure.universe
-
MarketVertexEntity holds the Realizations at a Market Trajectory Vertex of the given XVA Entity (i.e.,
Dealer/Client).
- MarketVertexEntity(double, double, double, double, double, double, double, double) - Constructor for class org.drip.exposure.universe.MarketVertexEntity
-
MarketVertexEntity Constructor
- MarketVertexGenerator - Class in org.drip.exposure.universe
-
MarketVertexGenerator generates the Market Realizations at a Trajectory Vertex needed for computing the
Valuation Adjustment.
- MarketVertexGenerator(int, int[], EntityDynamicsContainer, PrimarySecurityDynamicsContainer, LatentStateDynamicsContainer) - Constructor for class org.drip.exposure.universe.MarketVertexGenerator
-
MarketVertexGenerator Constructor
- marketVertexGenerator() - Method in class org.drip.xva.dynamics.PathSimulator
-
Retrieve the Market Vertex Generator
- MarkovitzBullet - Class in org.drip.portfolioconstruction.mpt
-
MarkovitzBullet holds the Portfolio Performance Metrics across a Variety of Return Constraints.
- MarkovitzBullet(OptimizationOutput, OptimizationOutput) - Constructor for class org.drip.portfolioconstruction.mpt.MarkovitzBullet
-
MarkovitzBullet Constructor
- markovUpperProbabilityBound(double, R1ToR1) - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Retrieve the Markov Upper Limiting Probability Bound for the Specified Level:
- P (X gte t) lte E[f(X)] / f(t)
- markSegmentBuilt(int, Set<LatentStateLabel>) - Method in class org.drip.state.estimator.CurveStretch
-
Mark the Range of the "built" Segments, and set the set of Merge Latent States
- martingaleVarianceUpperBound() - Method in class org.drip.sequence.functional.EfronSteinMetrics
-
Compute the Multivariate Variance Upper Bound using the Martingale Differences Method
- match(Array2D) - Method in class org.drip.quant.common.Array2D
-
Indicate if this Array2D Instance matches the "other" Entry-by-Entry
- match(Cardinality) - Method in class org.drip.spaces.tensor.Cardinality
-
Indicate if the Current Instance matches the "Other" Cardinality Instance
- match(GeneralizedVector) - Method in interface org.drip.spaces.tensor.GeneralizedVector
-
Compare against the "Other" Generalized Vector Space
- match(GeneralizedVector) - Method in class org.drip.spaces.tensor.R1CombinatorialVector
-
- match(GeneralizedVector) - Method in class org.drip.spaces.tensor.R1ContinuousVector
-
- match(GeneralizedVector) - Method in class org.drip.spaces.tensor.RdAggregate
-
- match(LatentStateLabel) - Method in class org.drip.state.identifier.CollateralLabel
-
- match(LatentStateLabel) - Method in class org.drip.state.identifier.CSALabel
-
- match(LatentStateLabel) - Method in class org.drip.state.identifier.CustomLabel
-
- match(LatentStateLabel) - Method in class org.drip.state.identifier.EntityCDSLabel
-
- match(LatentStateLabel) - Method in class org.drip.state.identifier.EntityCreditLabel
-
- match(LatentStateLabel) - Method in class org.drip.state.identifier.EntityDesignateLabel
-
- match(LatentStateLabel) - Method in class org.drip.state.identifier.EntityEquityLabel
-
- match(LatentStateLabel) - Method in class org.drip.state.identifier.EntityFundingLabel
-
- match(LatentStateLabel) - Method in class org.drip.state.identifier.EntityHazardLabel
-
- match(LatentStateLabel) - Method in class org.drip.state.identifier.EntityRecoveryLabel
-
- match(LatentStateLabel) - Method in class org.drip.state.identifier.FloaterLabel
-
- match(LatentStateLabel) - Method in class org.drip.state.identifier.FundingLabel
-
- match(LatentStateLabel) - Method in class org.drip.state.identifier.FXLabel
-
- match(LatentStateLabel) - Method in class org.drip.state.identifier.GovvieLabel
-
- match(LatentStateLabel) - Method in interface org.drip.state.identifier.LatentStateLabel
-
Indicate whether this Label matches the supplied.
- match(LatentStateLabel) - Method in class org.drip.state.identifier.OTCFixFloatLabel
-
- match(LatentStateLabel) - Method in class org.drip.state.identifier.OvernightLabel
-
- match(LatentStateLabel) - Method in class org.drip.state.identifier.PaydownLabel
-
- match(LatentStateLabel) - Method in class org.drip.state.identifier.RatingLabel
-
- match(LatentStateLabel) - Method in class org.drip.state.identifier.RepoLabel
-
- match(LatentStateLabel) - Method in class org.drip.state.identifier.VolatilityLabel
-
- match(LatentStateSpecification) - Method in class org.drip.state.representation.LatentStateSpecification
-
Does the Specified Latent State Specification Instance match the current one?
- MatchInStringArray(String, String[], boolean) - Static method in class org.drip.quant.common.StringUtil
-
Look for a match of the field in the input array
- MatchInStringArray(String[], String[], boolean) - Static method in class org.drip.quant.common.StringUtil
-
Look for a match of the field in the field set to an entry in the input array
- Mathura - Class in org.drip.sample.securitysuite
-
Mathura demonstrates the Analytics Calculation/Reconciliation for the Bond Mathura.
- Mathura() - Constructor for class org.drip.sample.securitysuite.Mathura
-
- matrix() - Method in class org.drip.exposure.universe.MarketCorrelation
-
Retrieve the Cross-Latent State Correlation Matrix
- matrix() - Method in class org.drip.measure.stochastic.LabelCorrelation
-
Retrieve the Cross-Label Correlation Matrix
- Matrix - Class in org.drip.quant.linearalgebra
-
Matrix implements Matrix manipulation routines.
- Matrix() - Constructor for class org.drip.quant.linearalgebra.Matrix
-
- Matrix() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation20
-
Generate the Corresponding Risk Class Correlation Matrix as a LabelCorrelation Instance
- Matrix() - Static method in class org.drip.simm.common.CrossRiskClassCorrelation21
-
Generate the Corresponding Risk Class Correlation Matrix as a LabelCorrelation Instance
- MatrixComplementTransform - Class in org.drip.quant.linearalgebra
-
This class holds the results of Matrix transforms on the source and the complement, e.g., during a Matrix
Inversion Operation.
- MatrixComplementTransform(double[][], double[][]) - Constructor for class org.drip.quant.linearalgebra.MatrixComplementTransform
-
MatrixComplementTransform constructor
- MatrixManipulation() - Static method in class org.drip.sample.matrix.LinearAlgebra
-
- maturity() - Method in class org.drip.product.definition.BasketProduct
-
Return the maturity date of the basket product
- maturity() - Method in class org.drip.product.option.EuropeanCallPut
-
Retrieve the Option Maturity
- maturity() - Method in class org.drip.product.rates.Stream
-
Retrieve the Maturity Date
- maturityAnchorTermStructure(String) - Method in class org.drip.analytics.definition.MarketSurface
-
Extract the Term Structure Constructed at the Maturity Anchor Tenor
- maturityCeiling() - Method in class org.drip.market.exchange.TreasuryFuturesEligibility
-
Retrieve the Eligible Maturity Ceiling
- maturityDate() - Method in class org.drip.exposure.holdings.FixFloatBaselPositionEstimator
-
Retrieve the Maturity Date
- maturityDate() - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Retrieve the Maturity Date
- maturityDate() - Method in class org.drip.market.otc.CreditIndexConvention
-
Retrieve the Maturity Date
- maturityDate() - Method in class org.drip.product.credit.BondComponent
-
- maturityDate() - Method in class org.drip.product.credit.CDSComponent
-
- maturityDate() - Method in class org.drip.product.definition.Component
-
Get the Maturity Date
- maturityDate() - Method in class org.drip.product.fx.FXForwardComponent
-
- maturityDate() - Method in class org.drip.product.govvie.TreasuryFutures
-
- maturityDate() - Method in class org.drip.product.option.OptionComponent
-
- maturityDate() - Method in class org.drip.product.rates.FixFloatComponent
-
- maturityDate() - Method in class org.drip.product.rates.FloatFloatComponent
-
- maturityDate() - Method in class org.drip.product.rates.RatesBasket
-
- maturityDate() - Method in class org.drip.product.rates.SingleStreamComponent
-
- maturityFloor() - Method in class org.drip.market.exchange.TreasuryFuturesEligibility
-
Retrieve the Eligible Maturity Floor
- maturityPayDate() - Method in class org.drip.product.credit.BondComponent
-
- maturityPayDate() - Method in class org.drip.product.definition.Component
-
Get the Maturity Pay Date
- maturityRollDownSwapRate1D() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Maturity Roll Down Swap Rate
- maturityRollDownSwapRate1DPnL() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Maturity Roll Down Swap Rate PnL
- maturityRollDownSwapRate1M() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1M Maturity Roll Down Swap Rate
- maturityRollDownSwapRate1MPnL() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1M Maturity Roll Down Swap Rate PnL
- maturityRollDownSwapRate3M() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 3M Maturity Roll Down Swap Rate
- maturityRollDownSwapRate3MPnL() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 3M Maturity Roll Down Swap Rate PnL
- maturityRollUpFairPremium1D() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Maturity Roll Up Fair Premium
- maturityRollUpFairPremium1DPnL() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Maturity Roll Up Fair Premium PnL
- maturityRollUpFairPremiumWithFixing1D() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Maturity Roll Up Fair Premium With Fixing
- maturityRollUpFairPremiumWithFixing1DPnL() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Maturity Roll Up Fair Premium With Fixing PnL
- maturityRollUpSwapRate1D() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Maturity Roll Up Swap Rate
- maturityRollUpSwapRate1DPnL() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Maturity Roll Up Swap Rate PnL
- maturityTenor() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
-
Retrieve the Treasury Futures Maturity Tenor
- maturityTenors() - Method in class org.drip.service.api.FixFloatFundingInstrument
-
Retrieve the Array of the Maturity Tenors
- maturityType() - Method in class org.drip.product.credit.BondComponent
-
- maturityType() - Method in class org.drip.product.definition.Bond
-
Return the bond's maturity type
- maturityType() - Method in class org.drip.product.params.BondStream
-
Retrieve the Maturity Type
- maureyConstant() - Method in class org.drip.spaces.cover.MaureyOperatorCoveringBounds
-
Retrieve the Maurey Constant
- maureyConstant() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
-
Retrieve the Maurey Constant
- MaureyOperatorCoveringBounds - Class in org.drip.spaces.cover
-
MaureyOperatorCoveringBounds implements the estimate the Upper Bounds and/or Absolute Values of the
Covering Number for the Hilbert R^d To Supremum R^d Operator Class.
- MaureyOperatorCoveringBounds(double, int, double) - Constructor for class org.drip.spaces.cover.MaureyOperatorCoveringBounds
-
MaureyOperatorCoveringBounds Constructor
- MaxCompositeSubMatrix(double[][], int, int) - Static method in class org.drip.spaces.big.SubMatrixSetExtractor
-
Compute the Maximum Composite Value of all the sub-matrices contained within a specified Square Matrix
starting from the given Row and Column
- maxExecutionTime() - Method in class org.drip.execution.strategy.OrderSpecification
-
Retrieve the Maximum Allowed Execution Time
- maxima() - Method in class org.drip.function.definition.R1ToR1
-
Compute the Maximal Variate and the Corresponding Function Value
- maxima(double, double) - Method in class org.drip.function.definition.R1ToR1
-
Compute the Maximum VOP within the Variate Range
- maxima(double[], double[]) - Method in class org.drip.function.definition.RdToR1
-
Compute the Maximum VOP within the Variate Array Range Using Uniform Monte-Carlo
- MAXIMA - Static variable in class org.drip.spline.segment.Monotonocity
-
NON MONOTONE - MAXIMA
- maximizerCheck() - Method in class org.drip.function.rdtor1descent.ArmijoEvolutionVerifier
-
Indicate if the Check is for Minimizer/Maximizer
- maximizerCheck() - Method in class org.drip.function.rdtor1descent.ArmijoEvolutionVerifierMetrics
-
Indicate if the Check is for Minimizer/Maximizer
- maximizerCheck() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifier
-
Indicate if the Check is for Minimizer/Maximizer
- maximizerCheck() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifierMetrics
-
Indicate if the Check is for Minimizer/Maximizer
- maximum() - Method in class org.drip.measure.statistics.UnivariateDiscreteThin
-
Retrieve the Sequence Maximum
- maximum() - Method in class org.drip.portfolioconstruction.optimizer.ConstraintTerm
-
Retrieve the Constraint Maximum
- Maximum(double[]) - Static method in class org.drip.quant.common.NumberUtil
-
Retrieve the Maximum Element in the specified Array
- maximumAge() - Method in class org.drip.portfolioconstruction.alm.InvestorCliffSettings
-
Retrieve the Investor Maximum Age
- maximumMaturity() - Method in class org.drip.product.govvie.TreasuryFutures
-
Retrieve the Maximum Maturity of the Contract
- maximumPeriod() - Method in class org.drip.measure.crng.ShiftRegisterGenerator
-
Retrieve the Maximum Period
- maxIterations() - Method in class org.drip.quant.eigen.PowerIterationComponentExtractor
-
Retrieve the Maximum Number of Iterations
- maxIterations() - Method in class org.drip.quant.eigen.QREigenComponentExtractor
-
Retrieve the Maximum Number of Iterations
- maxLength() - Method in class org.drip.sequence.custom.OrientedPercolationFirstPassage
-
Retrieve the Length of the Maximal Path
- maxPathResponse() - Method in class org.drip.spaces.big.BigR2Array
-
Compute the Maximum Response Associated with all the Left/Right Adjacent Paths starting from the Top
Left Node.
- maxPathResponse(int, int, double) - Method in class org.drip.spaces.big.BigR2Array
-
Compute the Maximum Response Associated with all the Left/Right Adjacent Paths starting from the
Current Node.
- maxWeight() - Method in class org.drip.portfolioconstruction.asset.Portfolio
-
Retrieve the Asset Component with the Maximal Weight
- MAY - Static variable in class org.drip.analytics.date.DateUtil
-
Integer Month - May
- MBONO(JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder
-
Construct an Instance of the Mexican Treasury MXN MBONO Bond
- MDLHoliday - Class in org.drip.analytics.holset
-
- MDLHoliday() - Constructor for class org.drip.analytics.holset.MDLHoliday
-
- mean() - Method in class org.drip.measure.continuous.R1
-
Retrieve the Mean of the Distribution
- mean() - Method in class org.drip.measure.continuous.R1Multivariate
-
Compute the Mean of the Distribution
- mean() - Method in class org.drip.measure.discrete.BoundedUniformIntegerDistribution
-
- mean() - Method in class org.drip.measure.discrete.PoissonDistribution
-
- mean() - Method in class org.drip.measure.gaussian.R1MultivariateNormal
-
- mean() - Method in class org.drip.measure.gaussian.R1UnivariateNormal
-
- mean() - Method in class org.drip.measure.lebesgue.R1Uniform
-
- mean() - Method in class org.drip.measure.statistics.MultivariateDiscrete
-
Retrieve the Multivariate Means
- mean(String) - Method in class org.drip.measure.statistics.MultivariateMoments
-
Retrieve the Mean of the Named Variate
- mean() - Method in class org.drip.measure.statistics.UnivariateMoments
-
Retrieve the Series Mean
- mean() - Method in class org.drip.sequence.random.BoxMullerGaussian
-
Retrieve the Mean of the Box-Muller Gaussian
- mean() - Method in class org.drip.state.sequence.PathRd
-
Retrieve the Array of Means
- meanCenter() - Method in class org.drip.measure.discrete.QuadraticResampler
-
Indicate if the Sequence is to be Mean Centered
- meanMarketUrgency() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant
-
Retrieve the Mean Market Urgency
- meanReversionLevel() - Method in class org.drip.measure.dynamics.DiffusionEvaluatorMeanReversion
-
Retrieve the Mean Reversion Level
- meanReversionLevel() - Method in class org.drip.measure.dynamics.DiffusionEvaluatorOrnsteinUhlenbeck
-
Retrieve the Mean Reversion Level
- meanReversionRate() - Method in class org.drip.measure.dynamics.DiffusionEvaluatorMeanReversion
-
Retrieve the Mean Reversion Speed
- MeanVarianceObjectiveUtility - Class in org.drip.execution.risk
-
MeanVarianceObjectiveUtility implements the Mean-Variance Objective Utility Function that needs to be
optimized to extract the Optimal Execution Trajectory.
- MeanVarianceObjectiveUtility(double) - Constructor for class org.drip.execution.risk.MeanVarianceObjectiveUtility
-
MeanVarianceObjectiveUtility Constructor
- MeanVarianceOptimizer - Class in org.drip.portfolioconstruction.allocator
-
MeanVarianceOptimizer exposes Portfolio Construction using Mean Variance Optimization Techniques.
- MeanVarianceOptimizer() - Constructor for class org.drip.portfolioconstruction.allocator.MeanVarianceOptimizer
-
- measure() - Method in class org.drip.param.definition.CalibrationParams
-
Retrieve the Calibration Measure
- MEASURE_AGGREGATION_TYPE_CUMULATIVE - Static variable in class org.drip.product.definition.BasketProduct
-
- MEASURE_AGGREGATION_TYPE_IGNORE - Static variable in class org.drip.product.definition.BasketProduct
-
- MEASURE_AGGREGATION_TYPE_UNIT_ACCUMULATE - Static variable in class org.drip.product.definition.BasketProduct
-
- MEASURE_AGGREGATION_TYPE_WEIGHTED_CUMULATIVE - Static variable in class org.drip.product.definition.BasketProduct
-
- measureAggregationType(String) - Method in class org.drip.product.credit.BondBasket
-
- measureAggregationType(String) - Method in class org.drip.product.credit.CDSBasket
-
- measureAggregationType(String) - Method in class org.drip.product.definition.BasketProduct
-
Retrieve the Aggregation Type for the specified Measure
- measureAggregationType(String) - Method in class org.drip.product.fx.ComponentPair
-
- MeasureConcentrationExpectationBound - Class in org.drip.learning.bound
-
MeasureConcentrationExpectationBound provides the Upper Bound of the Expected Loss between Empirical
Outcome and the Prediction of the given Learner Class using the Concentration of Measure Inequalities.
- MeasureConcentrationExpectationBound(double, double) - Constructor for class org.drip.learning.bound.MeasureConcentrationExpectationBound
-
MeasureConcentrationExpectationBound Constructor
- MeasureInterpreter - Class in org.drip.param.quoting
-
MeasureInterpreter is the abstract shell stub class from which all product measure quoting parameters are
derived.
- MeasureInterpreter() - Constructor for class org.drip.param.quoting.MeasureInterpreter
-
- measureNames() - Method in class org.drip.product.credit.BondComponent
-
- measureNames() - Method in class org.drip.product.credit.CDSComponent
-
- measureNames() - Method in class org.drip.product.definition.Component
-
Retrieve the ordered set of the measure names whose values will be calculated
- measureNames() - Method in class org.drip.product.fra.FRAStandardCapFloor
-
- measureNames() - Method in class org.drip.product.fra.FRAStandardCapFloorlet
-
- measureNames() - Method in class org.drip.product.fra.FRAStandardComponent
-
- measureNames() - Method in class org.drip.product.fx.FXForwardComponent
-
- measureNames() - Method in class org.drip.product.govvie.TreasuryFutures
-
- measureNames() - Method in class org.drip.product.option.CDSEuropeanOption
-
- measureNames() - Method in class org.drip.product.option.FixFloatEuropeanOption
-
- measureNames() - Method in class org.drip.product.rates.FixFloatComponent
-
- measureNames() - Method in class org.drip.product.rates.FloatFloatComponent
-
- measureNames() - Method in class org.drip.product.rates.RatesBasket
-
- measureNames() - Method in class org.drip.product.rates.SingleStreamComponent
-
- measures() - Method in class org.drip.analytics.input.BootCurveConstructionInput
-
- measures() - Method in interface org.drip.analytics.input.CurveConstructionInputSet
-
Retrieve the Map containing the array of the Calibration Measures
- measures() - Method in class org.drip.analytics.input.LatentStateShapePreservingCCIS
-
- measures(ValuationParams, CreditPricerParams, ScenarioMarketParams, ValuationCustomizationParams) - Method in class org.drip.product.definition.BasketProduct
-
Generate a full list of the basket product measures for the set of scenario market parameters present
in the org.drip.param.definition.MarketParams
- measures(ValuationParams, CreditPricerParams, ScenarioMarketParams, ValuationCustomizationParams) - Method in class org.drip.product.definition.Component
-
Generate a full list of the Product's measures for the set of scenario market parameters present in
the org.drip.param.definition.MarketParams
- measureSpace() - Method in class org.drip.measure.lebesgue.RdUniform
-
Retrieve the Vector Space Underlying the Measure
- measureType() - Method in class org.drip.param.definition.CreditManifestMeasureTweak
-
Retrieve the Tweak Measure Type
- measureValue(String, CaseInsensitiveTreeMap<Double>) - Method in class org.drip.product.definition.BasketProduct
-
- measureValue(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, String) - Method in class org.drip.product.definition.BasketProduct
-
Calculate the value of the given basket product measure
- measureValue(String, CaseInsensitiveTreeMap<Double>) - Method in class org.drip.product.definition.Component
-
- measureValue(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, String) - Method in class org.drip.product.definition.Component
-
Calculate the value of the given Product's measure
- memberCorrelation() - Method in class org.drip.simm.commodity.CTBucket
-
Retrieve the SIMM Member Correlation
- memberCorrelation() - Method in class org.drip.simm.equity.EQBucket
-
Retrieve the Correlation between the Bucket Members
- memberCorrelation() - Method in class org.drip.simm.parameters.BucketSensitivitySettings
-
Retrieve the Correlation between the Basket Members
- membership(String) - Method in class org.drip.portfolioconstruction.composite.BlockClassification
-
Retrieve the Asset's Membership
- membership() - Method in class org.drip.portfolioconstruction.composite.BlockClassification
-
Retrieve the Map of Asset Classification
- membership() - Method in class org.drip.portfolioconstruction.objective.TiltTerm
-
Retrieve the Array of Tilt Memberships
- MercerKernel - Class in org.drip.learning.kernel
-
MercerKernel exposes the Functionality behind the Eigenized Kernel that is Normed R^x X Normed R^x To
Supremum R^1.
- MercerKernel(IntegralOperatorEigenContainer) - Constructor for class org.drip.learning.kernel.MercerKernel
-
MercerKernel Constructor
- MergedDiscountForwardCurve - Class in org.drip.state.discount
-
MergedDiscountForwardCurve is the Stub for the Merged Discount and Forward Curve Functionality.
- MergedDiscountForwardCurve(int, String, TurnListDiscountFactor) - Constructor for class org.drip.state.discount.MergedDiscountForwardCurve
-
- mergeLabelSet() - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint
-
Return the Set of Merged Latent State Labels
- MergeMaps(CaseInsensitiveTreeMap<Double>, CaseInsensitiveTreeMap<Double>) - Static method in class org.drip.quant.common.CollectionUtil
-
Merge two maps
- MergePeriodLists(List<CompositePeriod>, List<CompositePeriod>) - Static method in class org.drip.analytics.support.Helper
-
Merge two lists of periods
- mergeSort(int, int, int, int) - Method in class org.drip.spaces.big.BigR1Array
-
Merge the Sorted Sub Array Pair
- mergeSort(int, int) - Method in class org.drip.spaces.big.BigR1Array
-
Contiguous Stretch Merge Sort
- mergeSort() - Method in class org.drip.spaces.big.BigR1Array
-
In-place Big Array Merge Sort
- MergeSubStretchManager - Class in org.drip.state.representation
-
MergeSubStretchManager manages the different discount-forward merge stretches.
- MergeSubStretchManager() - Constructor for class org.drip.state.representation.MergeSubStretchManager
-
Empty MergeSubStretchManager constructor
- MergeWithMain(CaseInsensitiveTreeMap<Double>, CaseInsensitiveTreeMap<Double>) - Static method in class org.drip.quant.common.CollectionUtil
-
Merge the secondary map onto the main map
- meta() - Method in class org.drip.measure.continuous.R1Multivariate
-
Retrieve the Multivariate Meta Instance
- meta() - Method in class org.drip.portfolioconstruction.asset.Portfolio
-
Retrieve the Multivariate Meta Instance around the Assets
- metricRollUp() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
-
Generate the Roll Up Version of the Quote Metric
- metrics(int, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.Bullet
-
Compute the Metrics at the specified Valuation Date
- metrics(UnitVector, double[], RdToR1, double) - Method in class org.drip.function.rdtor1descent.ArmijoEvolutionVerifier
-
- metrics(UnitVector, double[], RdToR1, double) - Method in class org.drip.function.rdtor1descent.CurvatureEvolutionVerifier
-
- metrics(UnitVector, double[], RdToR1, double) - Method in class org.drip.function.rdtor1descent.LineEvolutionVerifier
-
Generate the Verifier Metrics for the Specified Inputs
- metrics(UnitVector, double[], RdToR1, double) - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifier
-
- metrics(double, double, DiscountRate) - Method in class org.drip.portfolioconstruction.alm.NetLiabilityStream
-
Generate the NetLiabilityMetrics Instance
- MeucciViewUncertaintyParameterization - Class in org.drip.portfolioconstruction.bayesian
-
MeucciViewUncertaintyParameterization demonstrates the Meucci Parameterization for the View Projection
Uncertainty Matrix.
- MeucciViewUncertaintyParameterization() - Constructor for class org.drip.portfolioconstruction.bayesian.MeucciViewUncertaintyParameterization
-
- mfcq() - Method in class org.drip.optimization.constrained.RegularityConditions
-
Retrieve the MFCQ Constraint Qualifier
- mfv() - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
-
Retrieve the Multi-factor Volatility Instance
- mfv() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateEvolver
-
Retrieve the Multi-factor Volatility Instance
- Mianyang - Class in org.drip.sample.bondeos
-
Mianyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Mianyang.
- Mianyang() - Constructor for class org.drip.sample.bondeos.Mianyang
-
- MID_CURVE_OPTION - Static variable in class org.drip.product.params.LastTradingDateSetting
-
Generic Mid-Curve Option
- MID_CURVE_OPTION_QUARTERLY - Static variable in class org.drip.product.params.LastTradingDateSetting
-
Quarterly Mid-Curve Option
- MID_CURVE_OPTION_SERIAL - Static variable in class org.drip.product.params.LastTradingDateSetting
-
Serial Mid-Curve Option
- MidCurveOptionString(int) - Static method in class org.drip.product.params.LastTradingDateSetting
-
Retrieve the String Version of the Mid Curve Option Setting
- midCurveOptionType() - Method in class org.drip.product.params.LastTradingDateSetting
-
Retrieve the Mid-Curve Option Type
- MidPoint(R1ToR1, double, double) - Static method in class org.drip.quant.calculus.R1ToR1Integrator
-
Compute the function's integral within the specified limits using the Mid-point rule.
- minima() - Method in class org.drip.function.definition.R1ToR1
-
Compute the Minimal Variate and the Corresponding Function Value
- minima(double, double) - Method in class org.drip.function.definition.R1ToR1
-
Compute the Minimum VOP within the Variate Range
- minima(double[], double[]) - Method in class org.drip.function.definition.RdToR1
-
Compute the Minimum VOP within the Variate Array Range Using Uniform Monte-Carlo
- MINIMA - Static variable in class org.drip.spline.segment.Monotonocity
-
NON MONOTONE - MINIMA
- MinimalQuadraticHaganWest - Class in org.drip.spline.pchip
-
This class implements the regime using the Hagan and West (2006) Minimal Quadratic Estimator.
- minimum() - Method in class org.drip.measure.statistics.UnivariateDiscreteThin
-
Retrieve the Sequence Minimum
- minimum() - Method in class org.drip.portfolioconstruction.optimizer.ConstraintTerm
-
Retrieve the Constraint Minimum
- Minimum(double[]) - Static method in class org.drip.quant.common.NumberUtil
-
Retrieve the Minimum Element in the specified Array
- MinimumBinPackingBound - Class in org.drip.sample.efronstein
-
MinimumBinPackingBound demonstrates the Computation of the Probabilistic Bounds for the Minimum Number of
Packing Bins over a Random Sequence Values using Variants of the Efron-Stein Methodology.
- MinimumBinPackingBound() - Constructor for class org.drip.sample.efronstein.MinimumBinPackingBound
-
- minimumComponentNotional() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
-
Retrieve the Minimum Treasury Futures Component Notional
- minimumHoldingsPeriod() - Method in class org.drip.portfolioconstruction.constraint.LimitHoldingsTermMinimumPeriod
-
Retrieve the Minimum Holdings Period
- MinimumImpactTradingTrajectory - Class in org.drip.execution.strategy
-
MinimumImpactTradingTrajectory holds the Trajectory of a Trading Block that is to be executed uniformly
over Equal Intervals, the Idea being to minimize the Trading Impact.
- MinimumImpactTradingTrajectory(double[], double[], double[]) - Constructor for class org.drip.execution.strategy.MinimumImpactTradingTrajectory
-
- minimumMaturity() - Method in class org.drip.product.govvie.TreasuryFutures
-
Retrieve the Minimum Maturity of the Contract
- MinimumNumberOfBins() - Static method in class org.drip.sequence.custom.BinPacking
-
- minimumOutstandingNotional() - Method in class org.drip.market.exchange.TreasuryFuturesEligibility
-
Retrieve the Minimum Outstanding Notional
- minimumPriceMovement() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
-
Retrieve the Minimimum Price Movement - a.k.a Tick
- minimumPriceMovement() - Method in class org.drip.product.govvie.TreasuryFutures
-
Retrieve the Minimum Price Movement
- minimumTransferAmount() - Method in class org.drip.xva.proto.PositionGroupSpecification
-
Retrieve the Collateral Group Minimum Transfer Amount
- minimumUpperBound() - Method in class org.drip.spaces.cover.CarlStephaniNormedBounds
-
Retrieve the Minimum Upper Entropy Bound
- MinimumVarianceTradingTrajectory - Class in org.drip.execution.strategy
-
MinimumVarianceTradingTrajectory holds the Trajectory of a Trading Block that is to be executed in a
Single Block, the Idea being to minimize the Trading Variance.
- MinimumVarianceTradingTrajectory(double, double, double, double) - Constructor for class org.drip.execution.strategy.MinimumVarianceTradingTrajectory
-
MinimumVarianceTradingTrajectory Constructor
- minWeight() - Method in class org.drip.portfolioconstruction.asset.Portfolio
-
Retrieve the Asset Component with the Minimal Weight
- MiraBhayander - Class in org.drip.sample.bondsink
-
MiraBhayander generates the Full Suite of Replication Metrics for the Sinker Bond MiraBhayander.
- MiraBhayander() - Constructor for class org.drip.sample.bondsink.MiraBhayander
-
- MIXHoliday - Class in org.drip.analytics.holset
-
- MIXHoliday() - Constructor for class org.drip.analytics.holset.MIXHoliday
-
- MKDHoliday - Class in org.drip.analytics.holset
-
- MKDHoliday() - Constructor for class org.drip.analytics.holset.MKDHoliday
-
- mnacaulayDurationFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- mnacaulayDurationFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Macaulay Duration from OAS to Optimal Exercise
- modifiedDuration() - Method in class org.drip.analytics.output.BondRVMeasures
-
Retrieve the Modified Duration
- modifiedDurationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from ASW to Work-out
- modifiedDurationFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from ASW to Maturity
- modifiedDurationFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from ASW to Optimal Exercise
- modifiedDurationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from Bond Basis to Work-out
- modifiedDurationFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from Bond Basis to Maturity
- modifiedDurationFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from Bond Basis to Optimal Exercise
- modifiedDurationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from Credit Basis to Work-out
- modifiedDurationFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from Credit Basis to Maturity
- modifiedDurationFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from Credit Basis to Optimal Exercise
- modifiedDurationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from Discount Margin to Work-out
- modifiedDurationFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from Discount Margin to Maturity
- modifiedDurationFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from Discount Margin to Optimal Exercise
- modifiedDurationFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from E Spread to Work-out
- modifiedDurationFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from E Spread to Maturity
- modifiedDurationFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from E Spread to Optimal Exercise
- modifiedDurationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from G Spread to Work-out
- modifiedDurationFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from G Spread to Maturity
- modifiedDurationFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from G Spread to Optimal Exercise
- modifiedDurationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from I Spread to Work-out
- modifiedDurationFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from I Spread to Maturity
- modifiedDurationFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from I Spread to Optimal Exercise
- modifiedDurationFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from J Spread to Work-out
- modifiedDurationFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from J Spread to Maturity
- modifiedDurationFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from J Spread to Optimal Exercise
- modifiedDurationFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from N Spread to Work-out
- modifiedDurationFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from N Spread to Maturity
- modifiedDurationFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from N Spread to Optimal Exercise
- modifiedDurationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from OAS to Work-out
- modifiedDurationFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from OAS to Maturity
- modifiedDurationFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from OAS to Optimal Exercise
- modifiedDurationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from PECS to Work-out
- modifiedDurationFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from PECS to Maturity
- modifiedDurationFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from PECS to Optimal Exercise
- modifiedDurationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from Price to Work-out
- modifiedDurationFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from Price to Maturity
- modifiedDurationFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from Price to Optimal Exercise
- modifiedDurationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from TSY Spread to Work-out
- modifiedDurationFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from TSY Spread to Maturity
- modifiedDurationFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from TSY Spread to Optimal Exercise
- modifiedDurationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from Yield to Work-out
- modifiedDurationFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from Yield to Maturity
- modifiedDurationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from Yield Spread to Work-out
- modifiedDurationFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from Yield Spread to Maturity
- modifiedDurationFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from Yield Spread to Optimal Exercise
- modifiedDurationFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from Yield to Optimal Exercise
- modifiedDurationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from Z Spread to Work-out
- modifiedDurationFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from Z Spread to Maturity
- modifiedDurationFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- modifiedDurationFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Modified Duration from Z Spread to Optimal Exercise
- modulate(double) - Method in class org.drip.execution.athl.PermanentImpactNoArbitrage
-
- modulate(double) - Method in class org.drip.execution.athl.PermanentImpactQuasiArbitrage
-
- modulate(double) - Method in class org.drip.execution.athl.TemporaryImpact
-
- modulate(double) - Method in class org.drip.execution.impact.ParticipationRateLinear
-
- modulate(double) - Method in class org.drip.execution.impact.ParticipationRatePower
-
- modulate(double) - Method in class org.drip.execution.impact.TransactionFunction
-
Modulate/Scale the Impact Output
- modulus() - Method in class org.drip.quant.fourier.ComplexNumber
-
Retrieve the Modulus
- Modulus(double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Compute the Modulus of the Input Vector
- momentMap() - Method in class org.drip.measure.statistics.UnivariateMoments
-
Retrieve the Moments Map
- MONDAY - Static variable in class org.drip.analytics.date.DateUtil
-
Days of the week - Monday
- Monic(String, String, double[], int, double) - Static method in class org.drip.spline.bspline.SegmentBasisFunctionGenerator
-
Create a Tension Monic B Spline Basis Function
- MonicSequence(String, String, double[], int, double) - Static method in class org.drip.spline.bspline.SegmentBasisFunctionGenerator
-
Construct a Sequence of Monic Basis Functions
- Mono(CreditDebtGroupPath, MarketPath) - Static method in class org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath
-
Generate a "Mono" AlbaneseAndersenFundingGroupPath Instance
- Mono(CollateralGroupPath, MarketPath) - Static method in class org.drip.xva.strategy.AlbaneseAndersenNettingGroupPath
-
Generate a "Mono" AlbaneseAndersenNettingGroupPath Instance
- MonoPathExposureAdjustment - Class in org.drip.xva.gross
-
MonoPathExposureAdjustment aggregates the Exposures and the Adjustments across Multiple Netting/Funding
Groups on a Single Path Projection Run along the Granularity of a Counter Party Group.
- MonoPathExposureAdjustment(FundingGroupPath[]) - Constructor for class org.drip.xva.gross.MonoPathExposureAdjustment
-
MonoPathExposureAdjustment Constructor
- MonotoneConvexHaganWest - Class in org.drip.spline.pchip
-
This class implements the regime using the Hagan and West (2006) Estimator.
- monotoneType() - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Indicate whether the given segment is monotone.
- monotoneType(double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- monotoneType(double) - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
-
- monotoneType(double) - Method in interface org.drip.spline.stretch.SingleSegmentSequence
-
Identify the Monotone Type for the Segment underlying the given Predictor Ordinate
- MONOTONIC - Static variable in class org.drip.spline.segment.Monotonocity
-
MONOTONIC
- Monotonocity - Class in org.drip.spline.segment
-
This class contains the monotonicity details related to the given segment.
- Monotonocity(int) - Constructor for class org.drip.spline.segment.Monotonocity
-
Monotonocity constructor
- Month(int) - Static method in class org.drip.analytics.date.DateUtil
-
Return the Month given the Julian Date represented by the Integer.
- Month(Date) - Static method in class org.drip.analytics.date.DateUtil
-
Return the Month corresponding to the java.util.Date Instance.
- MonthChar(int) - Static method in class org.drip.analytics.date.DateUtil
-
Return the English word corresponding to the input integer month
- MonthFromCode(char) - Static method in class org.drip.analytics.date.DateUtil
-
Retrieve the Month corresponding to the Month Digit Code
- MonthFromMonthChars(String) - Static method in class org.drip.analytics.date.DateUtil
-
Convert the month trigram/word to the corresponding month integer
- MonthlyGrossIncome - Class in org.drip.assetbacked.borrower
-
MonthlyGrossIncome contains the Borrower's Monthly Gross Income
- MonthlyGrossIncome(double) - Constructor for class org.drip.assetbacked.borrower.MonthlyGrossIncome
-
MonthlyGrossIncome Constructor
- months() - Method in class org.drip.assetbacked.loan.Term
-
Retrieve the Loan Term in Months
- monthsInBalance() - Method in class org.drip.assetbacked.loan.Age
-
Retrieve the Loan Months in Balance
- MonthTrigram(int) - Static method in class org.drip.analytics.date.DateUtil
-
Return the Month Trigram corresponding to the Input Integer Month
- Moradabad - Class in org.drip.sample.bondfixed
-
Moradabad demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Moradabad.
- Moradabad() - Constructor for class org.drip.sample.bondfixed.Moradabad
-
- MPOR_INTERPOLATION_BROWNIAN_BRIDGE - Static variable in class org.drip.exposure.mpor.MarginPeriodOfRisk
-
MPoR Interpolation Type - BROWNIAN_BRIDGE
- MPOR_INTERPOLATION_LINEAR - Static variable in class org.drip.exposure.mpor.MarginPeriodOfRisk
-
MPoR Interpolation Type - LINEAR
- MPOR_INTERPOLATION_SQRT_T - Static variable in class org.drip.exposure.mpor.MarginPeriodOfRisk
-
MPoR Interpolation Type - SQRT_T
- mporCalendarDays() - Method in class org.drip.function.r1tor1.ISDABucketCurvatureTenorScaler
-
Retrieve the MPoR Calendar Days
- MRG32k3a(long, long, long) - Static method in class org.drip.measure.crng.LinearCongruentialGenerator
-
Construct an Instance of LinearCongruentialGenerator with the MRG of Type MRG32k3a
- MRG32k3a() - Static method in class org.drip.measure.crng.MultipleRecursiveGeneratorLEcuyer
-
Generate the MRG32k3a Variant of the L'Ecuyer's Multiple Recursive Generator
- MRG32k3a - Class in org.drip.sample.rng
-
MRG32k3a demonstrates the Construction and Invocation of MRG32k3a Variant of the L'Ecuyer's Multiple
Recursive Generator.
- MRG32k3a() - Constructor for class org.drip.sample.rng.MRG32k3a
-
- MS_COMMODITY_DEFAULT - Static variable in class org.drip.simm.common.ProductClassMultiplicativeScale
-
The Commodity Multiplicative Factor Default (1.0)
- MS_CREDIT_NON_QUALIFYING_DEFAULT - Static variable in class org.drip.simm.common.ProductClassMultiplicativeScale
-
The Credit Non-Qualifying Multiplicative Factor Default (1.0)
- MS_CREDIT_QUALIFYING_DEFAULT - Static variable in class org.drip.simm.common.ProductClassMultiplicativeScale
-
The Credit Qualifying Multiplicative Factor Default (1.0)
- MS_EQUITY_DEFAULT - Static variable in class org.drip.simm.common.ProductClassMultiplicativeScale
-
The Equity Multiplicative Factor Default (1.0)
- MS_RATESFX_DEFAULT - Static variable in class org.drip.simm.common.ProductClassMultiplicativeScale
-
The RatesFX Multiplicative Factor Default (1.0)
- msg() - Method in class org.drip.dynamics.hjm.MultiFactorVolatility
-
Retrieve the Principal Factor Sequence Generator
- msm() - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- msm() - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Retrieve the Merge Stretch Manager if it exists.
- msm() - Method in class org.drip.state.estimator.CurveStretch
-
- Mudanjiang - Class in org.drip.sample.bondeos
-
Mudanjiang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Mudanjiang.
- Mudanjiang() - Constructor for class org.drip.sample.bondeos.Mudanjiang
-
- MULTI_VALUE_BRANCH_PHASE_TRACKER_NONE - Static variable in class org.drip.quant.fourier.PhaseAdjuster
-
No Multi-Valued Principal Branch Tracking
- MULTI_VALUE_BRANCH_PHASE_TRACKER_ROTATION_COUNT - Static variable in class org.drip.quant.fourier.PhaseAdjuster
-
Multi-Valued Logarithm Principal Branch Tracking Using Rotating Counting
- MULTI_VALUE_BRANCH_POWER_PHASE_TRACKER_KAHL_JACKEL - Static variable in class org.drip.quant.fourier.PhaseAdjuster
-
Multi-Valued Logarithm PLUS Power Principal Branch Tracking Using the Kahl-Jackel Algorithm
- MultiCallExerciseMetrics - Class in org.drip.sample.bond
-
MultiCallExerciseMetrics demonstrates the Simulations of the Per-Path Callable Bond OAS Based Exercise
Metrics.
- MultiCallExerciseMetrics() - Constructor for class org.drip.sample.bond.MultiCallExerciseMetrics
-
- MultiCallMonteCarlo - Class in org.drip.sample.bond
-
MultiCallMonteCarlo demonstrates the Simulations of the Path/Vertex EOS Bond Metrics.
- MultiCallMonteCarlo() - Constructor for class org.drip.sample.bond.MultiCallMonteCarlo
-
- MulticSequence(int, SegmentBasisFunction[]) - Static method in class org.drip.spline.bspline.SegmentBasisFunctionGenerator
-
Create a sequence of B Splines of the specified order from the given inputs.
- MultiCurveFRAMarket - Class in org.drip.sample.fra
-
MultiCurveFRAMarket contains the demonstration of the Market Multi-Curve FRA Product sample.
- MultiCurveFRAMarket() - Constructor for class org.drip.sample.fra.MultiCurveFRAMarket
-
- MultiCurveFRAMarketAnalysis - Class in org.drip.sample.fra
-
MultiCurveFRAMarketAnalysis contains an analysis of the correlation and volatility impact on the Market
FRA.
- MultiCurveFRAMarketAnalysis() - Constructor for class org.drip.sample.fra.MultiCurveFRAMarketAnalysis
-
- MultiCurveFRAStandard - Class in org.drip.sample.fra
-
MultiCurveFRAStandard contains the demonstration of the Standard Multi-Curve FRA product sample.
- MultiCurveFRAStandard() - Constructor for class org.drip.sample.fra.MultiCurveFRAStandard
-
- MultiCurveFRAStandardAnalysis - Class in org.drip.sample.fra
-
MultiCurveFRAStandardAnalysis contains an Analysis of the Correlation and the Volatility Impact on the
Standard FRA.
- MultiCurveFRAStandardAnalysis() - Constructor for class org.drip.sample.fra.MultiCurveFRAStandardAnalysis
-
- MultiCurvePayerReceiver - Class in org.drip.sample.fixfloatoption
-
MultiCurvePayerReceiver contains the demonstration of the Multi-Curve Payer/Receiver Fix-Float IRS
European Option Sample.
- MultiCurvePayerReceiver() - Constructor for class org.drip.sample.fixfloatoption.MultiCurvePayerReceiver
-
- MultiCurvePayerReceiverAnalysis - Class in org.drip.sample.fixfloatoption
-
MultiCurvePayerReceiverAnalysis contains the demonstration of the custom volatility-correlation analysis
of Multi-Curve Receiver/Payer Fix-Float Swap European Option sample.
- MultiCurvePayerReceiverAnalysis() - Constructor for class org.drip.sample.fixfloatoption.MultiCurvePayerReceiverAnalysis
-
- MultiFactorCurveDynamics - Class in org.drip.sample.lmm
-
MultiFactorCurveDynamics demonstrates the Construction and Usage of the Curve LIBOR State Evolver, and the
eventual Evolution of the related Discount/Forward Latent State Quantification Metrics.
- MultiFactorCurveDynamics() - Constructor for class org.drip.sample.lmm.MultiFactorCurveDynamics
-
- MultiFactorDynamics - Class in org.drip.sample.hjm
-
MultiFactorDynamics demonstrates the Construction and Usage of the Multi-Factor Gaussian Model Dynamics
for the Evolution of the Instantaneous Forward Rate, the Price, and the Short Rate.
- MultiFactorDynamics() - Constructor for class org.drip.sample.hjm.MultiFactorDynamics
-
- MultiFactorLIBORCurveEvolver - Class in org.drip.sample.lmm
-
MultiFactorLIBORCurveEvolver demonstrates the Evolution Sequence of the full LIBOR Forward Curve.
- MultiFactorLIBORCurveEvolver() - Constructor for class org.drip.sample.lmm.MultiFactorLIBORCurveEvolver
-
- MultiFactorLIBORMonteCarlo - Class in org.drip.sample.lmm
-
MultiFactorLIBORMonteCarlo demonstrates the Monte-Carlo Evolution Sequence of the LIBOR Forward Curve.
- MultiFactorLIBORMonteCarlo() - Constructor for class org.drip.sample.lmm.MultiFactorLIBORMonteCarlo
-
- MultiFactorQMDynamics - Class in org.drip.sample.hjm
-
MultiFactorQMDynamics demonstrates the Construction and Usage of the 3-Factor Gaussian Model Dynamics for
the Evolution of the Discount Factor Quantification Metrics - the Instantaneous Forward Rate, the LIBOR
Forward Rate, the Shifted LIBOR Forward Rate, the Short Rate, the Compounded Short Rate, and the Price.
- MultiFactorQMDynamics() - Constructor for class org.drip.sample.hjm.MultiFactorQMDynamics
-
- MultiFactorStateEvolver - Class in org.drip.dynamics.hjm
-
MultiFactorStateEvolver sets up and implements the Base Multi-Factor No-arbitrage Dynamics of the Rates
State Quantifiers as formulated in:
Heath, D., R.
- MultiFactorStateEvolver(FundingLabel, ForwardLabel, MultiFactorVolatility, R1ToR1) - Constructor for class org.drip.dynamics.hjm.MultiFactorStateEvolver
-
MultiFactorStateEvolver Constructor
- MultiFactorVolatility - Class in org.drip.dynamics.hjm
-
MultiFactorVolatility implements the Volatility of the Multi-factor Stochastic Evolutionary Process.
- MultiFactorVolatility(MarketSurface[], PrincipalFactorSequenceGenerator) - Constructor for class org.drip.dynamics.hjm.MultiFactorVolatility
-
MultiFactorVolatility Constructor
- MultiFunction(double, double, double, double, double, double, R1ToR1, double, FixedPointFinderOutput) - Static method in class org.drip.function.r1tor1solver.VariateIteratorPrimitive
-
Iterate for the next variate using the multi-function method
- MultilateralBasisCurve - Class in org.drip.state.csa
-
MultilateralBasisCurve implements the CSA Cash Rate Curve as a Basis over an Overnight Curve.
- MultilateralBasisCurve() - Constructor for class org.drip.state.csa.MultilateralBasisCurve
-
- MultilateralFlatForwardCurve - Class in org.drip.state.csa
-
MultilateralFlatForwardCurve implements the CSA Cash Rate Curve using a Flat Forward CSA Rate.
- MultilateralFlatForwardCurve(JulianDate, String, int[], double[], boolean, String, int) - Constructor for class org.drip.state.csa.MultilateralFlatForwardCurve
-
MultilateralFlatForwardCurve Constructor
- multiPathVertexRd() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
-
Generate Multi-Path R^d Vertex Realizations Array
- MultipleRecursiveGeneratorLEcuyer - Class in org.drip.measure.crng
-
MultipleRecursiveGeneratorLEcuyer - L'Ecuyer's Multiple Recursive Generator - combines Multiple Recursive
Sequences to produce a Large State Space with good Randomness Properties.
- MultipleRecursiveGeneratorLEcuyer(long, long, long, long, long, long, long, long, long, long, long, long) - Constructor for class org.drip.measure.crng.MultipleRecursiveGeneratorLEcuyer
-
MultipleRecursiveGeneratorLEcuyer Constructor
- MultiplicativeCrossVolQuanto(CurveSurfaceQuoteContainer, String, String, int, int) - Static method in class org.drip.analytics.support.OptionHelper
-
Compute the Multiplicative Cross Volatility Quanto Product given the corresponding volatility and the
correlation Curves, and the date spans
- multiplier() - Method in class org.drip.function.rdtor1solver.ConstraintFunctionPointMetrics
-
Retrieve the Constraint KKR Multiplier Array
- Multiply(ComplexNumber, ComplexNumber) - Static method in class org.drip.quant.fourier.ComplexNumber
-
Multiply the 2 Complex Numbers
- MultiSegmentSequence - Interface in org.drip.spline.stretch
-
MultiSegmentSequence is the interface that exposes functionality that spans multiple segments.
- MultiSegmentSequenceBuilder - Class in org.drip.spline.stretch
-
MultiSegmentSequenceBuilder exports Stretch creation/calibration methods to generate customized basis
splines, with customized segment behavior using the segment control.
- MultiSegmentSequenceBuilder() - Constructor for class org.drip.spline.stretch.MultiSegmentSequenceBuilder
-
- MultiSegmentSequenceModifier - Class in org.drip.spline.stretch
-
MultiSegmentSequenceModifier exports Stretch modification/alteration methods to generate customized basis
splines, with customized segment behavior using the segment control.
- MultiSegmentSequenceModifier() - Constructor for class org.drip.spline.stretch.MultiSegmentSequenceModifier
-
- MultiSided - Class in org.drip.param.quote
-
MultiSided implements the Quote interface, which contains the stubs corresponding to a product quote.
- MultiSided(String, double) - Constructor for class org.drip.param.quote.MultiSided
-
MultiSidedQuote Constructor: Constructs a Quote object from the quote value and the side string.
- MultiSided(String, double, double) - Constructor for class org.drip.param.quote.MultiSided
-
MultiSided Constructor: Constructs a Quote object from the quote size/value and the side string.
- MultiSpanAggregationEstimator - Class in org.drip.sample.stretch
-
MultiSpanAggregationEstimator demonstrates the Construction and Usage of the Multiple Span Aggregation
Functionality.
- MultiSpanAggregationEstimator() - Constructor for class org.drip.sample.stretch.MultiSpanAggregationEstimator
-
- MultiStreamGenerator - Class in org.drip.measure.crng
-
MultiStreamGenerator helps generate Multiple Independent (i.e., Non-Overlapping) Streams of Random
Numbers.
- MultiStreamGenerator() - Constructor for class org.drip.measure.crng.MultiStreamGenerator
-
- MultiStreamSwapMeasures - Class in org.drip.sample.funding
-
- MultiStreamSwapMeasures() - Constructor for class org.drip.sample.funding.MultiStreamSwapMeasures
-
- MultiStretchCurveBuilder - Class in org.drip.sample.overnight
-
MultiStretchCurveBuilder contains a sample of the construction and usage of the Overnight Curve built
using the Overnight Indexed Swap Product Instruments in their distinct stretches.
- MultiStretchCurveBuilder() - Constructor for class org.drip.sample.overnight.MultiStretchCurveBuilder
-
- MultivariateDiscrete - Class in org.drip.measure.statistics
-
MultivariateDiscrete analyzes and computes the Moment and Metric Statistics for the Realized Multivariate
Sequence.
- MultivariateDiscrete(double[][]) - Constructor for class org.drip.measure.statistics.MultivariateDiscrete
-
MultivariateDiscrete Constructor
- MultivariateMeta - Class in org.drip.measure.continuous
-
MultivariateMeta holds a Group of Variable Names - each of which separately is a Valid Single R^1/R^d
Variable.
- MultivariateMeta(String[]) - Constructor for class org.drip.measure.continuous.MultivariateMeta
-
MultivariateMeta Constructor
- MultivariateMoments - Class in org.drip.measure.statistics
-
MultivariateMoments generates and holds the Specified Multivariate Series Mean, Co-variance, and other
selected Moments.
- MultivariateMoments() - Constructor for class org.drip.measure.statistics.MultivariateMoments
-
- MultivariateRandom - Class in org.drip.sample.matrix
-
MultivariateRandom demonstrates the Technique to generate Correlated Multivariate Random Variables using
Cholesky Factorial Method.
- MultivariateRandom() - Constructor for class org.drip.sample.matrix.MultivariateRandom
-
- MultivariateRandom - Class in org.drip.sequence.functional
-
MultivariateRandom contains the implementation of the objective Function dependent on Multivariate Random
Variables.
- MultivariateRandom() - Constructor for class org.drip.sequence.functional.MultivariateRandom
-
- MultivariateSequence - Class in org.drip.sample.statistics
-
UnivariateSequence demonstrates the Generation of the Statistical Measures for the Input Series of
Univariate Sequences.
- MultivariateSequence() - Constructor for class org.drip.sample.statistics.MultivariateSequence
-
- MultivariateSequenceGenerator - Class in org.drip.sequence.random
-
MultivariateSequenceGenerator implements the Multivariate Random Sequence Generator Functionality.
- MultivariateSequenceGenerator(UnivariateSequenceGenerator[], double[][]) - Constructor for class org.drip.sequence.random.MultivariateSequenceGenerator
-
MultivariateSequenceGenerator Constructor
- Mumbai - Class in org.drip.sample.bondmetrics
-
Mumbai generates the Full Suite of Replication Metrics for a Sample Bond.
- Mumbai() - Constructor for class org.drip.sample.bondmetrics.Mumbai
-
- MunicipalFixedBullet1 - Class in org.drip.sample.municipal
-
MunicipalFixedBullet1 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure
Generation Functionality.
- MunicipalFixedBullet1() - Constructor for class org.drip.sample.municipal.MunicipalFixedBullet1
-
- MunicipalFixedBullet2 - Class in org.drip.sample.municipal
-
MunicipalFixedBullet2 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure
Generation Functionality.
- MunicipalFixedBullet2() - Constructor for class org.drip.sample.municipal.MunicipalFixedBullet2
-
- MunicipalFixedBullet3 - Class in org.drip.sample.municipal
-
MunicipalFixedBullet3 demonstrates Non-EOS Fixed Coupon Agency Bond Pricing and Relative Value Measure
Generation Functionality.
- MunicipalFixedBullet3() - Constructor for class org.drip.sample.municipal.MunicipalFixedBullet3
-
- municipalSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Retrieve the MUNICIPAL Sensitivity Margin Map
- municipalTenorDeltaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
-
Retrieve the MUNICIPAL Tenor Delta Risk Weight
- municipalTenorMargin(BucketSensitivitySettingsIR) - Method in class org.drip.simm.product.BucketSensitivityIR
-
Generate the MUNICIPAL Tenor Sensitivity Margin Map
- municipalTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketCurvatureSettingsIR
-
- municipalTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketSensitivitySettingsIR
-
Retrieve the MUNICIPAL Curve Tenor Risk Weight
- municipalTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
-
- municipalTenorSensitivity() - Method in class org.drip.simm.product.BucketSensitivityIR
-
Retrieve the MUNICIPAL Risk Factor Tenor Sensitivity
- municipalTenorVegaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
-
Retrieve the MUNICIPAL Tenor Vega Risk Weight
- Muzaffarnagar - Class in org.drip.sample.bondmetrics
-
Muzaffarnagar generates the Full Suite of Replication Metrics for a Sample Bond.
- Muzaffarnagar() - Constructor for class org.drip.sample.bondmetrics.Muzaffarnagar
-
- Muzaffarpur - Class in org.drip.sample.bondmetrics
-
Muzaffarpur demonstrates the Analytics Calculation/Reconciliation for the Bond Muzaffarpur.
- Muzaffarpur() - Constructor for class org.drip.sample.bondmetrics.Muzaffarpur
-
- MXCHoliday - Class in org.drip.analytics.holset
-
- MXCHoliday() - Constructor for class org.drip.analytics.holset.MXCHoliday
-
- MXNHoliday - Class in org.drip.analytics.holset
-
- MXNHoliday() - Constructor for class org.drip.analytics.holset.MXNHoliday
-
- MXNIRSAttribution - Class in org.drip.sample.fixfloatpnl
-
MXNIRSAttribution generates the Historical PnL Attribution for MXN IRS.
- MXNIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.MXNIRSAttribution
-
- MXNShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
-
MXNShapePreserving1YStart Generates the Historical MXN Shape Preserving Funding Curve Native Compounded
Forward Rate starting at 1Y Tenor.
- MXNShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.MXNShapePreserving1YStart
-
- MXNShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
-
MXNShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the
MXN Input Marks.
- MXNShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.MXNShapePreservingReconstitutor
-
- MXPHoliday - Class in org.drip.analytics.holset
-
- MXPHoliday() - Constructor for class org.drip.analytics.holset.MXPHoliday
-
- MXVHoliday - Class in org.drip.analytics.holset
-
- MXVHoliday() - Constructor for class org.drip.analytics.holset.MXVHoliday
-
- MYR - Class in org.drip.template.irs
-
MYR contains a Templated Pricing of the OTC Fix-Float MYR IRS Instrument.
- MYR() - Constructor for class org.drip.template.irs.MYR
-
- MYRHoliday - Class in org.drip.analytics.holset
-
- MYRHoliday() - Constructor for class org.drip.analytics.holset.MYRHoliday
-
- Mysore - Class in org.drip.sample.bondfixed
-
Mysore demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Mysore.
- Mysore() - Constructor for class org.drip.sample.bondfixed.Mysore
-
- oas() - Method in class org.drip.analytics.output.BondEOSMetrics
-
Retrieve the Bond Option Adjusted Spread
- oas() - Method in class org.drip.analytics.output.BondRVMeasures
-
Retrieve the OAS
- oasConvexity() - Method in class org.drip.analytics.output.BondEOSMetrics
-
Retrieve the Bond Option Adjusted Spread Convexity
- oasDuration() - Method in class org.drip.analytics.output.BondEOSMetrics
-
Retrieve the Bond Option Adjusted Spread Duration
- oasFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from ASW to Work-out
- oasFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from ASW to Maturity
- oasFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from ASW to Optimal Exercise
- oasFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Bond Basis to Work-out
- oasFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Bond Basis to Maturity
- oasFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Bond Basis to Optimal Exercise
- oasFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Credit Basis to Work-out
- oasFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Credit Basis to Maturity
- oasFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Credit Basis to Optimal Exercise
- oasFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Discount Margin to Work-out
- oasFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Discount Margin to Maturity
- oasFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Discount Margin to Optimal Exercise
- oasFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from E Spread to Work-out
- oasFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from E Spread to Maturity
- oasFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from E Spread to Optimal Exercise
- oasFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from G Spread to Work-out
- oasFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from G Spread to Maturity
- oasFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from G Spread to Optimal Exercise
- oasFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from I Spread to Work-out
- oasFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from I Spread to Maturity
- oasFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from I Spread to Optimal Exercise
- oasFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from J Spread to Work-out
- oasFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from J Spread to Maturity
- oasFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from J Spread to Optimal Exercise
- oasFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from N Spread to Work-out
- oasFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from N Spread to Maturity
- oasFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from N Spread to Optimal Exercise
- oasFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from PECS to Work-out
- oasFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from PECS to Maturity
- oasFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from PECS to Optimal Exercise
- oasFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Price to Work-out
- oasFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Price to Maturity
- oasFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Price to Optimal Exercise
- oasFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from TSY Spread to Work-out
- oasFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from TSY Spread to Maturity
- oasFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from TSY Spread to Optimal Exercise
- oasFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Yield to Work-out
- oasFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Yield to Maturity
- oasFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Yield Spread to Work-out
- oasFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Yield Spread to Maturity
- oasFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Yield Spread to Optimal Exercise
- oasFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Yield to Optimal Exercise
- oasFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Z Spread to Work-out
- oasFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Z Spread to Maturity
- oasFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- oasFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate OAS from Z Spread to Optimal Exercise
- oasTM() - Method in class org.drip.analytics.output.BondEOSMetrics
-
Retrieve the Bond Option Adjusted Spread To Maturity
- OAT1 - Class in org.drip.sample.treasuryfuturesapi
-
OAT1 demonstrates the Invocation and Examination of the OAT1 10Y FRTR Treasury Futures.
- OAT1() - Constructor for class org.drip.sample.treasuryfuturesapi.OAT1
-
- OAT1Attribution - Class in org.drip.sample.treasuryfuturespnl
-
OAT1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
OAT1 Series.
- OAT1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.OAT1Attribution
-
- OAT1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
-
OAT1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated OAT1 Closes Feed.
- OAT1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.OAT1ClosesReconstitutor
-
- OAT1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
-
OAT1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the OAT1 Treasury Futures.
- OAT1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.OAT1KeyRateDuration
-
- OBJECTIVE_FUNCTION_SEQUENCE_CONVERGENCE - Static variable in class org.drip.function.rdtor1solver.ConvergenceControl
-
Solve Using the Convergence of the Objective Function Realization
- objectiveBenchmark() - Method in class org.drip.portfolioconstruction.core.Account
-
Retrieve the Objective Benchmark Instance
- objectiveCoefficient() - Method in class org.drip.optimization.constrained.FritzJohnMultipliers
-
Retrieve the Fritz John Objective Function Multiplier
- ObjectiveConstraintVariateSet - Class in org.drip.function.rdtor1
-
ObjectiveConstraintVariateSet holds the R^d and R^1 Variates corresponding to the Objective Function and
the Constraint Function respectively.
- ObjectiveConstraintVariateSet(double[], double[]) - Constructor for class org.drip.function.rdtor1.ObjectiveConstraintVariateSet
-
ObjectiveConstraintVariate Constructor
- objectiveFunction() - Method in class org.drip.function.rdtor1.LagrangianMultivariate
-
Retrieve the Objective R^d To R^1 Function Instance
- objectiveFunction() - Method in class org.drip.function.rdtor1solver.BarrierFixedPointFinder
-
Retrieve the Objective Function
- objectiveFunction() - Method in class org.drip.function.rdtor1solver.FixedRdFinder
-
Retrieve the Objective Function
- objectiveFunction() - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Retrieve the R^d To R^1 Objective Function
- ObjectiveFunction - Class in org.drip.portfolioconstruction.optimizer
-
ObjectiveFunction holds the Terms composing the Objective Function and their Weights.
- ObjectiveFunction() - Constructor for class org.drip.portfolioconstruction.optimizer.ObjectiveFunction
-
Empty Objective Function Constructor
- objectiveFunction() - Method in class org.drip.portfolioconstruction.optimizer.Strategy
-
Retrieve the Objective Function
- objectiveFunctionDimension() - Method in class org.drip.function.rdtor1.LagrangianMultivariate
-
Retrieve the Objective Function Dimension
- ObjectiveFunctionPointMetrics - Class in org.drip.function.rdtor1solver
-
ObjectiveFunctionPointMetrics holds the R^d Point Base and Sensitivity Metrics of the Objective Function.
- ObjectiveFunctionPointMetrics(double[], double[][]) - Constructor for class org.drip.function.rdtor1solver.ObjectiveFunctionPointMetrics
-
ObjectiveFunctionPointMetrics Constructor
- ObjectiveTerm - Class in org.drip.portfolioconstruction.optimizer
-
ObjectiveTerm holds the Details of a given Objective Term.
- ObjectiveTerm(String, String, String, String, double[]) - Constructor for class org.drip.portfolioconstruction.optimizer.ObjectiveTerm
-
- objectiveTermRealizaton() - Method in class org.drip.portfolioconstruction.optimizer.RebalancerAnalytics
-
Retrieve the Map of Objective Term Realizations
- ObjectiveTermUnit - Class in org.drip.portfolioconstruction.optimizer
-
ObjectiveTermUnit holds the Details of a Single Objective Term that forms the Strategy.
- ObjectiveTermUnit(ObjectiveTerm, double) - Constructor for class org.drip.portfolioconstruction.optimizer.ObjectiveTermUnit
-
ObjectiveTermUnit Constructor
- objectiveUtility() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
-
Retrieve the Mean Variance Objective Utility Function
- objectiveUtility() - Method in class org.drip.execution.nonadaptive.StaticOptimalScheme
-
Retrieve the Optimizer Objective Utility Function
- ObjectiveUtility - Interface in org.drip.execution.risk
-
ObjectiveUtility exposes the Objective Utility Function that needs to be optimized to extract the
Optimal Execution Trajectory.
- objectiveValue() - Method in class org.drip.portfolioconstruction.optimizer.RebalancerAnalytics
-
Retrieve the Objective Term
- objectiveVariates() - Method in class org.drip.function.rdtor1.ObjectiveConstraintVariateSet
-
Retrieve the Array of the Objective Function Variates
- ObjectSpecification - Class in org.drip.xva.proto
-
ObjectSpecification contains the Specification Base of a Named Object.
- ObjectSpecification(String, String) - Constructor for class org.drip.xva.proto.ObjectSpecification
-
ObjectSpecification Constructor
- OCTOBER - Static variable in class org.drip.analytics.date.DateUtil
-
Integer Month - October
- OE1 - Class in org.drip.sample.treasuryfuturesapi
-
OE1 demonstrates the Invocation and Examination of the OE1 5Y DBR BOBL Treasury Futures.
- OE1() - Constructor for class org.drip.sample.treasuryfuturesapi.OE1
-
- OE1Attribution - Class in org.drip.sample.treasuryfuturespnl
-
OE1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
OE1 Series.
- OE1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.OE1Attribution
-
- OE1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
-
OE1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated OE1 Closes Feed.
- OE1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.OE1ClosesReconstitutor
-
- OE1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
-
OE1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the OE1 Treasury Futures.
- OE1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.OE1KeyRateDuration
-
- offset() - Method in class org.drip.execution.athl.PermanentImpactNoArbitrage
-
- offset() - Method in class org.drip.execution.impact.ParticipationRateLinear
-
Retrieve the Offset Market Impact Parameter
- offset() - Method in class org.drip.execution.impact.TransactionFunctionLinear
-
Retrieve the Offset Market Impact Parameter
- offset() - Method in class org.drip.function.r1tor1.OffsetIdempotent
-
Retrieve the Offset
- offset() - Method in class org.drip.learning.svm.RdDecisionFunction
-
Retrieve the Offset
- OffsetIdempotent - Class in org.drip.function.r1tor1
-
OffsetIdempotent provides the Implementation of the Offset Idempotent Operator - f(x) = x - C.
- OffsetIdempotent(double) - Constructor for class org.drip.function.r1tor1.OffsetIdempotent
-
OffsetIdempotent Constructor
- OISCurveQuoteSensitivity - Class in org.drip.sample.sensitivity
-
OISCurveQuoteSensitivity demonstrates the calculation of the OIS discount curve sensitivity to the
calibration instrument quotes.
- OISCurveQuoteSensitivity() - Constructor for class org.drip.sample.sensitivity.OISCurveQuoteSensitivity
-
- OISFixFloat(JulianDate, String, String, double, boolean) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Construct an Instance of OTC OIS Fix Float Swap
- OISFixFloat(JulianDate, String, String[], double[], boolean) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Construct an Array of OTC Fix Float OIS Instances
- OISFixFloatFutures(JulianDate, String, String[], String[], double[], boolean) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Construct an Array of OTC OIS Fix-Float Futures
- OISFromLIBORSwapFedFundBasis(double, double) - Static method in class org.drip.analytics.support.Helper
-
Compute the uncompounded OIS Rate from the LIBOR Swap Rate and the LIBOR Swap Rate - Fed Fund Basis.
- OISFromLIBORSwapFedFundBasis2(double, double) - Static method in class org.drip.analytics.support.Helper
-
Compute the Daily Compounded OIS Rate from the LIBOR Swap Rate and the LIBOR Swap Rate - Fed Fund
Basis.
- oisSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Retrieve the OIS Sensitivity Margin Map
- oisTenorDeltaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
-
Retrieve the OIS Tenor Delta Risk Weight
- oisTenorMargin(BucketSensitivitySettingsIR) - Method in class org.drip.simm.product.BucketSensitivityIR
-
Generate the OIS Tenor Sensitivity Margin Map
- oisTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketCurvatureSettingsIR
-
- oisTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketSensitivitySettingsIR
-
Retrieve the OIS Tenor Risk Weight
- oisTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
-
- oisTenorSensitivity() - Method in class org.drip.simm.product.BucketSensitivityIR
-
Retrieve the OIS Risk Factor Tenor Sensitivity
- oisTenorVegaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
-
Retrieve the OIS Tenor Vega Risk Weight
- omdHorizon() - Method in class org.drip.execution.principal.HorizonInformationRatioDependence
-
Retrieve the Optimal Measure Dependence for the Time Horizon
- omdInformationRatio() - Method in class org.drip.execution.principal.HorizonInformationRatioDependence
-
Retrieve the Optimal Measure Dependence for the Time Horizon
- OneWayBaselProxy - Class in org.drip.sample.xvafixfloat
-
OneWayBaselProxy simulates for various Latent States and Exposures for an Fix Float Swap and computes
the XVA Metrics using the Basel Proxy-Style Exposure Generator using Burgard Kjaer One Way CSA Vertexes.
- OneWayBaselProxy() - Constructor for class org.drip.sample.xvafixfloat.OneWayBaselProxy
-
- OneWayCSA(JulianDate, double, double, MarketEdge, CloseOut) - Static method in class org.drip.xva.vertex.BurgardKjaerBuilder
-
Construct a Standard Instance of BurgardKjaerVertex using One Way CSA
- OpenRegressorSet - Class in org.drip.regression.fixedpointfinder
-
OpenRegressorSet implements the regression run for the Open (i.e., Newton) Fixed Point Search Method.
- OpenRegressorSet() - Constructor for class org.drip.regression.fixedpointfinder.OpenRegressorSet
-
- OperatorClassCoveringBounds - Interface in org.drip.spaces.cover
-
- operatorNorm() - Method in class org.drip.spaces.cover.MaureyOperatorCoveringBounds
-
Retrieve the Operator Norm of Interest
- operatorPopulationMetricNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
-
- operatorPopulationMetricNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
- operatorPopulationMetricNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
-
Compute the Operator Population Metric Norm
- operatorPopulationSupremumNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
-
- operatorPopulationSupremumNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
- operatorPopulationSupremumNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
-
Compute the Operator Population Supremum Norm
- operatorSampleMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
-
- operatorSampleMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
- operatorSampleMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
-
Compute the Operator Sample Metric Norm
- operatorSampleSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
-
- operatorSampleSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
- operatorSampleSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
-
Compute the Operator Sample Supremum Norm
- optimalExerciseConvexity() - Method in class org.drip.analytics.output.BondEOSMetrics
-
Retrieve the Optimal Exercise Convexity UDT
- optimalExerciseDuration() - Method in class org.drip.analytics.output.BondEOSMetrics
-
Retrieve the Optimal Exercise Duration UDT
- optimalExerciseOAS() - Method in class org.drip.analytics.output.BondEOSMetrics
-
Retrieve the Optimal Exercise OAS UDT
- optimalExerciseOASGap() - Method in class org.drip.analytics.output.BondEOSMetrics
-
Retrieve the Optimal Exercise OAS Gap UDT
- optimalExercisePrice() - Method in class org.drip.analytics.output.BondEOSMetrics
-
Retrieve the Optimal Exercise Price UDT
- optimalExerciseValue() - Method in class org.drip.analytics.output.BondEOSMetrics
-
Retrieve the Optimal Exercise Value UDT
- optimalInformationRatio(double) - Method in class org.drip.execution.principal.Almgren2003Estimator
-
Compute the Optimal Information Ratio
- optimalInformationRatioHorizon(double) - Method in class org.drip.execution.principal.Almgren2003Estimator
-
Generate the Horizon that results in the Optimal Information Ratio
- OptimalMeasureDependence - Class in org.drip.execution.principal
-
OptimalMeasureDependence contains the Dependence Exponents on Liquidity, Trade Size, and Permanent Impact
Adjusted Principal Discount for the Optimal Principal Horizon and the Optional Information Ratio.
- OptimalMeasureDependence(double, double, double, double, double) - Constructor for class org.drip.execution.principal.OptimalMeasureDependence
-
OptimalMeasureDependence Constructor
- optimalMeasures() - Method in class org.drip.execution.principal.Almgren2003Estimator
-
Generate the Constant/Exponent Dependencies on the Market Parameters for the Optimal Execution Horizon
/ Information Ratio
- OptimalMeasuresConstantExponent - Class in org.drip.sample.principal
-
OptimalMeasuresConstantExponent demonstrates the Dependence Exponents on Liquidity, Trade Size, and
Permanent Impact Adjusted Principal Discount for the Optimal Principal Horizon and the Optional
Information Ratio.
- OptimalMeasuresConstantExponent() - Constructor for class org.drip.sample.principal.OptimalMeasuresConstantExponent
-
- OptimalMeasuresDiscountDependence - Class in org.drip.sample.principal
-
OptimalMeasuresDiscountDependence demonstrates the Dependence of the Optimal Principal Measures on the
Discount.
- OptimalMeasuresDiscountDependence() - Constructor for class org.drip.sample.principal.OptimalMeasuresDiscountDependence
-
- OptimalMeasuresReconciler - Class in org.drip.sample.principal
-
OptimalMeasuresReconciler reconciles the Dependence Exponents on Liquidity, Trade Size, and Permanent
Impact Adjusted Principal Discount for the Optimal Principal Horizon and the Optional Information Ratio
with Almgren and Chriss (2003).
- OptimalMeasuresReconciler() - Constructor for class org.drip.sample.principal.OptimalMeasuresReconciler
-
- optimalMetrics() - Method in class org.drip.portfolioconstruction.allocator.OptimizationOutput
-
Retrieve the Optimal Portfolio Metrics
- optimalPortfolio() - Method in class org.drip.portfolioconstruction.allocator.OptimizationOutput
-
Retrieve the Optimal Portfolio Instance
- optimalPortfolios() - Method in class org.drip.portfolioconstruction.mpt.MarkovitzBullet
-
Retrieve the Map of Optimal Portfolios
- OptimalSerialCorrelationAdjustment - Class in org.drip.execution.discrete
-
OptimalSerialCorrelationAdjustment contains an Estimate of the Optimal Adjustments attributable to Cross
Period Serial Price Correlations over the Slice Time Interval.
- OptimalSerialCorrelationAdjustment(double, double) - Constructor for class org.drip.execution.discrete.OptimalSerialCorrelationAdjustment
-
OptimalSerialCorrelationAdjustment Constructor
- OptimalSerialCorrelationImpact - Class in org.drip.sample.almgrenchriss
-
OptimalSerialCorrelationImpact estimates the Optimal Adjustment to the Optimal Trading Trajectory
attributable to Serial Correlation in accordance with the Specification of Almgren and Chriss (2000) for
the given Risk Aversion Parameter without the Asset Drift.
- OptimalSerialCorrelationImpact() - Constructor for class org.drip.sample.almgrenchriss.OptimalSerialCorrelationImpact
-
- OptimalTrajectoryDRI - Class in org.drip.sample.athl
-
OptimalTrajectoryDRI demonstrates the Trade Scheduling using the Equity Market Impact Functions determined
empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for
DRI.
- OptimalTrajectoryDRI() - Constructor for class org.drip.sample.athl.OptimalTrajectoryDRI
-
- OptimalTrajectoryIBM - Class in org.drip.sample.athl
-
OptimalTrajectoryIBM demonstrates the Trade Scheduling using the Equity Market Impact Functions determined
empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for
IBM.
- OptimalTrajectoryIBM() - Constructor for class org.drip.sample.athl.OptimalTrajectoryIBM
-
- OptimalTrajectoryMeasures - Class in org.drip.sample.principal
-
OptimalTrajectoryMeasures demonstrates the Trade Scheduling using the Equity Market Impact Functions
determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren
(2003) for IBM.
- OptimalTrajectoryMeasures() - Constructor for class org.drip.sample.principal.OptimalTrajectoryMeasures
-
- OptimalTrajectoryNoDrift - Class in org.drip.sample.almgrenchriss
-
OptimalTrajectoryNoDrift demonstrates the Generation of the Optimal Trading Trajectory in accordance with
the Specification of Almgren and Chriss (2000) for the given Risk Aversion Parameter without the Asset
Drift.
- OptimalTrajectoryNoDrift() - Constructor for class org.drip.sample.almgrenchriss.OptimalTrajectoryNoDrift
-
- OptimalTrajectoryNoDrift - Class in org.drip.sample.lvar
-
OptimalTrajectoryNoDrift generates the Trade/Holdings List of Optimal Execution Schedule based on the
Evolution Walk Parameters specified according to the Liquidity VaR Optimal Objective Function, exclusive
of Drift.
- OptimalTrajectoryNoDrift() - Constructor for class org.drip.sample.lvar.OptimalTrajectoryNoDrift
-
- OptimalTrajectoryTradeAnalysis - Class in org.drip.sample.athl
-
OptimalTrajectoryTradeAnalysis analyzes the Impact of Input Parameters on the Trade Scheduling using the
Equity Market Impact Functions determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using
the Parameterization of Almgren (2003) for IBM.
- OptimalTrajectoryTradeAnalysis() - Constructor for class org.drip.sample.athl.OptimalTrajectoryTradeAnalysis
-
- OptimalTrajectoryVolatilityAnalysis - Class in org.drip.sample.athl
-
OptimalTrajectoryVolatilityAnalysis analyzes the Impact of Input Parameters on the Trade Scheduling using
the Equity Market Impact Functions determined empirically by Almgren, Thum, Hauptmann, and Li (2005),
using the Parameterization of Almgren (2003) for IBM.
- OptimalTrajectoryVolatilityAnalysis() - Constructor for class org.drip.sample.athl.OptimalTrajectoryVolatilityAnalysis
-
- OptimalTrajectoryWithDrift - Class in org.drip.sample.almgrenchriss
-
OptimalTrajectoryWithDrift demonstrates the Generation of the Optimal Trading Trajectory in accordance with
the Specification of Almgren and Chriss (2000) for the given Risk Aversion Parameter inclusive of the
Asset Drift.
- OptimalTrajectoryWithDrift() - Constructor for class org.drip.sample.almgrenchriss.OptimalTrajectoryWithDrift
-
- OptimalTrajectoryWithDrift - Class in org.drip.sample.lvar
-
OptimalTrajectoryWithDrift generates the Trade/Holdings List of Optimal Execution Schedule based on the
Evolution Walk Parameters specified according to the Liquidity VaR Optimal Objective Function, inclusive
of Drift.
- OptimalTrajectoryWithDrift() - Constructor for class org.drip.sample.lvar.OptimalTrajectoryWithDrift
-
- OptimizationFramework - Class in org.drip.optimization.constrained
-
OptimizationFramework holds the Non Linear Objective Function and the Collection of Equality and the
Inequality Constraints that correspond to the Optimization Setup.
- OptimizationFramework(RdToR1, RdToR1[], RdToR1[]) - Constructor for class org.drip.optimization.constrained.OptimizationFramework
-
OptimizationFramework Constructor
- OptimizationOutput - Class in org.drip.portfolioconstruction.allocator
-
OptimizationOutput holds the Output of an Optimal Portfolio Construction Run, i.e., the Optimal Asset
Weights in the Portfolio and the related Portfolio Metrics.
- OptimizationOutput(Portfolio, PortfolioMetrics) - Constructor for class org.drip.portfolioconstruction.allocator.OptimizationOutput
-
OptimizationOutput Constructor
- optimize() - Method in class org.drip.portfolioconstruction.optimizer.Rebalancer
-
Conduct an Optimization Run to Generate the Rebalancer Analytics
- optimizeClassificationHyperplane(short[], double, double) - Method in class org.drip.learning.svm.RdDecisionFunction
-
Optimize the Hyper-plane for the Purposes of Classification
- optimizeRegressionHyperplane(double[], double, double) - Method in class org.drip.learning.svm.RdDecisionFunction
-
Optimize the Hyper-plane for the Purposes of Regression
- optimizerSettings() - Method in class org.drip.portfolioconstruction.allocator.PortfolioConstructionParameters
-
Retrieve the Instance of the Quadratic Custom Risk Utility Settings
- OptionComponent - Class in org.drip.product.option
-
OptionComponent extends ComponentMarketParamRef and provides the following methods:
- Get the component's initial notional, notional, and coupon.
- OptionComponent(String, Component, String, double, double, LastTradingDateSetting, CashSettleParams) - Constructor for class org.drip.product.option.OptionComponent
-
- OptionHelper - Class in org.drip.analytics.support
-
OptionHelper contains the collection of the option valuation related utility functions used by the modules.
- OptionHelper() - Constructor for class org.drip.analytics.support.OptionHelper
-
- optionPV() - Method in class org.drip.product.calib.VolatilityProductQuoteSet
-
Retrieve the PV of an Option on the Product
- OracleInit(String) - Static method in class org.drip.param.config.ConfigLoader
-
Initialize the Oracle database from the connection parameters set in the XML Configuration file
- order() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectoryControl
-
Generate the Order Specification corresponding to the Trajectory Control
- order() - Method in class org.drip.exposure.regression.PykhtinPillar
-
Retrieve the Point Exposure Order
- order() - Method in class org.drip.optimization.necessary.ConditionQualifier
-
Retrieve the Condition Qualifier Order
- order() - Method in class org.drip.portfolioconstruction.optimizer.ConstraintHierarchy
-
Retrieve the Array of Constraint Term Order
- orderedComponents(double[][]) - Method in class org.drip.quant.eigen.QREigenComponentExtractor
-
Generate the Ordered List of Eigen Components arranged by Ascending Eigenvalue
- orderedEigenList(EigenOutput) - Method in class org.drip.quant.eigen.QREigenComponentExtractor
-
Generate the Order List of Eigenvalues for the specified Eigen-output
- orderSize() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant
-
Retrieve the Order Size
- orderSpecification() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
-
Retrieve the Order Specification
- orderSpecification() - Method in class org.drip.execution.nonadaptive.StaticOptimalSchemeContinuous
-
Retrieve the Order Specification
- OrderSpecification - Class in org.drip.execution.strategy
-
OrderSpecification contains the Parameters that constitute an Order, namely the Size and the Execution
Time.
- OrderSpecification(double, double) - Constructor for class org.drip.execution.strategy.OrderSpecification
-
OrderSpecification Constructor
- org.drip.analytics.cashflow - package org.drip.analytics.cashflow
-
Unit/Composite Cash Flow Periods.
- org.drip.analytics.date - package org.drip.analytics.date
-
Date/Time Creation/Manipulation/Usage
- org.drip.analytics.daycount - package org.drip.analytics.daycount
-
Day Count Year Fraction Utilities
- org.drip.analytics.definition - package org.drip.analytics.definition
-
Latent State Curves, Surfaces, Turns
- org.drip.analytics.eventday - package org.drip.analytics.eventday
-
Fixed/Variable Custom Holiday Creation
- org.drip.analytics.holset - package org.drip.analytics.holset
-
Built in Locale Holiday Set
- org.drip.analytics.input - package org.drip.analytics.input
-
Curve Surface Construction Customization Inputs
- org.drip.analytics.output - package org.drip.analytics.output
-
Period Product Targeted Valuation Measures
- org.drip.analytics.support - package org.drip.analytics.support
-
Assorted Support and Helper Utilities
- org.drip.assetbacked.borrower - package org.drip.assetbacked.borrower
-
Asset Backed Loan Borrower Characteristics
- org.drip.assetbacked.loan - package org.drip.assetbacked.loan
-
Asset Backed Loan Level Characteristics
- org.drip.dynamics.evolution - package org.drip.dynamics.evolution
-
Latent State Evolution Edges/Vertexes
- org.drip.dynamics.hjm - package org.drip.dynamics.hjm
-
HJM Based Latent State Evolution
- org.drip.dynamics.hullwhite - package org.drip.dynamics.hullwhite
-
Hull White Latent State Evolution
- org.drip.dynamics.lmm - package org.drip.dynamics.lmm
-
LMM Based Latent State Evolution
- org.drip.dynamics.sabr - package org.drip.dynamics.sabr
-
SABR Based Latent State Evolution
- org.drip.execution.adaptive - package org.drip.execution.adaptive
-
Coordinate Variation Based Adaptive Execution
- org.drip.execution.athl - package org.drip.execution.athl
-
Almgren-Thum-Hauptmann-Li Calibration
- org.drip.execution.bayesian - package org.drip.execution.bayesian
-
Bayesian Price Based Optimal Execution
- org.drip.execution.capture - package org.drip.execution.capture
-
Execution Trajectory Transaction Cost Capture
- org.drip.execution.cost - package org.drip.execution.cost
-
Linear Temporary Market Impact Cost
- org.drip.execution.discrete - package org.drip.execution.discrete
-
Trajectory Slice Execution Cost Distribution
- org.drip.execution.dynamics - package org.drip.execution.dynamics
-
Arithmetic Price Evolution Execution Parameters
- org.drip.execution.evolution - package org.drip.execution.evolution
-
Execution Cost Market Impact Decomposition
- org.drip.execution.hjb - package org.drip.execution.hjb
-
Optimal Hamilton-Jacobi-Bellman Execution
- org.drip.execution.impact - package org.drip.execution.impact
-
Market Impact Transaction Function Implementation
- org.drip.execution.latent - package org.drip.execution.latent
-
Correlated Latent Market State Sequence
- org.drip.execution.nonadaptive - package org.drip.execution.nonadaptive
-
Almgren-Chriss Static Optimal Trajectory
- org.drip.execution.optimum - package org.drip.execution.optimum
-
Almgren-Chriss Efficient Trading Trajectories
- org.drip.execution.parameters - package org.drip.execution.parameters
-
Empirical Market Impact Coefficients Calibration
- org.drip.execution.principal - package org.drip.execution.principal
-
Information Ratio Based Principal Trades
- org.drip.execution.profiletime - package org.drip.execution.profiletime
-
Participation Rate Profile Time Models
- org.drip.execution.risk - package org.drip.execution.risk
-
Optimal Execution MVO Efficient Frontier
- org.drip.execution.sensitivity - package org.drip.execution.sensitivity
-
Trajectory Control Nodes Sensitivity Greeks
- org.drip.execution.strategy - package org.drip.execution.strategy
-
Discrete/Continuous Trading Trajectory Schedule
- org.drip.execution.tradingtime - package org.drip.execution.tradingtime
-
Coordinated Variation Trading Time Models
- org.drip.exposure.csadynamics - package org.drip.exposure.csadynamics
-
CSA Numeraire Basis/Measure Dynamics
- org.drip.exposure.csatimeline - package org.drip.exposure.csatimeline
-
Time-line of IMA/CSA Event Dates
- org.drip.exposure.evolver - package org.drip.exposure.evolver
-
Securities and Exposure States Evolvers
- org.drip.exposure.generator - package org.drip.exposure.generator
-
Rates Stream Margin Period Exposure
- org.drip.exposure.holdings - package org.drip.exposure.holdings
-
Holdings Exposure - Position and Dependencies
- org.drip.exposure.mpor - package org.drip.exposure.mpor
-
Margin Period Collateral Amount Estimation
- org.drip.exposure.regression - package org.drip.exposure.regression
-
Regression Based Path Exposure Generation
- org.drip.exposure.regressiontrade - package org.drip.exposure.regressiontrade
-
Exposure Regression under Margin and Trade Payments
- org.drip.exposure.universe - package org.drip.exposure.universe
-
Exposure Generation - Market States Simulation
- org.drip.feed.loader - package org.drip.feed.loader
-
Reference/Market Data Feed Loader
- org.drip.feed.metric - package org.drip.feed.metric
-
Feed Horizon - PnL Explain/Attribution
- org.drip.feed.transformer - package org.drip.feed.transformer
-
Market Data Reconstitutive Feed Transformer
- org.drip.function.definition - package org.drip.function.definition
-
Function Execution Ancillary Support Objects
- org.drip.function.r1tor1 - package org.drip.function.r1tor1
-
Built-in R^1 To R^1 Functions
- org.drip.function.r1tor1solver - package org.drip.function.r1tor1solver
-
Built-in R^1 To R^1 Solvers
- org.drip.function.rdtor1 - package org.drip.function.rdtor1
-
Built-in R^d To R^1 Functions
- org.drip.function.rdtor1descent - package org.drip.function.rdtor1descent
-
R^d To R^1 Gradient Descent Techniques
- org.drip.function.rdtor1solver - package org.drip.function.rdtor1solver
-
Built-in R^d To R^1 Solvers
- org.drip.historical.attribution - package org.drip.historical.attribution
-
Position Market Change Components Attribution
- org.drip.historical.engine - package org.drip.historical.engine
-
Product Horizon Change Explain Engine
- org.drip.historical.sensitivity - package org.drip.historical.sensitivity
-
Product Horizon Change Tenor Sensitivity
- org.drip.historical.state - package org.drip.historical.state
-
Historical Implied Curve Node Metrics
- org.drip.json.assetallocation - package org.drip.json.assetallocation
-
JSON Based In/Out Service
- org.drip.json.parser - package org.drip.json.parser
-
RFC4627 Compliant JSON Message Parser
- org.drip.json.simple - package org.drip.json.simple
-
RFC4627 Compliant JSON Message Object
- org.drip.learning.bound - package org.drip.learning.bound
-
Covering Numbers, Concentration, Lipschitz Bounds
- org.drip.learning.kernel - package org.drip.learning.kernel
-
Statistical Learning Banach Mercer Kernels
- org.drip.learning.regularization - package org.drip.learning.regularization
-
Statistical Learning Empircal Loss Regularizer
- org.drip.learning.rxtor1 - package org.drip.learning.rxtor1
-
Statistical Learning Empirical Loss Penalizer
- org.drip.learning.svm - package org.drip.learning.svm
-
Kernal SVM Decision Function Operator
- org.drip.market.definition - package org.drip.market.definition
-
IBOR, FX, Overnight Index Container
- org.drip.market.exchange - package org.drip.market.exchange
-
Deliverable Swap, STIR, Treasury Futures
- org.drip.market.issue - package org.drip.market.issue
-
Market Issued Treasury Setting Container
- org.drip.market.otc - package org.drip.market.otc
-
OTC Dual Stream Option Container
- org.drip.measure.bayesian - package org.drip.measure.bayesian
-
Prior, Conditional, Posterior Theil Bayesian
- org.drip.measure.bridge - package org.drip.measure.bridge
-
Broken Date Brownian Bridge Interpolator
- org.drip.measure.continuous - package org.drip.measure.continuous
-
R^1 R^d Continuous Random Measure
- org.drip.measure.crng - package org.drip.measure.crng
-
Continuous Random Number Stream Generator
- org.drip.measure.discrete - package org.drip.measure.discrete
-
Antithetic, Quadratically Re-sampled, De-biased Distribution
- org.drip.measure.dynamics - package org.drip.measure.dynamics
-
Jump Diffusion Evolution Evaluator Variants
- org.drip.measure.gaussian - package org.drip.measure.gaussian
-
R^1 R^d Covariant Gaussian Quadrature
- org.drip.measure.joint - package org.drip.measure.joint
-
R^d Vertex Edge Realization Evolution
- org.drip.measure.lebesgue - package org.drip.measure.lebesgue
-
Uniform Piece-wise Lebesgue Measure
- org.drip.measure.process - package org.drip.measure.process
-
Jump Diffusion Evolver Process Variants
- org.drip.measure.realization - package org.drip.measure.realization
-
Stochastic Jump Diffusion Vertex Edge
- org.drip.measure.statistics - package org.drip.measure.statistics
-
R^1 R^d Thin Thick Moments
- org.drip.measure.stochastic - package org.drip.measure.stochastic
-
R^1 R^1 To R^1 Process
- org.drip.optimization.constrained - package org.drip.optimization.constrained
-
KKT Fritz-John Constrained Optimizer
- org.drip.optimization.necessary - package org.drip.optimization.necessary
-
Constrained Optimizer Necessary Sufficient Conditions
- org.drip.optimization.regularity - package org.drip.optimization.regularity
-
Constrained Optimizer Regularity Qualifier Conditions
- org.drip.param.config - package org.drip.param.config
-
Library Level Configuration Parameters Setting
- org.drip.param.creator - package org.drip.param.creator
-
Market Curves Surfaces Quotes Builder
- org.drip.param.definition - package org.drip.param.definition
-
Latent State Quantification Metrics Tweak
- org.drip.param.market - package org.drip.param.market
-
Curves Surfaces Quotes Fixings Container
- org.drip.param.period - package org.drip.param.period
-
Composite Composable Period Builder Settings
- org.drip.param.pricer - package org.drip.param.pricer
-
Pricing Parameters Customization Settings Control
- org.drip.param.quote - package org.drip.param.quote
-
Multi-sided Multi-Measure Ticks Quotes
- org.drip.param.quoting - package org.drip.param.quoting
-
Quoting Convention Valuation Customization Parameters
- org.drip.param.valuation - package org.drip.param.valuation
-
Valuation Settlement and Valuation Customization Parameters
- org.drip.portfolioconstruction.allocator - package org.drip.portfolioconstruction.allocator
-
MVO Based Portfolio Allocation Construction
- org.drip.portfolioconstruction.alm - package org.drip.portfolioconstruction.alm
-
Sharpe-Tint Asset Liability Manager
- org.drip.portfolioconstruction.asset - package org.drip.portfolioconstruction.asset
-
Asset Characteristics, Bounds, Portfolio Benchmarks
- org.drip.portfolioconstruction.bayesian - package org.drip.portfolioconstruction.bayesian
-
Black Litterman Bayesian Portfolio Construction
- org.drip.portfolioconstruction.composite - package org.drip.portfolioconstruction.composite
-
Portfolio Construction Component Groups Suite
- org.drip.portfolioconstruction.constraint - package org.drip.portfolioconstruction.constraint
-
Portfolio Construction Constraint Term Suite
- org.drip.portfolioconstruction.core - package org.drip.portfolioconstruction.core
-
Core Portfolio Construction Component Suite
- org.drip.portfolioconstruction.cost - package org.drip.portfolioconstruction.cost
-
Transaction Charge Objective Term Suite
- org.drip.portfolioconstruction.mpt - package org.drip.portfolioconstruction.mpt
-
Security Characteristic Capital Allocation Lines
- org.drip.portfolioconstruction.objective - package org.drip.portfolioconstruction.objective
-
Portfolio Construction Objective Term Suite
- org.drip.portfolioconstruction.optimizer - package org.drip.portfolioconstruction.optimizer
-
Core Portfolio Construction Optimizer Suite
- org.drip.portfolioconstruction.params - package org.drip.portfolioconstruction.params
-
Asset Universe Statistical Properties Container
- org.drip.portfolioconstruction.risk - package org.drip.portfolioconstruction.risk
-
Portfolio Construction Risk/Covariance Component
- org.drip.pricer.option - package org.drip.pricer.option
-
Deterministic/Stochastic Volatility Settings/Greeks
- org.drip.product.calib - package org.drip.product.calib
-
Curve/Surface Calibration Quote Sets
- org.drip.product.creator - package org.drip.product.creator
-
Streams and Products Construction Utilities
- org.drip.product.credit - package org.drip.product.credit
-
Credit Products - Components and Baskets
- org.drip.product.definition - package org.drip.product.definition
-
Fixed Income Components/Baskets Definitions
- org.drip.product.fra - package org.drip.product.fra
-
Standard/Market FRAs - Caps/Floors
- org.drip.product.fx - package org.drip.product.fx
-
FX Forwards, Cross Currency Swaps
- org.drip.product.govvie - package org.drip.product.govvie
-
Treasury Bills, Notes, Bonds, Futures
- org.drip.product.option - package org.drip.product.option
-
Options on Fixed Income Components
- org.drip.product.params - package org.drip.product.params
-
Fixed Income Product Customization Parameters
- org.drip.product.rates - package org.drip.product.rates
-
Fixed Income Multi-Stream Components
- org.drip.quant.calculus - package org.drip.quant.calculus
-
R^1 To R^1 Numerical Integration Differentiation
- org.drip.quant.common - package org.drip.quant.common
-
Primitives/Array Manipulate Format Display
- org.drip.quant.eigen - package org.drip.quant.eigen
-
QR PICE Eigen Component Extractor
- org.drip.quant.fourier - package org.drip.quant.fourier
-
Fourier - Rotation Counter, Phase Adjuster
- org.drip.quant.linearalgebra - package org.drip.quant.linearalgebra
-
Linear Algebra Matrix Transform Library
- org.drip.regression.core - package org.drip.regression.core
-
Regression Engine Core: Unit Regressors
- org.drip.regression.curve - package org.drip.regression.curve
-
Curve Construction/Reconciliation Regression Engine
- org.drip.regression.curvejacobian - package org.drip.regression.curvejacobian
-
Curve Jacobian Reconciliation Regression Engine
- org.drip.regression.fixedpointfinder - package org.drip.regression.fixedpointfinder
-
Fixed Point Finder Regression Engine
- org.drip.regression.spline - package org.drip.regression.spline
-
Custom Basis Spline Regression Engine
- org.drip.sample.agency - package org.drip.sample.agency
-
Agency Bond Demonstration Sample
- org.drip.sample.algo - package org.drip.sample.algo
-
C^x R^x In-Place Manipulation
- org.drip.sample.alm - package org.drip.sample.alm
-
Sharpe-Tint-Yotsuzuka ALM Module
- org.drip.sample.almgren2003 - package org.drip.sample.almgren2003
-
Almgren (2003) Power Law Liquidity
- org.drip.sample.almgren2009 - package org.drip.sample.almgren2009
-
Almgren (2009) Optimal Adaptive HJB
- org.drip.sample.almgren2012 - package org.drip.sample.almgren2012
-
Almgren (2012) Dynamic Optimal Adaptive
- org.drip.sample.almgrenchriss - package org.drip.sample.almgrenchriss
-
Almgren Chriss Efficient Frontier Trajectories
- org.drip.sample.andersen2017vm - package org.drip.sample.andersen2017vm
-
Andersen Pykhtin Sokol Regression VM
- org.drip.sample.assetallocation - package org.drip.sample.assetallocation
-
MVO Based Constrained Optimal Allocator
- org.drip.sample.assetallocationexcel - package org.drip.sample.assetallocationexcel
-
Asset-Bound Allocator Excel Reconciliation
- org.drip.sample.assetbacked - package org.drip.sample.assetbacked
-
ABS Custom Cash Flow Bonds
- org.drip.sample.athl - package org.drip.sample.athl
-
Almgren-Thum-Hauptmann-Li Estimator
- org.drip.sample.blacklitterman - package org.drip.sample.blacklitterman
-
Canonical Black Litterman and Extensions
- org.drip.sample.bloomberg - package org.drip.sample.bloomberg
-
Bloomberg CDSO CDSW SWPM YAS
- org.drip.sample.bond - package org.drip.sample.bond
-
Bullet, EOS Bond Metrics + Curve
- org.drip.sample.bondapi - package org.drip.sample.bondapi
-
Fixed Coupon KRD + RV Measures
- org.drip.sample.bondeos - package org.drip.sample.bondeos
-
EOS Bond Bullet/Exercise Measures
- org.drip.sample.bondfixed - package org.drip.sample.bondfixed
-
Fixed Coupon Agency/Corporate Bonds
- org.drip.sample.bondfloat - package org.drip.sample.bondfloat
-
Floating Coupon Bullet Corporate Bond
- org.drip.sample.bondmetrics - package org.drip.sample.bondmetrics
-
Bond Relative Value Replication Demonstration
- org.drip.sample.bondsink - package org.drip.sample.bondsink
-
Sinkable Amortizing Capitalizing Bond Analytics
- org.drip.sample.bondswap - package org.drip.sample.bondswap
-
Swap-Index Bond Analytics Metrics
- org.drip.sample.burgard2011 - package org.drip.sample.burgard2011
-
Burgard Kjaer (2011) PDE Evolver
- org.drip.sample.burgard2012 - package org.drip.sample.burgard2012
-
Burgard Kjaer (2012) Valuation Adjustments
- org.drip.sample.burgard2013 - package org.drip.sample.burgard2013
-
Burgard Kjaer (2013) Valuation Adjustments
- org.drip.sample.capfloor - package org.drip.sample.capfloor
-
FRA Standard Cap Floor Valuation
- org.drip.sample.cashflow - package org.drip.sample.cashflow
-
Fixed Income Product Cash Flow Display
- org.drip.sample.classifier - package org.drip.sample.classifier
-
Binary Classifier Supremum Bounds Estimator
- org.drip.sample.cma - package org.drip.sample.cma
-
LATAM Corporate and Sovereign Bonds
- org.drip.sample.cms - package org.drip.sample.cms
-
Dual Stream Constant Maturity Swap
- org.drip.sample.corporate - package org.drip.sample.corporate
-
Corporate Bond RV Analytics Demonstration Sample
- org.drip.sample.coveringnumber - package org.drip.sample.coveringnumber
-
Agnostic Function Covering Number Bounds
- org.drip.sample.credit - package org.drip.sample.credit
-
Single Name Portfolio CDS Analytics
- org.drip.sample.creditfeed - package org.drip.sample.creditfeed
-
CDX NA IG Series Reconstitutor
- org.drip.sample.credithistorical - package org.drip.sample.credithistorical
-
CDX NA IG Historical Metrics
- org.drip.sample.creditindexpnl - package org.drip.sample.creditindexpnl
-
CDX NA IG PnL Attribution
- org.drip.sample.creditoption - package org.drip.sample.creditoption
-
CDS Single Name Index Option
- org.drip.sample.cross - package org.drip.sample.cross
-
Single/Dual Stream XCCY Component
- org.drip.sample.csaevents - package org.drip.sample.csaevents
-
Time-line of IMA/CSA Event Sequences
- org.drip.sample.date - package org.drip.sample.date
-
Calendar Date Roll Day Count
- org.drip.sample.descentverifier - package org.drip.sample.descentverifier
-
Armijo/Wolfe Strong/Weak Curvature
- org.drip.sample.dual - package org.drip.sample.dual
-
G7 Standard Cross Currency Swap
- org.drip.sample.efficientfrontier - package org.drip.sample.efficientfrontier
-
Efficient Frontier Markovitz Bullet Variants
- org.drip.sample.efronstein - package org.drip.sample.efronstein
-
Efron Stein Sequence Sum Bounds
- org.drip.sample.env - package org.drip.sample.env
-
Environment Module Loader Cache Manager
- org.drip.sample.execution - package org.drip.sample.execution
-
Nonlinear Trading Enhanced Market Impact
- org.drip.sample.fedfund - package org.drip.sample.fedfund
-
Overnight/Composite Fed Fund LIBOR
- org.drip.sample.fixfloat - package org.drip.sample.fixfloat
-
Coupon, Floater, Amortizing IRS Variants
- org.drip.sample.fixfloatoption - package org.drip.sample.fixfloatoption
-
Fix Float Payer Receiver Options
- org.drip.sample.fixfloatpnl - package org.drip.sample.fixfloatpnl
-
Fix Float PnL Attribution Decomposition
- org.drip.sample.floatfloat - package org.drip.sample.floatfloat
-
Float Float OTC Index Definitions
- org.drip.sample.forward - package org.drip.sample.forward
-
IBOR Spline Forward Curve Construction
- org.drip.sample.forwardratefutures - package org.drip.sample.forwardratefutures
-
Jurisdiction IRS Futures Options Definition
- org.drip.sample.forwardratefuturesfeed - package org.drip.sample.forwardratefuturesfeed
-
Forward Rate Futures Feed Reconstitutor
- org.drip.sample.forwardratefuturespnl - package org.drip.sample.forwardratefuturespnl
-
Forward Rate Futures PnL Attribution
- org.drip.sample.forwardvolatility - package org.drip.sample.forwardvolatility
-
Custom Spline Forward Volatility Surface
- org.drip.sample.fra - package org.drip.sample.fra
-
Multi-Curve FRA Market/Standard
- org.drip.sample.funding - package org.drip.sample.funding
-
Shape Preserving Local Funding Curve
- org.drip.sample.fundingfeed - package org.drip.sample.fundingfeed
-
Smooth Shape Preserving Funding Feed
- org.drip.sample.fundinghistorical - package org.drip.sample.fundinghistorical
-
Smooth Shape Preserving Funding Historical
- org.drip.sample.fx - package org.drip.sample.fx
-
Smooth Shape Preserving FX Curve
- org.drip.sample.govvie - package org.drip.sample.govvie
-
Boot/Spline Govvie Curve Construction
- org.drip.sample.govviemc - package org.drip.sample.govviemc
-
Monte Carlo Govvie Path Vertexes
- org.drip.sample.graph - package org.drip.sample.graph
-
Graph Traversal and Navigation Algorithms
- org.drip.sample.helitterman - package org.drip.sample.helitterman
-
He Litterman (1999) Projection Loadings
- org.drip.sample.hjm - package org.drip.sample.hjm
-
HJM Multi-Factor Principal Dynamics
- org.drip.sample.hullwhite - package org.drip.sample.hullwhite
-
Hull White Trinomial Tree Dynamics
- org.drip.sample.idzorek - package org.drip.sample.idzorek
-
Idzorek (2004) User Confidence Tilt
- org.drip.sample.intexfeed - package org.drip.sample.intexfeed
-
Custom Curve Forward Projection Metrics
- org.drip.sample.json - package org.drip.sample.json
-
RFC4627 Compliant JSON Lexer Serializer
- org.drip.sample.lmm - package org.drip.sample.lmm
-
LMM Multi-Factor Monte Carlo
- org.drip.sample.loan - package org.drip.sample.loan
-
Loan Relative Value Metrics Generation
- org.drip.sample.lvar - package org.drip.sample.lvar
-
Liquidity VaR Based Optimal Trajectory
- org.drip.sample.matrix - package org.drip.sample.matrix
-
Cholesky Factorization, PCA, and Eigenization
- org.drip.sample.measure - package org.drip.sample.measure
-
Lebesgue Measure Brownian Bridge Interpolation
- org.drip.sample.mporfixfloat - package org.drip.sample.mporfixfloat
-
CSA Enforced Fix-Float MPoR
- org.drip.sample.mporfixfloatxva - package org.drip.sample.mporfixfloatxva
-
OTC Fix-Float MPoR XVA
- org.drip.sample.mporstream - package org.drip.sample.mporstream
-
CSA Enforced Stream Path MPoR
- org.drip.sample.multicurve - package org.drip.sample.multicurve
-
Multi-Curve Construction and Valuation
- org.drip.sample.municipal - package org.drip.sample.municipal
-
Municipal Bond Analytics Sample Demonstration
- org.drip.sample.netting - package org.drip.sample.netting
-
Netting Portfolio Group Simulation Aggregation
- org.drip.sample.numeraire - package org.drip.sample.numeraire
-
R^1 Joint Jump Diffusion Numeraire
- org.drip.sample.numerical - package org.drip.sample.numerical
-
Search, Quadratures, Fourier Phase Tracker
- org.drip.sample.ois - package org.drip.sample.ois
-
Index/Fund OIS Curve Reconcilation
- org.drip.sample.oisapi - package org.drip.sample.oisapi
-
OIS Construction and Valuation API
- org.drip.sample.optimizer - package org.drip.sample.optimizer
-
Lagrangian/KKT Necessary Sufficient Conditions
- org.drip.sample.option - package org.drip.sample.option
-
Deterministic (Black) / Stochastic (Heston) Options
- org.drip.sample.overnight - package org.drip.sample.overnight
-
Shape Preserving Stretch Overnight Curve
- org.drip.sample.overnightfeed - package org.drip.sample.overnightfeed
-
G7 Smooth OIS Feed Reconstitutor
- org.drip.sample.overnighthistorical - package org.drip.sample.overnighthistorical
-
G7 Smooth OIS 1M Forward
- org.drip.sample.piterbarg2010 - package org.drip.sample.piterbarg2010
-
Piterbarg (2010) CSA Measure Extraction
- org.drip.sample.piterbarg2012 - package org.drip.sample.piterbarg2012
-
Piterbarg (2012) Domestic Foreign Collateral
- org.drip.sample.preferred - package org.drip.sample.preferred
-
Preferred Stock Analytics Sample Demonstration
- org.drip.sample.principal - package org.drip.sample.principal
-
Information Ratio Based Principal Trading
- org.drip.sample.pykhtin2009 - package org.drip.sample.pykhtin2009
-
Regression Based Secondary Stochastic Projection
- org.drip.sample.rdtor1 - package org.drip.sample.rdtor1
-
Constrained/Unconstrained Covariance Ellipsoid Function
- org.drip.sample.rng - package org.drip.sample.rng
-
QR Unbiased Antithetic Random Generator
- org.drip.sample.sabr - package org.drip.sample.sabr
-
SABR Forward Evolution Black Volatility
- org.drip.sample.securitysuite - package org.drip.sample.securitysuite
-
Custom Security Relative Value Demonstration
- org.drip.sample.semidefinite - package org.drip.sample.semidefinite
-
Semi-Definite Constrained Ellipsoid Variance
- org.drip.sample.sensitivity - package org.drip.sample.sensitivity
-
Forward Funding OIS Curve Sensitivity
- org.drip.sample.sequence - package org.drip.sample.sequence
-
IID Dual Poisson Sequence Bound
- org.drip.sample.service - package org.drip.sample.service
-
Curve Product Portfolio Valuation Services
- org.drip.sample.simm - package org.drip.sample.simm
-
ISDA Product SIMM Margin Estimation
- org.drip.sample.simmcrnq - package org.drip.sample.simmcrnq
-
ISDA SIMM Credit Non-Qualifying Estimates
- org.drip.sample.simmcrq - package org.drip.sample.simmcrq
-
ISDA SIMM Credit Qualifying Estimates
- org.drip.sample.simmct - package org.drip.sample.simmct
-
ISDA SIMM Commodity Estimate Runs
- org.drip.sample.simmeq - package org.drip.sample.simmeq
-
ISDA SIMM Equity Estimate Runs
- org.drip.sample.simmfx - package org.drip.sample.simmfx
-
ISDA SIMM FX Estimate Runs
- org.drip.sample.simmir - package org.drip.sample.simmir
-
ISDA SIMM Rates Estimate Runs
- org.drip.sample.simmsettings - package org.drip.sample.simmsettings
-
ISDA SIMM Calibration Parameter Settings
- org.drip.sample.simmvariance - package org.drip.sample.simmvariance
-
Position Bucket Co-variance - ISDA SIMM vs.
- org.drip.sample.sovereign - package org.drip.sample.sovereign
-
Sovereign Bond Analytics Sample Demonstration
- org.drip.sample.spline - package org.drip.sample.spline
-
Basis Monic Multic Tension Spline
- org.drip.sample.statistics - package org.drip.sample.statistics
-
Correlated R^d Random Sequence Statistics
- org.drip.sample.stochasticvolatility - package org.drip.sample.stochasticvolatility
-
Heston AMST Stochastic Volatility Pricing
- org.drip.sample.stretch - package org.drip.sample.stretch
-
Knot Insertion Curvature Roughness Penalty
- org.drip.sample.treasury - package org.drip.sample.treasury
-
G20 Govvie Bond Definitions YAS
- org.drip.sample.treasuryfeed - package org.drip.sample.treasuryfeed
-
G20 Govvie Bond Feed Reconstitution
- org.drip.sample.treasuryfutures - package org.drip.sample.treasuryfutures
-
UST Futures Eligibility Definitions Valuation
- org.drip.sample.treasuryfuturesapi - package org.drip.sample.treasuryfuturesapi
-
G20 Treasury Futures Valuation API
- org.drip.sample.treasuryfuturesfeed - package org.drip.sample.treasuryfuturesfeed
-
G20 Treasury Futures Feed Reconstitutor
- org.drip.sample.treasuryfuturespnl - package org.drip.sample.treasuryfuturespnl
-
G20 Treasury Futures PnL Attribution
- org.drip.sample.treasuryfuturesrisk - package org.drip.sample.treasuryfuturesrisk
-
Treasury Futures Key Rate Duration
- org.drip.sample.treasurypnl - package org.drip.sample.treasurypnl
-
G20 Benchmark Treasury PnL Attribution
- org.drip.sample.trend - package org.drip.sample.trend
-
Fixed/Variable Bayesian Drift Gain
- org.drip.sample.xccy - package org.drip.sample.xccy
-
OTC Cross Currency Swaps Definition
- org.drip.sample.xva - package org.drip.sample.xva
-
XVA Collateralized Uncollateralized Zero Threshold
- org.drip.sample.xvabasel - package org.drip.sample.xvabasel
-
Basel XVA Accounting Metrics Scheme
- org.drip.sample.xvadigest - package org.drip.sample.xvadigest
-
Basel XVA Accounting Metrics Digest
- org.drip.sample.xvafixfloat - package org.drip.sample.xvafixfloat
-
Cross Product XVA Simulation Digest
- org.drip.sample.xvastrategy - package org.drip.sample.xvastrategy
-
Burgard Kjaer (2013) XVA Strategies
- org.drip.sample.xvatopology - package org.drip.sample.xvatopology
-
Aggregation Group Based XVA Topology
- org.drip.sequence.custom - package org.drip.sequence.custom
-
Glivenko Cantelli Supremum Deviation Bounds
- org.drip.sequence.functional - package org.drip.sequence.functional
-
Efron Stein Functional Supremum Bounds
- org.drip.sequence.metrics - package org.drip.sequence.metrics
-
Sequence Bounds Agnostic Metrics Estimators
- org.drip.sequence.random - package org.drip.sequence.random
-
Correlated Multi-Factor Sequence Generator
- org.drip.service.api - package org.drip.service.api
-
Horizon Roll Attribution Service API
- org.drip.service.engine - package org.drip.service.engine
-
Compute Engine Request-Response Thunker
- org.drip.service.env - package org.drip.service.env
-
Library Module Loader Environment Manager
- org.drip.service.json - package org.drip.service.json
-
JSON Based Valuation Request Processor
- org.drip.service.product - package org.drip.service.product
-
Product Horizon PnL Attribution Decomposition
- org.drip.service.scenario - package org.drip.service.scenario
-
Custom Scenario Service Metric Generator
- org.drip.service.state - package org.drip.service.state
-
Curve Based State Metric Generator
- org.drip.service.template - package org.drip.service.template
-
Curve Construction Product Builder Templates
- org.drip.simm.commodity - package org.drip.simm.commodity
-
Commodity Risk Factor Calibration Settings
- org.drip.simm.common - package org.drip.simm.common
-
Common Cross Risk Factor Utilities
- org.drip.simm.credit - package org.drip.simm.credit
-
Credit Qualifying/Non-Qualifying Risk Factor Settings
- org.drip.simm.equity - package org.drip.simm.equity
-
Equity Risk Factor Calibration Settings
- org.drip.simm.estimator - package org.drip.simm.estimator
-
ISDA SIMM Core + Add-On Estimator
- org.drip.simm.foundation - package org.drip.simm.foundation
-
Foundation Utilities for ISDA SIMM
- org.drip.simm.fx - package org.drip.simm.fx
-
FX Risk Factor Calibration Settings
- org.drip.simm.margin - package org.drip.simm.margin
-
ISDA SIMM Risk Factor Margin Metrics
- org.drip.simm.parameters - package org.drip.simm.parameters
-
ISDA SIMM Risk Factor Parameters
- org.drip.simm.product - package org.drip.simm.product
-
ISDA SIMM Risk Factor Sensitivities
- org.drip.simm.rates - package org.drip.simm.rates
-
SIMM IR Risk Factor Settings
- org.drip.spaces.big - package org.drip.spaces.big
-
Big-date In-place Manipulator
- org.drip.spaces.cover - package org.drip.spaces.cover
-
Vector Spaces Covering Number Estimator
- org.drip.spaces.functionclass - package org.drip.spaces.functionclass
-
Normed Finite Spaces Function Class
- org.drip.spaces.graph - package org.drip.spaces.graph
-
Graph Representation and Traversal Algorithms
- org.drip.spaces.instance - package org.drip.spaces.instance
-
Validated Continuous/Combinatorial Metric Spaces
- org.drip.spaces.iterator - package org.drip.spaces.iterator
-
Iterative/Exhaustive Vector Space Scanners
- org.drip.spaces.metric - package org.drip.spaces.metric
-
Hilbert/Banach Normed Metric Spaces
- org.drip.spaces.rxtor1 - package org.drip.spaces.rxtor1
-
R^x To R^1 Normed Function Spaces
- org.drip.spaces.rxtord - package org.drip.spaces.rxtord
-
R^x To R^d Normed Function Spaces
- org.drip.spaces.tensor - package org.drip.spaces.tensor
-
R^x Continuous/Combinatorial Tensor Spaces
- org.drip.spline.basis - package org.drip.spline.basis
-
Basis Spline Construction/Customization Parameters
- org.drip.spline.bspline - package org.drip.spline.bspline
-
de Boor Rational/Exponential/Tension B-Splines
- org.drip.spline.grid - package org.drip.spline.grid
-
Aggregated/Overlapping Stretch/Span Grids
- org.drip.spline.multidimensional - package org.drip.spline.multidimensional
-
Multidimensional Wire Surface Stretch
- org.drip.spline.params - package org.drip.spline.params
-
Spline Segment Construction Control Parameters
- org.drip.spline.pchip - package org.drip.spline.pchip
-
Akima Monotone Convex PCHIP Splines
- org.drip.spline.segment - package org.drip.spline.segment
-
Flexure Penalizing Best Fit Segment
- org.drip.spline.stretch - package org.drip.spline.stretch
-
Multi-Segment Sequence Spline Stretch
- org.drip.spline.tension - package org.drip.spline.tension
-
Koch Lyche Kvasov Tension Splines
- org.drip.state.basis - package org.drip.state.basis
-
Basis State Curve Construction/Estimation
- org.drip.state.boot - package org.drip.state.boot
-
Bootable Discount, Credit, Volatility States
- org.drip.state.creator - package org.drip.state.creator
-
Scenario State Curve/Surface Builders
- org.drip.state.credit - package org.drip.state.credit
-
Credit Latent State Curve Representation
- org.drip.state.csa - package org.drip.state.csa
-
Credit Support Annex Latent State
- org.drip.state.curve - package org.drip.state.curve
-
Basis Spline Based Latent States
- org.drip.state.discount - package org.drip.state.discount
-
Discount Curve Spline Latent State
- org.drip.state.estimator - package org.drip.state.estimator
-
Multi-Pass Customized Stretch Curve
- org.drip.state.forward - package org.drip.state.forward
-
Forward Latent State Estimator Curve
- org.drip.state.fx - package org.drip.state.fx
-
FX Latent State Estimator Curve
- org.drip.state.govvie - package org.drip.state.govvie
-
Govvie Latent State Estimator Curve
- org.drip.state.identifier - package org.drip.state.identifier
-
Latent State Identifier Labels
- org.drip.state.inference - package org.drip.state.inference
-
Latent State Stretch Sequence Inference
- org.drip.state.nonlinear - package org.drip.state.nonlinear
-
Nonlinear (i.e., Boot) Latent State Construction
- org.drip.state.repo - package org.drip.state.repo
-
Latent State Repo Curve Estimator
- org.drip.state.representation - package org.drip.state.representation
-
Latent State Merge Sub-stretch
- org.drip.state.sequence - package org.drip.state.sequence
-
Monte Carlo Path State Realizations
- org.drip.state.volatility - package org.drip.state.volatility
-
Latent State Volatility Curve/Surface
- org.drip.template.forwardratefutures - package org.drip.template.forwardratefutures
-
Forward Rate Futures Construction Template
- org.drip.template.irs - package org.drip.template.irs
-
Standard IRS Fix-Float Template
- org.drip.template.state - package org.drip.template.state
-
Standard Latent State Construction Template
- org.drip.template.statebump - package org.drip.template.statebump
-
Shifted Latent State Construction Template
- org.drip.template.ust - package org.drip.template.ust
-
Standard UST Suite Construction Template
- org.drip.xva.basel - package org.drip.xva.basel
-
XVA Based Basel Accounting Measures
- org.drip.xva.definition - package org.drip.xva.definition
-
XVA Definition - Close Out, Universe
- org.drip.xva.derivative - package org.drip.xva.derivative
-
Burgard Kjaer Dynamic Portfolio Replication
- org.drip.xva.dynamics - package org.drip.xva.dynamics
-
XVA Dynamics - Settings and Evolution
- org.drip.xva.gross - package org.drip.xva.gross
-
XVA Gross Adiabat Exposure Aggregation
- org.drip.xva.hypothecation - package org.drip.xva.hypothecation
-
XVA Hypothecation Group Amount Estimation
- org.drip.xva.netting - package org.drip.xva.netting
-
Credit/Debt/Funding Netting Groups
- org.drip.xva.pde - package org.drip.xva.pde
-
Burgard Kjaer PDE Evolution Scheme
- org.drip.xva.proto - package org.drip.xva.proto
-
Collateral, Counter Party, Netting Groups
- org.drip.xva.settings - package org.drip.xva.settings
-
XVA Group and Path Settings
- org.drip.xva.strategy - package org.drip.xva.strategy
-
Replication Strategy Based Netting Group
- org.drip.xva.topology - package org.drip.xva.topology
-
Collateral, Credit/Debt, Funding Topologies
- org.drip.xva.vertex - package org.drip.xva.vertex
-
XVA Hypothecation Group Vertex Generators
- OrientedPassageTimeBound - Class in org.drip.sample.efronstein
-
OrientedPassageTimeBound demonstrates the Computation of the Probabilistic Bounds for the First Passage
Time in a Grid of Oriented Percolation using Variants of the Efron-Stein Methodology.
- OrientedPassageTimeBound() - Constructor for class org.drip.sample.efronstein.OrientedPassageTimeBound
-
- OrientedPercolationFirstPassage - Class in org.drip.sequence.custom
-
OrientedPercolationFirstPassage contains Variance Bounds on the Critical Measures of the Standard Problem
of First Passage Time in Oriented Percolation.
- OrientedPercolationFirstPassage(double, double) - Constructor for class org.drip.sequence.custom.OrientedPercolationFirstPassage
-
OrientedPercolationFirstPassage Constructor
- OriginalPrincipal - Class in org.drip.assetbacked.loan
-
OriginalPrincipal contains the Origination Loan Principal.
- OriginalPrincipal(double) - Constructor for class org.drip.assetbacked.loan.OriginalPrincipal
-
OriginalPrincipal Constructor
- originalReferenceCoupon() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
-
Retrieve the Original Reference Coupon
- OriginationFICO - Class in org.drip.assetbacked.borrower
-
OriginationFICO contains the Borrower's FICO Score at a given Loan's Origination.
- OriginationFICO(double) - Constructor for class org.drip.assetbacked.borrower.OriginationFICO
-
OriginationFICO Constructor
- originationMonth() - Method in class org.drip.assetbacked.loan.Vintage
-
Retrieve the Origination Month
- originationYear() - Method in class org.drip.assetbacked.loan.Vintage
-
Retrieve the Origination Year
- OrnsteinUhlenbeck - Interface in org.drip.measure.process
-
OrnsteinUhlenbeck Interface exposes the Reference Parameter Scales the guide the Random Variable Evolution
according to Ornstein-Uhlenbeck Mean Reverting Process.
- OrnsteinUhlenbeckPair - Class in org.drip.measure.process
-
OrnsteinUhlenbeckPair guides the Random Variable Evolution according to 2D Ornstein-Uhlenbeck Mean
Reverting Process.
- OrnsteinUhlenbeckPair(DiffusionEvaluatorOrnsteinUhlenbeck, DiffusionEvaluatorOrnsteinUhlenbeck, double) - Constructor for class org.drip.measure.process.OrnsteinUhlenbeckPair
-
OrnsteinUhlenbeckPair Constructor
- OrnsteinUhlenbeckSequence - Class in org.drip.execution.latent
-
OrnsteinUhlenbeckSequence holds the Sequence of the Market State that drives the Liquidity and the
Volatility Market States driven using an Ornstein-Uhlenbeck Process.
- ornsteinUnlenbeckProcess() - Method in class org.drip.execution.hjb.NonDimensionalCostEvolver
-
Retrieve the Reference Ornstein-Unlenbeck Process
- OTCAccountingModus - Class in org.drip.xva.basel
-
OTCAccountingModus implements the Generic Basel Accounting Scheme using the Streamlined Accounting
Framework for OTC Derivatives, as described in Albanese and Andersen (2014).
- OTCAccountingModus(ExposureAdjustmentAggregator) - Constructor for class org.drip.xva.basel.OTCAccountingModus
-
- OTCAccountingModusFCAFBA - Class in org.drip.xva.basel
-
OTCAccountingModusFCAFBA implements the Basel Accounting Scheme using the FCA/FBA Specification of the
Streamlined Accounting Framework for OTC Derivatives, as described in Albanese and Andersen (2014).
- OTCAccountingModusFCAFBA(ExposureAdjustmentAggregator) - Constructor for class org.drip.xva.basel.OTCAccountingModusFCAFBA
-
OTCAccountingModusFCAFBA Constructor
- OTCAccountingModusFVAFDA - Class in org.drip.xva.basel
-
OTCAccountingModusFVAFDA implements the Basel Accounting Scheme using the FVA/FDA Specification of the
Streamlined Accounting Framework for OTC Derivatives, as described in Albanese and Andersen (2014).
- OTCAccountingModusFVAFDA(ExposureAdjustmentAggregator) - Constructor for class org.drip.xva.basel.OTCAccountingModusFVAFDA
-
OTCAccountingModusFVAFDA Constructor
- OTCAccountingPolicy - Class in org.drip.xva.basel
-
OTCAccountingPolicy implements the Generic Basel Accounting Policy using the Streamlined Accounting
Framework for OTC Derivatives, as described in Albanese and Andersen (2014).
- OTCAccountingPolicy(double, double, double, double) - Constructor for class org.drip.xva.basel.OTCAccountingPolicy
-
OTCAccountingPolicy Constructor
- OTCCrossCurrencyDefinitions - Class in org.drip.sample.xccy
-
OTCFloatFloatDefinitions contains all the pre-fixed Definitions of the OTC Cross-Currency Float-Float Swap
Contracts.
- OTCCrossCurrencyDefinitions() - Constructor for class org.drip.sample.xccy.OTCCrossCurrencyDefinitions
-
- OTCCrossCurrencySwaps - Class in org.drip.sample.xccy
-
OTCCrossCurrencySwaps demonstrates the Construction and Valuation of the Cross-Currency Floating Swap of
OTC contracts.
- OTCCrossCurrencySwaps() - Constructor for class org.drip.sample.xccy.OTCCrossCurrencySwaps
-
- otcFixFloat(OTCFixFloatLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the OTC Fix Float Latent State
- otcFixFloat() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve the OTC Fix Float Latent State Node Container
- otcFixFloat(OTCFixFloatLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve of Labeled OTC Fix Float
- otcFixFloatExists(OTCFixFloatLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Indicate if the OTC Fix Float Latent State Exists
- otcFixFloatLabel() - Method in class org.drip.exposure.holdings.FixFloatBaselPositionEstimator
-
Retrieve the OTC Fix Float Label
- otcFixFloatLabel() - Method in class org.drip.product.credit.BondComponent
-
- otcFixFloatLabel() - Method in class org.drip.product.credit.CDSComponent
-
- otcFixFloatLabel() - Method in interface org.drip.product.definition.ComponentMarketParamRef
-
Get the Map of OTC Fix Float Latent State Labels
- otcFixFloatLabel() - Method in class org.drip.product.fx.FXForwardComponent
-
- otcFixFloatLabel() - Method in class org.drip.product.govvie.TreasuryFutures
-
- otcFixFloatLabel() - Method in class org.drip.product.option.OptionComponent
-
- otcFixFloatLabel() - Method in class org.drip.product.rates.FixFloatComponent
-
- otcFixFloatLabel() - Method in class org.drip.product.rates.FloatFloatComponent
-
- otcFixFloatLabel() - Method in class org.drip.product.rates.RatesBasket
-
- otcFixFloatLabel() - Method in class org.drip.product.rates.SingleStreamComponent
-
- otcFixFloatLabel() - Method in class org.drip.product.rates.Stream
-
Retrieve the OTC Fix Float Label, if Present
- OTCFixFloatLabel - Class in org.drip.state.identifier
-
OTCFixFloatLabel contains the Index Parameters referencing a Payment on an OTC Fix/Float IRS Par Rate
Index.
- OTCFixFloatLabel(FloaterIndex, String, String) - Constructor for class org.drip.state.identifier.OTCFixFloatLabel
-
OTCFixFloatLabel Constructor
- otcFixFloatMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the OTC Fix Float Evolver Map
- OTCInstrumentBuilder - Class in org.drip.service.template
-
OTCInstrumentBuilder contains static Helper API to facilitate Construction of OTC Instruments.
- OTCInstrumentBuilder() - Constructor for class org.drip.service.template.OTCInstrumentBuilder
-
- OTCPayerAggressiveTimeline - Class in org.drip.sample.mporfixfloat
-
OTCPayerAggressiveTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Payer Swap
on a Daily Grid using the "Aggressive" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
- OTCPayerAggressiveTimeline() - Constructor for class org.drip.sample.mporfixfloat.OTCPayerAggressiveTimeline
-
- OTCPayerClassicalMinusTimeline - Class in org.drip.sample.mporfixfloat
-
OTCPayerClassicalMinusTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Payer
Swap on a Daily Grid using the "Classical-" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
- OTCPayerClassicalMinusTimeline() - Constructor for class org.drip.sample.mporfixfloat.OTCPayerClassicalMinusTimeline
-
- OTCPayerClassicalPlusTimeline - Class in org.drip.sample.mporfixfloat
-
OTCPayerClassicalPlusTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Payer
Swap on a Daily Grid using the "Classical+" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
- OTCPayerClassicalPlusTimeline() - Constructor for class org.drip.sample.mporfixfloat.OTCPayerClassicalPlusTimeline
-
- OTCPayerConservativeTimeline - Class in org.drip.sample.mporfixfloat
-
OTCPayerConservativeTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Payer Swap
on a Daily Grid using the "Conservative" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
- OTCPayerConservativeTimeline() - Constructor for class org.drip.sample.mporfixfloat.OTCPayerConservativeTimeline
-
- OTCPayerCSAAggressive - Class in org.drip.sample.mporfixfloatxva
-
OTCPayerCSAAggressive displays the MPoR-related XVA Metrics Suite for the given OTC Payer Swap on a Daily
Grid using the "Aggressive" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
- OTCPayerCSAAggressive() - Constructor for class org.drip.sample.mporfixfloatxva.OTCPayerCSAAggressive
-
- OTCPayerCSAClassicalMinus - Class in org.drip.sample.mporfixfloatxva
-
OTCPayerCSAClassicalMinus displays the MPoR-related XVA Metrics Suite for the given OTC Payer Swap on a
Daily Grid using the "Classical-" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
- OTCPayerCSAClassicalMinus() - Constructor for class org.drip.sample.mporfixfloatxva.OTCPayerCSAClassicalMinus
-
- OTCPayerCSAClassicalPlus - Class in org.drip.sample.mporfixfloatxva
-
OTCPayerCSAClassicalPlus displays the MPoR-related XVA Metrics Suite for the given OTC Payer Swap on a
Daily Grid using the "Classical+" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
- OTCPayerCSAClassicalPlus() - Constructor for class org.drip.sample.mporfixfloatxva.OTCPayerCSAClassicalPlus
-
- OTCPayerCSAConservative - Class in org.drip.sample.mporfixfloatxva
-
OTCPayerCSAConservative displays the MPoR-related XVA Metrics Suite for the given OTC Payer Swap on a
Daily Grid using the "Conservative" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
- OTCPayerCSAConservative() - Constructor for class org.drip.sample.mporfixfloatxva.OTCPayerCSAConservative
-
- OTCReceiverAggressiveTimeline - Class in org.drip.sample.mporfixfloat
-
OTCReceiverAggressiveTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Receiver
Swap on a Daily Grid using the "Aggressive" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
- OTCReceiverAggressiveTimeline() - Constructor for class org.drip.sample.mporfixfloat.OTCReceiverAggressiveTimeline
-
- OTCReceiverClassicalMinusTimeline - Class in org.drip.sample.mporfixfloat
-
OTCReceiverClassicalMinusTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC
Receiver Swap on a Daily Grid using the "Classical-" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
- OTCReceiverClassicalMinusTimeline() - Constructor for class org.drip.sample.mporfixfloat.OTCReceiverClassicalMinusTimeline
-
- OTCReceiverClassicalPlusTimeline - Class in org.drip.sample.mporfixfloat
-
OTCReceiverClassicalPlusTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC
Receiver Swap on a Daily Grid using the "Classical+" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
- OTCReceiverClassicalPlusTimeline() - Constructor for class org.drip.sample.mporfixfloat.OTCReceiverClassicalPlusTimeline
-
- OTCReceiverConservativeTimeline - Class in org.drip.sample.mporfixfloat
-
OTCReceiverConservativeTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC
Receiver Swap on a Daily Grid using the "Conservative" CSA Timeline of Andersen, Pykhtin, and Sokol
(2017).
- OTCReceiverConservativeTimeline() - Constructor for class org.drip.sample.mporfixfloat.OTCReceiverConservativeTimeline
-
- OTCReceiverCSAAggressive - Class in org.drip.sample.mporfixfloatxva
-
OTCReceiverCSAAggressive displays the MPoR-related XVA Metrics Suite for the given OTC Receiver Swap on a
Daily Grid using the "Aggressive" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
- OTCReceiverCSAAggressive() - Constructor for class org.drip.sample.mporfixfloatxva.OTCReceiverCSAAggressive
-
- OTCReceiverCSAClassicalMinus - Class in org.drip.sample.mporfixfloatxva
-
OTCReceiverCSAClassicalMinus displays the MPoR-related XVA Metrics Suite for the given OTC Receiver Swap
on a Daily Grid using the "Classical-" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
- OTCReceiverCSAClassicalMinus() - Constructor for class org.drip.sample.mporfixfloatxva.OTCReceiverCSAClassicalMinus
-
- OTCReceiverCSAClassicalPlus - Class in org.drip.sample.mporfixfloatxva
-
OTCReceiverCSAClassicalPlus displays the MPoR-related XVA Metrics Suite for the given OTC Receiver Swap on
a Daily Grid using the "Classical+" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
- OTCReceiverCSAClassicalPlus() - Constructor for class org.drip.sample.mporfixfloatxva.OTCReceiverCSAClassicalPlus
-
- OTCReceiverCSAConservative - Class in org.drip.sample.mporfixfloatxva
-
OTCReceiverCSAConservative displays the MPoR-related XVA Metrics Suite for the given OTC Receiver Swap on
a Daily Grid using the "Conservative" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
- OTCReceiverCSAConservative() - Constructor for class org.drip.sample.mporfixfloatxva.OTCReceiverCSAConservative
-
- OTCSwapOptionSettlements - Class in org.drip.sample.multicurve
-
OTCSwapOptionSettlements contains all the pre-fixed Definitions of the OTC Swap Option Settlements.
- OTCSwapOptionSettlements() - Constructor for class org.drip.sample.multicurve.OTCSwapOptionSettlements
-
- OToole2013 - Class in org.drip.sample.blacklitterman
-
OToole2013 reconciles the Outputs of the Black-Litterman Model Process.
- OToole2013() - Constructor for class org.drip.sample.blacklitterman.OToole2013
-
- output(JulianDate) - Method in class org.drip.exposure.mpor.CollateralAmountEstimator
-
Generate the MarginAmountEstimatorOutput Instance
- output() - Method in class org.drip.function.definition.VariateOutputPair
-
Retrieve the Function Output Value Array
- output() - Method in class org.drip.service.api.DateDiscountCurvePair
-
Retrieve the Output Dump
- outputDimension() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
-
Compute the Output Dimension
- outputMetricVectorSpace() - Method in class org.drip.learning.kernel.IntegralOperatorEigenContainer
-
Retrieve the Eigen Output Space
- outputMetricVectorSpace() - Method in class org.drip.learning.kernel.SymmetricRdToNormedR1Kernel
-
Retrieve the Output R^1 Metric Vector Space
- outputMetricVectorSpace() - Method in class org.drip.learning.kernel.SymmetricRdToNormedRdKernel
-
Retrieve the Output R^d Metric Vector Space
- outputMetricVectorSpace() - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
-
- outputMetricVectorSpace() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
- outputMetricVectorSpace() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
-
Retrieve the Output Vector Space
- outputMetricVectorSpace() - Method in class org.drip.spaces.rxtor1.NormedR1ToNormedR1
-
- outputMetricVectorSpace() - Method in class org.drip.spaces.rxtor1.NormedRdToNormedR1
-
- outputMetricVectorSpace() - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
-
Retrieve the Output Metric Vector Space
- outputMetricVectorSpace() - Method in class org.drip.spaces.rxtord.NormedR1ToNormedRd
-
- outputMetricVectorSpace() - Method in class org.drip.spaces.rxtord.NormedRdToNormedRd
-
- outputMetricVectorSpace() - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
-
Retrieve the Output Metric Vector Space
- outputVectorMetricSpace() - Method in class org.drip.learning.kernel.IntegralOperator
-
Retrieve the Kernel Integral Operator Output Space
- outright() - Method in class org.drip.product.calib.FXForwardQuoteSet
-
Retrieve the Terminal FX Forward Outright
- outstandingFactorSchedule() - Method in class org.drip.product.params.NotionalSetting
-
Retrieve the Outstanding Factor Schedule
- outstandingUnits() - Method in class org.drip.execution.parameters.AssetFlowSettings
-
Retrieve the Outstanding Number of the Traded Units
- overlap(LatentStateMergeSubStretch) - Method in class org.drip.state.representation.LatentStateMergeSubStretch
-
Identify if the Supplied Merge Stretch overlaps with the provided one.
- OverlappingStretchSpan - Class in org.drip.spline.grid
-
OverlappingStretchSpan implements the Span interface, and the collection functionality of overlapping
Stretches.
- OverlappingStretchSpan(MultiSegmentSequence) - Constructor for class org.drip.spline.grid.OverlappingStretchSpan
-
OverlappingStretchSpan constructor
- overnight(OvernightLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Overnight Latent State
- overnight() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve the Overnight Latent State Node Container
- overnight(OvernightLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve of Labeled Overnight
- overnight() - Method in class org.drip.exposure.evolver.PrimarySecurityDynamicsContainer
-
Retrieve the Overnight Index Primary Security
- overnight() - Method in class org.drip.state.identifier.FloaterLabel
-
Indicate if the Index is an Overnight Index
- overnight() - Method in class org.drip.state.identifier.OvernightLabel
-
Indicate if the Index is an Overnight Index
- OvernightArithmeticCompoundingConvexity - Class in org.drip.sample.ois
-
OvernightArithmeticCompoundingConvexity contains an assessment of the impact of the Overnight Index
Volatility, the Funding Numeraire Volatility, and the ON Index/Funding Correlation on the Overnight
Floating Stream.
- OvernightArithmeticCompoundingConvexity() - Constructor for class org.drip.sample.ois.OvernightArithmeticCompoundingConvexity
-
- OvernightCurve(JulianDate, String, String[], double[], String, String[], double[], String, String[], String[], double[], String, String[], double[], String, SegmentCustomBuilderControl) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments
- OvernightCurve(JulianDate, String, String[], double[], String, String[], double[], String, String[], String[], double[], String, String[], double[], String, int) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct an Overnight Curve from Overnight Exchange/OTC Market Instruments
- overnightCurve() - Method in class org.drip.state.csa.MultilateralBasisCurve
-
Retrieve the Overnight Curve
- OvernightCurveAPI - Class in org.drip.service.state
-
OvernightCurveAPI computes the Metrics associated the Overnight Curve State.
- OvernightCurveAPI() - Constructor for class org.drip.service.state.OvernightCurveAPI
-
- OvernightDeposit(JulianDate, String, String) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Construct an OTC Overnight Deposit Instrument from the Spot Date and the Maturity Tenor
- OvernightDeposit(JulianDate, String, String[]) - Static method in class org.drip.service.template.OTCInstrumentBuilder
-
Construct an Array of OTC Overnight Deposit Instrument from their Maturity Tenors
- OvernightEdgeDates(JulianDate, JulianDate, String) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
-
Generate the List of Overnight Edge Dates between the specified dates, using the specified Calendar
- OvernightEdgeDates(int, int, String) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
-
Generate the List of Overnight Edge Dates between the specified dates, using the specified Calendar
- overnightExists(OvernightLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Indicate if the Overnight Latent State Exists
- OvernightFedFundLIBORSwap - Class in org.drip.sample.fedfund
-
OvernightFedFundLIBORSwap demonstrates the Construction, the Valuation, and Bloomberg Metrics Analysis for
the Composite Fed Fund vs.
- OvernightFedFundLIBORSwap() - Constructor for class org.drip.sample.fedfund.OvernightFedFundLIBORSwap
-
- OvernightFixedFloatContainer - Class in org.drip.market.otc
-
OvernightFixedFloatContainer holds the settings of the standard OTC Overnight Fix-Float Swap Contract
Conventions.
- OvernightFixedFloatContainer() - Constructor for class org.drip.market.otc.OvernightFixedFloatContainer
-
- OvernightIndex - Class in org.drip.market.definition
-
OvernightIndex contains the definitions of the overnight indexes of different jurisdictions.
- OvernightIndex(String, String, String, String, String, String, int, int) - Constructor for class org.drip.market.definition.OvernightIndex
-
OvernightIndex Constructor
- overnightIndex() - Method in class org.drip.state.identifier.OvernightLabel
-
Retrieve the Overnight Index
- OvernightIndexContainer - Class in org.drip.market.definition
-
OvernightIndexContainer holds the definitions of the overnight index definitions corresponding to
different jurisdictions.
- OvernightIndexContainer() - Constructor for class org.drip.market.definition.OvernightIndexContainer
-
- OvernightIndexCurve - Class in org.drip.sample.forward
-
OvernightIndexCurve illustrates the Construction and Usage of the Overnight Index Discount Curve.
- OvernightIndexCurve() - Constructor for class org.drip.sample.forward.OvernightIndexCurve
-
- OvernightIndexMarksReconstitutor - Class in org.drip.feed.transformer
-
OvernightIndexMarksReconstitutor transforms the Overnight Instrument Manifest Measures (e.g., Deposits and
OIS) Feed Inputs into Formats appropriate for Overnight Curve Construction and Measure Generation.
- OvernightIndexMarksReconstitutor() - Constructor for class org.drip.feed.transformer.OvernightIndexMarksReconstitutor
-
- OvernightIndexSwapAPI - Class in org.drip.service.product
-
OvernightIndexSwapAPI exposes the Pricing and the Scenario Runs for an Overnight Index Swap.
- OvernightIndexSwapAPI() - Constructor for class org.drip.service.product.OvernightIndexSwapAPI
-
- OvernightJurisdictionIndexDefinition - Class in org.drip.sample.ois
-
OvernightJurisdictionIndexDefinition demonstrates the functionality to retrieve the Overnight Index
Settings across the various Jurisdictions.
- OvernightJurisdictionIndexDefinition() - Constructor for class org.drip.sample.ois.OvernightJurisdictionIndexDefinition
-
- OvernightLabel - Class in org.drip.state.identifier
-
OvernightLabel contains the Index Parameters referencing an Overnight Index.
- overnightLabel() - Method in class org.drip.xva.proto.CollateralGroupSpecification
-
Retrieve the Overnight Label
- overnightLabel() - Method in class org.drip.xva.topology.CollateralGroup
-
Retrieve the Overnight Label
- overnightLabelMap() - Method in class org.drip.xva.topology.Adiabat
-
Retrieve the Overnight Label Map
- overnightLabelMap() - Method in class org.drip.xva.topology.AdiabatMarketParams
-
Retrieve the Map of Overnight Labels
- overnightLabelMap() - Method in class org.drip.xva.topology.CreditDebtGroup
-
Retrieve the Overnight Label Map
- overnightLabelMap() - Method in class org.drip.xva.topology.FundingGroup
-
Retrieve the Overnight Label Map
- overnightMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Overnight Evolver Map
- overnightOvernightCorrelation(OvernightLabel, OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Pair of Overnight Latent States
- overnightPaydownCorrelation(OvernightLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Overnight and the Pay-down Latent States
- overnightRate() - Method in class org.drip.exposure.universe.MarketVertex
-
Retrieve the Realized Overnight Index Rate
- overnightRatingCorrelation(OvernightLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Overnight and the Rating Latent States
- overnightRecoveryCorrelation(OvernightLabel, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Overnight and the Recovery Latent States
- overnightReplicator() - Method in class org.drip.exposure.universe.MarketVertex
-
Retrieve the Realized Overnight Index Numeraire
- overnightRepoCorrelation(OvernightLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Overnight and the Repo Latent States
- overnightState(OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Overnight Latent State Corresponding to the Label
- OvernightState - Class in org.drip.template.state
-
OvernightState sets up the Calibration and the Construction of the Overnight Latent State and examine the
Emitted Metrics.
- OvernightState() - Constructor for class org.drip.template.state.OvernightState
-
- OvernightStateShifted - Class in org.drip.template.statebump
-
OvernightStateShifted demonstrates the Generation of the Tenor Bumped Overnight Curves.
- OvernightStateShifted() - Constructor for class org.drip.template.statebump.OvernightStateShifted
-
- overnightVolatility(OvernightLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Volatility Curve for the Overnight Latent State Label
- Ozhukarai - Class in org.drip.sample.bondswap
-
Ozhukarai demonstrates the Analytics Calculation/Reconciliation for the OTC Fix-Float Index Based Bond
Ozhukarai.
- Ozhukarai() - Constructor for class org.drip.sample.bondswap.Ozhukarai
-
- PABHoliday - Class in org.drip.analytics.holset
-
- PABHoliday() - Constructor for class org.drip.analytics.holset.PABHoliday
-
- Panihati - Class in org.drip.sample.bondmetrics
-
Panihati generates the Full Suite of Replication Metrics for a Sample Bond.
- Panihati() - Constructor for class org.drip.sample.bondmetrics.Panihati
-
- Panipat - Class in org.drip.sample.bondmetrics
-
Panipat generates the Full Suite of Replication Metrics for Bond Panipat.
- Panipat() - Constructor for class org.drip.sample.bondmetrics.Panipat
-
- Panjin - Class in org.drip.sample.bondeos
-
Panjin demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Panjin.
- Panjin() - Constructor for class org.drip.sample.bondeos.Panjin
-
- Panzhihua - Class in org.drip.sample.bondeos
-
Panzhihua demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Panzhihua.
- Panzhihua() - Constructor for class org.drip.sample.bondeos.Panzhihua
-
- ParabolicDifferentialOperator - Class in org.drip.xva.pde
-
ParabolicDifferentialOperator sets up the Parabolic Differential Equation based on the Ito Evolution
Differential for the Reference Underlier Asset, as laid out in Burgard and Kjaer (2014).
- ParabolicDifferentialOperator(PrimarySecurity) - Constructor for class org.drip.xva.pde.ParabolicDifferentialOperator
-
ParabolicDifferentialOperator Constructor
- ParallelNodeBump(double[], double) - Static method in class org.drip.analytics.support.Helper
-
Generate an Array of Bumped Nodes
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.analytics.definition.MarketSurface
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.analytics.definition.NodeStructure
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.basis.BasisCurve
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.curve.DerivedZeroRate
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.forward.ForwardCurve
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.fx.FXCurve
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.govvie.GovvieCurve
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
-
- parallelShiftManifestMeasure(String, double) - Method in class org.drip.state.repo.RepoCurve
-
- parallelShiftManifestMeasure(String, double) - Method in interface org.drip.state.representation.LatentState
-
Create a LatentState Instance from the Manifest Measure Parallel Shift
- parallelShiftQuantificationMetric(double) - Method in class org.drip.analytics.definition.MarketSurface
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.analytics.definition.NodeStructure
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.basis.BasisCurve
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.curve.DerivedZeroRate
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.forward.ForwardCurve
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.fx.FXCurve
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.govvie.GovvieCurve
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
-
- parallelShiftQuantificationMetric(double) - Method in class org.drip.state.repo.RepoCurve
-
- parallelShiftQuantificationMetric(double) - Method in interface org.drip.state.representation.LatentState
-
Create a LatentState Instance from the Quantification Metric Parallel Shift
- paramType() - Method in class org.drip.param.definition.CreditManifestMeasureTweak
-
Retrieve the Tweak Parameter Type
- Parbhani - Class in org.drip.sample.bondmetrics
-
Parbhani generates the Full Suite of Replication Metrics for Bond Parbhani.
- Parbhani() - Constructor for class org.drip.sample.bondmetrics.Parbhani
-
- parent() - Method in class org.drip.spaces.big.BinaryTree
-
Retrieve the Parent BinaryTree Instance
- parForwardRate() - Method in class org.drip.product.calib.FRAComponentQuoteSet
-
Retrieve the Par Forward Rate
- parse(String) - Method in class org.drip.json.parser.JSONParser
-
- parse(String, ContainerFactory) - Method in class org.drip.json.parser.JSONParser
-
Parse the JSON String
- parse(Reader) - Method in class org.drip.json.parser.JSONParser
-
- parse(Reader, ContainerFactory) - Method in class org.drip.json.parser.JSONParser
-
Parse JSON text into java object from the input source.
- parse(String, ContentHandler) - Method in class org.drip.json.parser.JSONParser
-
- parse(String, ContentHandler, boolean) - Method in class org.drip.json.parser.JSONParser
-
- parse(Reader, ContentHandler) - Method in class org.drip.json.parser.JSONParser
-
- parse(Reader, ContentHandler, boolean) - Method in class org.drip.json.parser.JSONParser
-
Stream processing of JSON text.
- parse(Reader) - Static method in class org.drip.json.simple.JSONValue
-
Parse JSON text into java object from the input source.
- parse(String) - Static method in class org.drip.json.simple.JSONValue
-
- ParseException - Exception in org.drip.json.parser
-
ParseException is an Adaptation of the ParseException Class from the RFC4627 compliant JSON Simple
(https://code.google.com/p/json-simple/).
- ParseException(int) - Constructor for exception org.drip.json.parser.ParseException
-
- ParseException(int, Object) - Constructor for exception org.drip.json.parser.ParseException
-
- ParseException(int, int, Object) - Constructor for exception org.drip.json.parser.ParseException
-
- ParseFromBBGDCCode(String) - Static method in class org.drip.analytics.support.Helper
-
Convert the Bloomberg day count code to DRIP day count code.
- ParseFromUnitaryString(String) - Static method in class org.drip.quant.common.StringUtil
-
Check if the string represents an unitary boolean
- parseWithException(Reader) - Static method in class org.drip.json.simple.JSONValue
-
Parse JSON text into java object from the input source.
- parseWithException(String) - Static method in class org.drip.json.simple.JSONValue
-
- parSwapDV01(int) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
Calculate the DV01 of the Par Swap that Matures at the given date
- ParticipationRateLinear - Class in org.drip.execution.impact
-
ParticipationRateLinear implements a Linear Temporary/Permanent Market Impact Function where the Price
Change scales linearly with the Trade Rate, along with an Offset.
- ParticipationRateLinear(double, double) - Constructor for class org.drip.execution.impact.ParticipationRateLinear
-
ParticipationRateLinear Constructor
- ParticipationRatePower - Class in org.drip.execution.impact
-
ParticipationRatePower implements a Power-Law Based Temporary/Permanent Market Impact Function where the
Price Change scales as a Power of the Trade Rate.
- ParticipationRatePower(double, double) - Constructor for class org.drip.execution.impact.ParticipationRatePower
-
ParticipationRatePower Constructor
- Partition(double[], int) - Static method in class org.drip.function.rdtor1.ObjectiveConstraintVariateSet
-
Partition the Variate Array into the Objective Function Input Variates and the Constraint Variate
- partOfMergeState(double, LatentStateLabel) - Method in class org.drip.state.representation.MergeSubStretchManager
-
Indicates whether the specified Latent State Label is Part of the Merge Stretch
- pathAdjustedVariationMarginEstimate() - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble
-
Generate the Path-wise Adjusted Variation Margin Estimate
- pathAdjustedVariationMarginEstimator() - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble
-
Generate the Path-wise Adjusted Variation Margin Estimator
- pathCount() - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble
-
Retrieve the Number of Simulation Paths
- PathDateForwardCurves - Class in org.drip.sample.govviemc
-
PathDateForwardCurves demonstrates the Simulations of the Per-Path Forward Vertex Date Govvie Yield
Curves.
- PathDateForwardCurves() - Constructor for class org.drip.sample.govviemc.PathDateForwardCurves
-
- PathExerciseIndicator - Class in org.drip.sample.govviemc
-
PathExerciseIndicator demonstrates the Simulations of the Per-Path Callable Bond OAS Based Exercise
Indicator.
- PathExerciseIndicator() - Constructor for class org.drip.sample.govviemc.PathExerciseIndicator
-
- PathExposureAdjustment - Interface in org.drip.xva.gross
-
PathExposureAdjustment aggregates the Exposures and the Adjustments across Multiple Netting/Funding Groups
on a Single Path Projection Run along the Granularity of a Counter Party Group.
- pathExposureAdjustmentArray() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
-
Retrieve the Array of Group Path Exposure Adjustments
- PathForwardPrice - Class in org.drip.sample.govviemc
-
PathForwardPrice demonstrates the Simulations of the Per-Path Callable Bond OAS Based Forward Price.
- PathForwardPrice() - Constructor for class org.drip.sample.govviemc.PathForwardPrice
-
- PathForwardRealization - Class in org.drip.sample.govviemc
-
PathForwardRealization demonstrates the Simulations of the Per-Path Forward Govvie Yield Nodes.
- PathForwardRealization() - Constructor for class org.drip.sample.govviemc.PathForwardRealization
-
- PathGovvie - Class in org.drip.state.sequence
-
PathGovvie exposes the Functionality to generate a Sequence of Govvie Curve Realizations across Multiple
Paths.
- PathGovvie(GovvieBuilderSettings, double, boolean) - Constructor for class org.drip.state.sequence.PathGovvie
-
PathGovvie Constructor
- PathRd - Class in org.drip.state.sequence
-
PathRd exposes the Functionality to generate a Sequence of the Path Vertex Latent State R^d Realizations
across Multiple Paths.
- PathRd(double[], double, boolean) - Constructor for class org.drip.state.sequence.PathRd
-
PathRd Constructor
- pathResponse(int, int, double) - Method in class org.drip.spaces.big.BigR2Array
-
Compute the Path Response Associated with all the Nodes in the Path up to the Current One.
- PathSimulator - Class in org.drip.xva.dynamics
-
PathSimulator drives the Simulation for various Latent States and Exposures.
- PathSimulator(int, MarketVertexGenerator, int, PositionGroupContainer) - Constructor for class org.drip.xva.dynamics.PathSimulator
-
PathSimulator Constructor
- PathTradeFlowAdjustment - Class in org.drip.sample.andersen2017vm
-
PathTradeFlowAdjustment generates the Trade Flow Adjusted Variation Margin from Sparse Nodes for a
Fix-Float Swap.
- PathTradeFlowAdjustment() - Constructor for class org.drip.sample.andersen2017vm.PathTradeFlowAdjustment
-
- PathVariationMarginTrajectoryEstimator - Class in org.drip.exposure.mpor
-
PathVariationMarginTrajectoryEstimator computes the Variation Margin Estimate/Posting from the specified
Dense Uncollateralized Exposures and Trade Payments along the specified Path Trajectory.
- PathVariationMarginTrajectoryEstimator(int[], String, Map<Integer, Double>, TradePayment[], AndersenPykhtinSokolLag) - Constructor for class org.drip.exposure.mpor.PathVariationMarginTrajectoryEstimator
-
PathVariationMarginTrajectoryEstimator Constructor
- pathVertex(double[]) - Method in class org.drip.state.sequence.PathVertexGovvie
-
Generate the R^d Path/Vertex Govvie Curves using the Initial R^d and the Evolution Time Width
- pathVertex(double) - Method in class org.drip.state.sequence.PathVertexGovvie
-
Generate the R^d Path/Vertex Govvie Curves using the Initial R^d and the Evolution Time Width
- pathVertex(String[]) - Method in class org.drip.state.sequence.PathVertexGovvie
-
Generate the R^d Path/Vertex Govvie Curves using the Initial R^d and the Array of Event Tenors
- pathVertex(int[]) - Method in class org.drip.state.sequence.PathVertexGovvie
-
Generate the R^d Path/Vertex Govvie Curves using the Initial R^d and the Array of Event Tenors
- pathVertex(double[], double[]) - Method in class org.drip.state.sequence.PathVertexRd
-
Generate the R^d Path Vertex Realizations using the Initial R^d and the Evolution Time Width
- pathVertex(double[], double) - Method in class org.drip.state.sequence.PathVertexRd
-
Generate the R^d Path Vertex Realizations using the Initial R^d and the Evolution Time Width
- pathVertex(double[], String[]) - Method in class org.drip.state.sequence.PathVertexRd
-
Generate the R^d Path Vertex Realizations using the Initial R^d and the Array of Event Tenors
- pathVertex(double[], int, int[]) - Method in class org.drip.state.sequence.PathVertexRd
-
Generate the R^d Path Vertex Realizations using the Initial R^d and the Array of Event Tenors
- PathVertexExerciseIndicator - Class in org.drip.sample.govviemc
-
PathVertexExerciseIndicator demonstrates the Simulations of the Per-Path Callable Bond Forward Price Based
Exercise Indicator.
- PathVertexExerciseIndicator() - Constructor for class org.drip.sample.govviemc.PathVertexExerciseIndicator
-
- PathVertexExerciseMetrics - Class in org.drip.sample.govviemc
-
PathVertexExerciseMetrics demonstrates the Simulations of the Per-Path Callable Bond OAS Based Exercise
Metrics.
- PathVertexExerciseMetrics() - Constructor for class org.drip.sample.govviemc.PathVertexExerciseMetrics
-
- PathVertexExerciseOptimal - Class in org.drip.sample.govviemc
-
PathVertexExerciseOptimal demonstrates the Simulations of the Per-Path Callable Bond Forward Price Based
Exercise Value.
- PathVertexExerciseOptimal() - Constructor for class org.drip.sample.govviemc.PathVertexExerciseOptimal
-
- PathVertexForwardCurves - Class in org.drip.sample.govviemc
-
PathVertexForwardCurves demonstrates the Simulations of the Per-Path Forward Vertex Govvie Yield Curves.
- PathVertexForwardCurves() - Constructor for class org.drip.sample.govviemc.PathVertexForwardCurves
-
- PathVertexForwardPrice - Class in org.drip.sample.govviemc
-
PathVertexForwardPrice demonstrates the Simulations of the Per-Path/Vertex Callable Bond OAS Based Forward
Price.
- PathVertexForwardPrice() - Constructor for class org.drip.sample.govviemc.PathVertexForwardPrice
-
- PathVertexForwardRealization - Class in org.drip.sample.govviemc
-
PathVertexForwardRealization demonstrates the Simulations of the Per-Path Forward Vertex Govvie Yield
Nodes.
- PathVertexForwardRealization() - Constructor for class org.drip.sample.govviemc.PathVertexForwardRealization
-
- PathVertexForwardState - Class in org.drip.sample.govviemc
-
PathVertexForwardState demonstrates the Simulations of the Forward Govvie State at Paths and Vertexes.
- PathVertexForwardState() - Constructor for class org.drip.sample.govviemc.PathVertexForwardState
-
- PathVertexGovvie - Class in org.drip.state.sequence
-
PathVertexGovvie exposes the Functionality to generate a Sequence of Path/Vertex Govvie Curves.
- PathVertexGovvie(GovvieBuilderSettings, CorrelatedPathVertexDimension, DiffusionEvolver[]) - Constructor for class org.drip.state.sequence.PathVertexGovvie
-
PathVertexGovvie Constructor
- PathVertexRd - Class in org.drip.state.sequence
-
PathVertexRd exposes the Functionality to generate a Sequence of the Path Vertex Latent State R^d
Realizations across Multiple Paths.
- PathVertexRd(CorrelatedPathVertexDimension, DiffusionEvolver[]) - Constructor for class org.drip.state.sequence.PathVertexRd
-
PathVertexRd Constructor
- PathwiseQMRealization - Class in org.drip.dynamics.lmm
-
PathwiseQMRealization contains the Sequence of the Simulated Target Point State QM Realizations and their
corresponding Date Nodes.
- PathwiseQMRealization(int[], double[]) - Constructor for class org.drip.dynamics.lmm.PathwiseQMRealization
-
PathwiseQMRealization Constructor
- Patiala - Class in org.drip.sample.bondmetrics
-
Patiala generates the Full Suite of Replication Metrics for a Sample Bond.
- Patiala() - Constructor for class org.drip.sample.bondmetrics.Patiala
-
- Patna - Class in org.drip.sample.bondeos
-
Patna demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Patna.
- Patna() - Constructor for class org.drip.sample.bondeos.Patna
-
- payCurrency() - Method in class org.drip.analytics.cashflow.Bullet
-
Retrieve the Pay Currency
- payCurrency() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Retrieve the Pay Currency
- payCurrency() - Method in class org.drip.param.period.CompositePeriodSetting
-
Retrieve the Pay Currency
- payCurrency() - Method in class org.drip.product.credit.BondComponent
-
- payCurrency() - Method in class org.drip.product.credit.CDSComponent
-
- payCurrency() - Method in interface org.drip.product.definition.BasketMarketParamRef
-
Get the Pay Currency
- payCurrency() - Method in class org.drip.product.definition.BasketProduct
-
- payCurrency() - Method in interface org.drip.product.definition.ComponentMarketParamRef
-
Get the Pay Currency
- payCurrency() - Method in class org.drip.product.fx.FXForwardComponent
-
- payCurrency() - Method in class org.drip.product.govvie.TreasuryFutures
-
- payCurrency() - Method in class org.drip.product.option.CDSEuropeanOption
-
- payCurrency() - Method in class org.drip.product.option.FixFloatEuropeanOption
-
- payCurrency() - Method in class org.drip.product.option.OptionComponent
-
- payCurrency() - Method in class org.drip.product.rates.FixFloatComponent
-
- payCurrency() - Method in class org.drip.product.rates.FloatFloatComponent
-
- payCurrency() - Method in class org.drip.product.rates.RatesBasket
-
- payCurrency() - Method in class org.drip.product.rates.SingleStreamComponent
-
- payCurrency() - Method in class org.drip.product.rates.Stream
-
Retrieve the Pay Currency
- payCurrencyCollateralCurrencyCurve(String, String) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Discount Curve associated with the Pay Cash-flow Collateralized using a different
Collateral Currency Numeraire
- payDate() - Method in class org.drip.analytics.cashflow.Bullet
-
Retrieve the Period Pay Date
- payDate() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Return the Period Pay Date
- payDate() - Method in class org.drip.analytics.output.BulletMetrics
-
Retrieve the Pay Date
- payDown(PaydownLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Pay Down Latent State
- payDown() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve the Pay Down Latent State Node Container
- payDown(PaydownLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve of Labeled Pay Down
- payDownExists(PaydownLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Indicate if the Pay Down Latent State Exists
- PaydownLabel - Class in org.drip.state.identifier
-
PaydownLabel contains the Identifier Parameters referencing the Latent State of the named Paydown Curve.
- payDownMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Pay Down Evolver Map
- paydownPaydownCorrelation(PaydownLabel, PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Pay-down Latent State Pair
- paydownRatingCorrelation(PaydownLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Pay-down and the Rating Latent States
- paydownRecoveryCorrelation(PaydownLabel, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Pay-down and the Recovery Latent States
- paydownRepoCorrelation(PaydownLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Pay-down and the Repo Latent States
- paydownState(PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Pay-down State for the specified Pay-down Latent State Label
- paydownVolaitlity(PaydownLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Volatility Curve for the specified Pay-down Latent State
- payoff(double, double, double, double, boolean, boolean, double, boolean) - Method in class org.drip.pricer.option.BlackNormalAlgorithm
-
- payoff(double, double, double, double, boolean, boolean, double, boolean) - Method in class org.drip.pricer.option.BlackScholesAlgorithm
-
- payoff(double, double, double, double, boolean, boolean, double, boolean) - Method in class org.drip.pricer.option.FokkerPlanckGenerator
-
Compute the Expected Payoff of the Option from the Inputs
- payoff(int, int, double, MergedDiscountForwardCurve, double, boolean, boolean, double, boolean) - Method in class org.drip.pricer.option.FokkerPlanckGenerator
-
Compute the Expected Payoff of the Option from the Inputs
- payoff(int, int, double, MergedDiscountForwardCurve, double, boolean, boolean, R1ToR1, boolean) - Method in class org.drip.pricer.option.FokkerPlanckGenerator
-
Compute the Expected Payoff of the Option from the Inputs
- payoff(double, double, double, double, boolean, boolean, double, boolean) - Method in class org.drip.pricer.option.HestonStochasticVolatilityAlgorithm
-
- PAYOFF_TRANSFORM_SCHEME_AMST_2007 - Static variable in class org.drip.pricer.option.HestonStochasticVolatilityAlgorithm
-
Payoff Transformation Type - The Albrecher, Mayer, Schoutens, and Tistaert Scheme
- PAYOFF_TRANSFORM_SCHEME_HESTON_1993 - Static variable in class org.drip.pricer.option.HestonStochasticVolatilityAlgorithm
-
Payoff Transformation Type - The Original Heston 1993 Scheme
- payoffTransformScheme() - Method in class org.drip.param.pricer.HestonOptionPricerParams
-
Return the Payoff Fourier Transformation Scheme
- PDEEvolutionControl - Class in org.drip.xva.definition
-
PDEEvolutionControl is used to Customize the XVA Estimation using PDE Evolution ,e.g., determine the MTM
Mechanism that determines the actual Termination Close Out, as laid out in Burgard and Kjaer (2014).
- PDEEvolutionControl(int, double) - Constructor for class org.drip.xva.definition.PDEEvolutionControl
-
PDEEvolutionControl Constructor
- pdeEvolutionControl() - Method in class org.drip.xva.pde.BurgardKjaerOperator
-
Retrieve the XVA Control Settings
- pdeEvolutionControl() - Method in class org.drip.xva.pde.TrajectoryEvolutionScheme
-
Retrieve the XVA PDE Control Settings
- pecs() - Method in class org.drip.analytics.output.BondRVMeasures
-
Retrieve the PECS
- pecsFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from ASW to Work-out
- pecsFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from ASW to Maturity
- pecsFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from ASW to Optimal Exercise
- pecsFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Bond Basis to Work-out
- pecsFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Bond Basis to Maturity
- pecsFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Bond Basis to Optimal Exercise
- pecsFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Credit Basis to Work-out
- pecsFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Credit Basis to Maturity
- pecsFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Credit Basis to Optimal Exercise
- pecsFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Discount Margin to Work-out
- pecsFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Discount Margin to Maturity
- pecsFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Discount Margin to Optimal Exercise
- pecsFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from E Spread to Work-out
- pecsFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from E Spread to Maturity
- pecsFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from E Spread to Optimal Exercise
- pecsFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from G Spread to Work-out
- pecsFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from G Spread to Maturity
- pecsFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from G Spread to Optimal Exercise
- pecsFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from I Spread to Work-out
- pecsFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from I Spread to Maturity
- pecsFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from I Spread to Optimal Exercise
- pecsFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from J Spread to Work-out
- pecsFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from J Spread to Maturity
- pecsFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from J Spread to Optimal Exercise
- pecsFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from N Spread to Work-out
- pecsFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from N Spread to Maturity
- pecsFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from N Spread to Optimal Exercise
- pecsFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from OAS to Work-out
- pecsFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from OAS to Maturity
- pecsFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from OAS to Optimal Exercise
- pecsFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Price to Work-out
- pecsFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Price to Maturity
- pecsFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Price to Optimal Exercise
- pecsFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from TSY Spread to Work-out
- pecsFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from TSY Spread to Maturity
- pecsFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from TSY Spread to Optimal Exercise
- pecsFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Yield to Work-out
- pecsFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Yield to Maturity
- pecsFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Yield Spread to Work-out
- pecsFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Yield Spread to Maturity
- pecsFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Yield Spread to Optimal Exercise
- pecsFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Yield to Optimal Exercise
- pecsFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Z Spread to Work-out
- pecsFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Z Spread to Maturity
- pecsFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- pecsFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate PECS from Z Spread to Optimal Exercise
- PED(JulianDate) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
-
Construct the Potential Event of Default CSA Event Date
- ped() - Method in class org.drip.exposure.csatimeline.EventSequence
-
Retrieve the PED Event Date
- PED_CALL_OUT_DELAY_AGGRESSIVE - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
-
PED Call Out Delay - Aggressive
- PED_CALL_OUT_DELAY_CONSERVATIVE - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
-
PED Call Out Delay - Conservative
- PED_COMMUNICATION_DELAY_AGGRESSIVE - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
-
PED Communication Delay - Aggressive
- PED_COMMUNICATION_DELAY_CONSERVATIVE - Static variable in class org.drip.exposure.csatimeline.EventDateBuilder
-
PED Communication Delay - Conservative
- PEDCommunication(JulianDate) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
-
Construct the PED Communication CSA Event Date
- pedCommunication() - Method in class org.drip.exposure.csatimeline.EventSequence
-
Retrieve the PED Communication Event Date
- PEFHoliday - Class in org.drip.analytics.holset
-
- PEFHoliday() - Constructor for class org.drip.analytics.holset.PEFHoliday
-
- PenalizedCurvatureFitTest() - Static method in class org.drip.sample.stretch.CurvatureRoughnessPenaltyFit
-
- PenalizedCurvatureLengthFitTest() - Static method in class org.drip.sample.stretch.CurvatureLengthRoughnessPenalty
-
- penaltyAmount() - Method in class org.drip.portfolioconstruction.optimizer.SoftConstraint
-
Retrieve the Soft Constraint Penalty Amount
- penaltyType() - Method in class org.drip.portfolioconstruction.optimizer.SoftConstraint
-
Retrieve the Soft Constraint Penalty Type
- PENHoliday - Class in org.drip.analytics.holset
-
- PENHoliday() - Constructor for class org.drip.analytics.holset.PENHoliday
-
- pensionBenefits() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityCashFlow
-
Retrieve the Investor Pension Benefits
- pensionBenefitsDF() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityCashFlow
-
Retrieve the Investor Pension Benefits Discount Factor
- pensionBenefitsIncomeDF(double) - Method in class org.drip.portfolioconstruction.alm.DiscountRate
-
Retrieve the Pension Benefits Income Discount Factor
- pensionBenefitsIncomePV() - Method in class org.drip.portfolioconstruction.alm.NetLiabilityMetrics
-
Retrieve the PV of the Pension Benefits Income
- pensionBenefitsIncomeRate() - Method in class org.drip.portfolioconstruction.alm.DiscountRate
-
Retrieve the Pension Benefits Income Discount Rate
- pensionBenefitsIncomeSpread() - Method in class org.drip.portfolioconstruction.alm.DiscountRate
-
Retrieve the Pension Benefits Income Spread
- PERCENT - Static variable in class org.drip.portfolioconstruction.optimizer.Unit
-
Constraint Unit - PERCENT
- PerfectReplicationCollateralizedFunding - Class in org.drip.sample.burgard2013
-
PerfectReplicationCollateralizedFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio
of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
- PerfectReplicationCollateralizedFunding() - Constructor for class org.drip.sample.burgard2013.PerfectReplicationCollateralizedFunding
-
- PerfectReplicationCollateralizedFundingStochastic - Class in org.drip.sample.burgard2013
-
PerfectReplicationCollateralizedFundingStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a
Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA
Schemes.
- PerfectReplicationCollateralizedFundingStochastic() - Constructor for class org.drip.sample.burgard2013.PerfectReplicationCollateralizedFundingStochastic
-
- PerfectReplicationUncollateralizedFunding - Class in org.drip.sample.burgard2013
-
PerfectReplicationUncollateralizedFunding examines the Basel BCBS 2012 OTC Accounting Impact to a
Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA
Schemes.
- PerfectReplicationUncollateralizedFunding() - Constructor for class org.drip.sample.burgard2013.PerfectReplicationUncollateralizedFunding
-
- PerfectReplicationUncollateralizedFundingStochastic - Class in org.drip.sample.burgard2013
-
PerfectReplicationUncollateralizedFundingStochastic examines the Basel BCBS 2012 OTC Accounting Impact to
a Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and
FCA/FBA Schemes.
- PerfectReplicationUncollateralizedFundingStochastic() - Constructor for class org.drip.sample.burgard2013.PerfectReplicationUncollateralizedFundingStochastic
-
- PerfectReplicationZeroThresholdFunding - Class in org.drip.sample.burgard2013
-
PerfectReplicationZeroThresholdFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio
of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
- PerfectReplicationZeroThresholdFunding() - Constructor for class org.drip.sample.burgard2013.PerfectReplicationZeroThresholdFunding
-
- PerfectReplicationZeroThresholdFundingStochastic - Class in org.drip.sample.burgard2013
-
PerfectReplicationZeroThresholdFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio
of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
- PerfectReplicationZeroThresholdFundingStochastic() - Constructor for class org.drip.sample.burgard2013.PerfectReplicationZeroThresholdFundingStochastic
-
- period(int) - Method in class org.drip.product.params.BondStream
-
Retrieve the period corresponding to the given index
- PERIOD_AMORT_AT_END - Static variable in class org.drip.product.params.NotionalSetting
-
Period amortization proxies to the period end factor
- PERIOD_AMORT_AT_START - Static variable in class org.drip.product.params.NotionalSetting
-
Period amortization proxies to the period start factor
- PERIOD_AMORT_EFFECTIVE - Static variable in class org.drip.product.params.NotionalSetting
-
Period amortization proxies to the period effective factor
- PERIOD_DAY_STEPS_MINIMUM - Static variable in class org.drip.param.pricer.CreditPricerParams
-
Minimum number of days per unit
- PERIOD_DISCRETIZATION_DAY_STEP - Static variable in class org.drip.param.pricer.CreditPricerParams
-
Discretization as a sequence of day steps
- PERIOD_DISCRETIZATION_FULL_COUPON - Static variable in class org.drip.param.pricer.CreditPricerParams
-
No discretization at all - just the full coupon period
- PERIOD_DISCRETIZATION_PERIOD_STEP - Static variable in class org.drip.param.pricer.CreditPricerParams
-
Discretization as a sequence of time space divided periods
- periodAmortizationMode() - Method in class org.drip.product.params.NotionalSetting
-
Retrieve the Period Amortization Mode
- periodBilateralCreditAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Compute Period-wise Bilateral Credit Adjustment
- periodBilateralDebtAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Compute Period-wise Bilateral Debt Adjustment
- periodBilateralFundingDebtAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Compute Period Bilateral Funding Debt Adjustment
- periodBilateralFundingDebtAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Period-wise Path Bilateral Funding Debt Adjustment
- periodBilateralFundingValueAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Period-wise Bilateral Path Funding Value Adjustment
- periodBilateralFundingValueSpread01() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Compute Period Bilateral Funding Value Spread 01
- periodBilateralFundingValueSpread01() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Period Bilateral Funding Value Spread 01
- periodCollateralSpread01() - Method in class org.drip.xva.netting.CollateralGroupPath
-
Compute Period-wise Path Collateral Spread 01
- periodCollateralSpread01() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Compute Period-wise Path Collateral Spread 01
- periodCollateralValueAdjustment() - Method in class org.drip.xva.netting.CollateralGroupPath
-
Compute Period-wise Path Collateral Value Adjustment
- periodCollateralValueAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Compute Period-wise Path Collateral Value Adjustment
- periodContraLiabilityCreditAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Compute Period-wise Contra-Liability Credit Adjustment
- periodCreditAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Compute Period-wise Credit Adjustment
- periodCreditAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenNettingGroupPath
-
- periodCurveFloatingRate() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the Period Curve Floating Rate
- periodDebtAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Compute Period-wise Debt Adjustment
- periodDebtAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenNettingGroupPath
-
- periodFixedRate() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the Period Fixed Rate
- periodFixingDate(int) - Method in class org.drip.product.credit.BondComponent
-
- periodFixingDate(int) - Method in class org.drip.product.definition.Bond
-
Get the bond's reset date for the period identified by the valuation date
- periodFloatingRateUsed() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the Period Floating Rate Used
- periodFundingBenefitAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Period-wise Path Funding Benefit Adjustment
- periodFundingBenefitAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath
-
- periodFundingCostAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Period-wise Path Funding Cost Adjustment
- periodFundingCostAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath
-
- periodFundingDebtAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Period-wise Path Funding Debt Adjustment
- periodFundingDebtAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath
-
- periodFundingValueAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Period-wise Path Funding Value Adjustment
- periodFundingValueAdjustment() - Method in class org.drip.xva.strategy.AlbaneseAndersenFundingGroupPath
-
- periodIndex(int) - Method in class org.drip.product.params.BondStream
-
Return the period index containing the specified date
- periodProductFloatingRate() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the Period Product Floating Rate
- periodQuoteSet(ProductQuoteSet, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositeFixedPeriod
-
- periodQuoteSet(ProductQuoteSet, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositeFloatingPeriod
-
- periodQuoteSet(ProductQuoteSet, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Retrieve the Period Calibration Quotes from the specified product quote set
- periods() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Retrieve the List of Composable Periods
- periods() - Method in class org.drip.product.rates.Stream
-
Retrieve a list of the component's coupon periods
- periodSymmetricFundingValueAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Period-wise Path Symmetric Funding Value Adjustment
- periodSymmetricFundingValueSpread01() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Compute Period-wise Symmetric Funding Value Spread 01
- periodSymmetricFundingValueSpread01() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Period Symmetric Funding Value Spread 01
- periodUnilateralCreditAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Compute Period-wise Unilateral Credit Adjustment
- periodUnilateralDebtAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Compute Period-wise Unilateral Debt Adjustment
- periodUnilateralFundingDebtAdjustment() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Compute Period Unilateral Funding Debt Adjustment
- periodUnilateralFundingDebtAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Period-wise Path Unilateral Funding Debt Adjustment
- periodUnilateralFundingValueAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Period-wise Unilateral Path Funding Value Adjustment
- periodUnilateralFundingValueSpread01() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Compute Period Unilateral Funding Value Spread 01
- periodUnilateralFundingValueSpread01() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Period Unilateral Funding Value Spread 01
- periodWiseConvexityAdjustment(int, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Compute the Convexity Adjustment for the Composable Periods that use Arithmetic Compounding using the
specified Value Date using the Market Data provided
- PERMANENT_IMPACT_COEFFICIENT - Static variable in class org.drip.execution.athl.CalibrationEmpirics
-
Universal Permanent Impact Coefficient
- PERMANENT_IMPACT_COEFFICIENT_ONE_SIGMA - Static variable in class org.drip.execution.athl.CalibrationEmpirics
-
Universal Permanent Impact Coefficient One Sigma
- PERMANENT_IMPACT_EXPONENT - Static variable in class org.drip.execution.athl.CalibrationEmpirics
-
Universal Permanent Impact Exponent
- PERMANENT_IMPACT_EXPONENT_ATHL2005 - Static variable in class org.drip.execution.athl.CalibrationEmpirics
-
Almgren, Thum, Hauptmann, and Li (2005) Universal Permanent Impact Exponent
- PERMANENT_IMPACT_EXPONENT_ATHL2005_ONE_SIGMA - Static variable in class org.drip.execution.athl.CalibrationEmpirics
-
Almgren, Thum, Hauptmann, and Li (2005) Universal Permanent Impact Exponent One Sigma
- PERMANENT_IMPACT_EXPONENT_QUASI_ARBITRAGE_FREE - Static variable in class org.drip.execution.athl.CalibrationEmpirics
-
Quasi-Arbitrage Free Universal Permanent Impact Exponent
- PERMANENT_IMPACT_INVERSE_TURNOVER_EXPONENT - Static variable in class org.drip.execution.athl.CalibrationEmpirics
-
The Universal Permanent Impact Inverse Turnover Coefficient
- PERMANENT_IMPACT_INVERSE_TURNOVER_EXPONENT_ATHL2005 - Static variable in class org.drip.execution.athl.CalibrationEmpirics
-
The ATHL2005 Permanent Impact Inverse Turnover Coefficient
- PERMANENT_IMPACT_INVERSE_TURNOVER_EXPONENT_ATHL2005_ONE_SIGMA - Static variable in class org.drip.execution.athl.CalibrationEmpirics
-
The ATHL2005 Permanent Impact Inverse Turnover Coefficient One Sigma Error
- permanentExpectation() - Method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters
-
Retrieve the Background Participation Permanent Market Impact Expectation Function
- permanentImpact() - Method in class org.drip.execution.evolution.MarketImpactComponent
-
Retrieve the Permanent Market Impact Contribution
- permanentImpactDrift() - Method in class org.drip.execution.discrete.EvolutionIncrement
-
Retrieve the Change induced by the Deterministic Asset Price Permanent Market Impact Drivers
- permanentImpactExpectation(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
-
- permanentImpactExpectation() - Method in class org.drip.execution.discrete.ShortfallIncrementDistribution
-
Retrieve the Permanent Market Impact Expectation Component
- permanentImpactExpectation(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
-
- permanentImpactExpectation(ArithmeticPriceEvolutionParameters) - Method in interface org.drip.execution.sensitivity.ControlNodesGreekGenerator
-
Generate the Permanent Impact Expectation Contribution
- permanentImpactFactor() - Method in class org.drip.execution.parameters.PriceMarketImpact
-
Retrieve the Fraction of the Daily Volume that triggers One Bid-Ask of Permanent Impact Cost
- PermanentImpactNoArbitrage - Class in org.drip.execution.athl
-
PermanentImpactNoArbitrage implements the Linear Permanent Market Impact with Coefficients that have been
determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the no Quasi-Arbitrage Criterion
identified by Huberman and Stanzl (2004).
- PermanentImpactNoArbitrage(AssetFlowSettings) - Constructor for class org.drip.execution.athl.PermanentImpactNoArbitrage
-
PermanentImpactNoArbitrage Constructor
- PermanentImpactQuasiArbitrage - Class in org.drip.execution.athl
-
PermanentImpactQuasiArbitrage implements the Linear Permanent Market Impact with Coefficients that have
been determined empirically by Almgren, Thum, Hauptmann, and Li (2005), independent of the no
Quasi-Arbitrage Criterion identified by Huberman and Stanzl (2004).
- PermanentImpactQuasiArbitrage(AssetFlowSettings) - Constructor for class org.drip.execution.athl.PermanentImpactQuasiArbitrage
-
PermanentImpactQuasiArbitrage Constructor
- permanentImpactVariance(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
-
- permanentImpactVariance() - Method in class org.drip.execution.discrete.ShortfallIncrementDistribution
-
Retrieve the Permanent Market Impact Variance Component
- permanentImpactVariance(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
-
- permanentImpactVariance(ArithmeticPriceEvolutionParameters) - Method in interface org.drip.execution.sensitivity.ControlNodesGreekGenerator
-
Generate the Permanent Impact Variance Contribution
- permanentImpactWander() - Method in class org.drip.execution.discrete.EvolutionIncrement
-
Retrieve the Change induced by the Stochastic Asset Price Permanent Market Impact Drivers
- permanentImpactWanderer() - Method in class org.drip.execution.dynamics.WalkSuite
-
Retrieve the Previous Instance of the Permanent Impact Walk Wanderer
- permanentMarketImpactFunction() - Method in class org.drip.execution.athl.TransactionRealization
-
Retrieve the Permanent Market Impact Transaction Function
- permanentTransactionFunction() - Method in class org.drip.execution.parameters.PriceMarketImpact
-
Generate the Permanent Impact Transaction Function
- permanentTransactionFunction() - Method in class org.drip.execution.parameters.PriceMarketImpactLinear
-
Generate the Permanent Impact Transaction Function
- permanentTransactionFunction() - Method in class org.drip.execution.parameters.PriceMarketImpactPower
-
Generate the Permanent Impact Transaction Function
- permanentVolatility() - Method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters
-
Retrieve the Background Participation Permanent Market Impact Volatility Function
- perpetual() - Method in class org.drip.product.credit.BondComponent
-
- perpetual() - Method in class org.drip.product.definition.Bond
-
Indicate if the bond is perpetual
- perpetual() - Method in class org.drip.product.params.TerminationSetting
-
Indicate if the contract is perpetual
- PESHoliday - Class in org.drip.analytics.holset
-
- PESHoliday() - Constructor for class org.drip.analytics.holset.PESHoliday
-
- pfv() - Method in class org.drip.xva.basel.BalanceSheetVertex
-
Estimate the Portfolio Value (PFV)
- phase(double) - Method in class org.drip.portfolioconstruction.alm.InvestorCliffSettings
-
Retrieve the Investment Phase corresponding to the specified Age
- PhaseAdjuster - Class in org.drip.quant.fourier
-
PhaseAdjuster implements the functionality specifically meant for enhancing stability of the Fourier
numerical Routines.
- PhaseAdjuster() - Constructor for class org.drip.quant.fourier.PhaseAdjuster
-
- PhaseTrackerComparison - Class in org.drip.sample.numerical
-
PhaseTrackerComparison demonstrates the Log + Power Complex Number Phase Correction Functionality
implemented by three different ways for the calculation of the Inverse Fourier Transforms.
- PhaseTrackerComparison() - Constructor for class org.drip.sample.numerical.PhaseTrackerComparison
-
- phaseTrackerType() - Method in class org.drip.param.pricer.HestonOptionPricerParams
-
Return the Multi Valued Principal Branch Maintaining Phase Tracker Type
- phi(int, int) - Method in class org.drip.dynamics.hjm.G2PlusPlus
-
Compute the G2++ Phi
- PHPHoliday - Class in org.drip.analytics.holset
-
- PHPHoliday() - Constructor for class org.drip.analytics.holset.PHPHoliday
-
- piecewiseDensities() - Method in class org.drip.measure.lebesgue.R1PiecewiseLinear
-
Retrieve the Array of Piecewise Densities
- piecewiseDensitySlopes() - Method in class org.drip.measure.lebesgue.R1PiecewiseDisplaced
-
Retrieve the Array of Piecewise Density Slopes
- PiecewiseDisplacedLebesgue - Class in org.drip.sample.measure
-
PiecewiseDisplacedLebesgue demonstrates the Generation, the Reconciliation, and the Usage of a Piece-wise
Displaced Linear Lebesgue Measure.
- PiecewiseDisplacedLebesgue() - Constructor for class org.drip.sample.measure.PiecewiseDisplacedLebesgue
-
- PiecewiseForward(JulianDate, String, int[], double[]) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
Create a discount curve from an array of dates/rates
- PiecewiseLinearLebesgue - Class in org.drip.sample.measure
-
PiecewiseLinearLebesgue demonstrates the Generation, the Reconciliation, and the Usage of a Piece-wise
Linear Lebesgue Measure.
- PiecewiseLinearLebesgue() - Constructor for class org.drip.sample.measure.PiecewiseLinearLebesgue
-
- pillarDynamics() - Method in class org.drip.exposure.regressiontrade.AdjustedVariationMarginDynamics
-
Generate the Dynamics of the Sparse Pillar a.k.a Pykhtin (2009)
- PillarVertex - Class in org.drip.exposure.regression
-
PillarVertex hold the Date and the Exposure of each Vertex Pillar.
- PillarVertex(int, double) - Constructor for class org.drip.exposure.regression.PillarVertex
-
PillarVertexConstructor
- pillarVertexArray(LocalVolatilityGenerationControl) - Method in class org.drip.exposure.regression.PykhtinPillarDynamics
-
Retrieve the Pykhtin Pillar Vertex Array
- PimpriChinchwad - Class in org.drip.sample.bondeos
-
PimpriChinchwad demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation
for PimpriChinchwad.
- PimpriChinchwad() - Constructor for class org.drip.sample.bondeos.PimpriChinchwad
-
- Pingdingshan - Class in org.drip.sample.bondeos
-
Pingdingshan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Pingdingshan.
- Pingdingshan() - Constructor for class org.drip.sample.bondeos.Pingdingshan
-
- pip() - Method in class org.drip.product.calib.FXForwardQuoteSet
-
Retrieve the Terminal FX Forward PIP
- pipFactor() - Method in class org.drip.product.params.CurrencyPair
-
Get the PIP Factor
- Pivot(double[][], double[]) - Static method in class org.drip.quant.linearalgebra.LinearSystemSolver
-
Pivots the matrix A (Refer to wikipedia to find out what "pivot a matrix" means ;))
- PIVOT_ANCHOR_TYPE_CUSTOM - Static variable in class org.drip.sequence.metrics.PivotedDepartureBounds
-
PIVOT ANCHOR TYPE - CUSTOM
- PIVOT_ANCHOR_TYPE_MEAN - Static variable in class org.drip.sequence.metrics.PivotedDepartureBounds
-
PIVOT ANCHOR TYPE - MEAN
- PIVOT_ANCHOR_TYPE_ZERO - Static variable in class org.drip.sequence.metrics.PivotedDepartureBounds
-
PIVOT ANCHOR TYPE - ZERO
- pivotAnchorType() - Method in class org.drip.sequence.metrics.PivotedDepartureBounds
-
Retrieve the Pivot Anchor Type
- PivotDiagonal(double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Pivot the Diagonal of the Input Matrix
- PivotedDepartureBounds - Class in org.drip.sequence.metrics
-
PivotedDepartureBounds holds the Lower/Upper Probability Bounds in regards to the Specified Pivot-Centered
Sequence.
- PivotedDepartureBounds(int, double, double, double) - Constructor for class org.drip.sequence.metrics.PivotedDepartureBounds
-
PivotedDepartureBounds Constructor
- pivotedDifferenceSequenceMetrics(MultivariateRandom) - Method in class org.drip.sequence.functional.EfronSteinMetrics
-
Compute the Function Sequence Agnostic Metrics associated with each Variate around the Pivot Point
provided by the Pivot Function
- pivotVarianceUpperBound(MultivariateRandom) - Method in class org.drip.sequence.functional.EfronSteinMetrics
-
Compute the Function Variance Upper Bound using the supplied Multivariate Pivoting Function
- Pizhou - Class in org.drip.sample.bondeos
-
Pizhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Pizhou.
- Pizhou() - Constructor for class org.drip.sample.bondeos.Pizhou
-
- PLN - Class in org.drip.template.irs
-
PLN contains a Templated Pricing of the OTC Fix-Float PLN IRS Instrument.
- PLN() - Constructor for class org.drip.template.irs.PLN
-
- PLN3M6MUSD3M6M - Class in org.drip.sample.dual
-
PLN3M6MUSD3M6M demonstrates the setup and construction of the USD 3M Forward Curve from PLN3M6MUSD3M6M
CCBS, PLN 3M, PLN 6M, and USD 6M Quotes.
- PLN3M6MUSD3M6M() - Constructor for class org.drip.sample.dual.PLN3M6MUSD3M6M
-
- PLNHoliday - Class in org.drip.analytics.holset
-
- PLNHoliday() - Constructor for class org.drip.analytics.holset.PLNHoliday
-
- PLNIRSAttribution - Class in org.drip.sample.fixfloatpnl
-
PLNIRSAttribution generates the Historical PnL Attribution for PLN IRS.
- PLNIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.PLNIRSAttribution
-
- PLNShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
-
PLNShapePreserving1YStart Generates the Historical PLN Shape Preserving Funding Curve Native Compounded
Forward Rate starting at 1Y Tenor.
- PLNShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.PLNShapePreserving1YStart
-
- PLNShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
-
PLNShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the
PLN Input Marks.
- PLNShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.PLNShapePreservingReconstitutor
-
- PLZHoliday - Class in org.drip.analytics.holset
-
- PLZHoliday() - Constructor for class org.drip.analytics.holset.PLZHoliday
-
- pmsFirst() - Method in class org.drip.historical.attribution.PositionChangeComponents
-
Retrieve the First Position Market Snapshot Instance
- pmsSecond() - Method in class org.drip.historical.attribution.PositionChangeComponents
-
Retrieve the Second Position Market Snapshot Instance
- pnlMetric() - Method in class org.drip.service.api.InstrMetric
-
Retrieve the PnL Metric
- pNorm() - Method in interface org.drip.spaces.metric.GeneralizedMetricVectorSpace
-
Retrieve the P-Norm Index of the Metric Space
- pNorm() - Method in class org.drip.spaces.metric.R1Combinatorial
-
- pNorm() - Method in class org.drip.spaces.metric.R1Continuous
-
- pNorm() - Method in class org.drip.spaces.metric.RdCombinatorialBanach
-
- pNorm() - Method in class org.drip.spaces.metric.RdContinuousBanach
-
- PointAncillaryMetricsDynamics - Class in org.drip.sample.lmm
-
PointAncillaryMetricsDynamics demonstrates the Construction and Usage of the Point LIBOR State Evolver,
and the eventual Evolution of the related Ancillary bDiscount/Forward Latent State Quantification
Metrics.
- PointAncillaryMetricsDynamics() - Constructor for class org.drip.sample.lmm.PointAncillaryMetricsDynamics
-
- PointCoreMetricsDynamics - Class in org.drip.sample.lmm
-
PointCoreMetricsDynamics demonstrates the Construction and Usage of the Point LIBOR State Evolver, and the
eventual Evolution of the related Core bDiscount/Forward Latent State Quantification Metrics.
- PointCoreMetricsDynamics() - Constructor for class org.drip.sample.lmm.PointCoreMetricsDynamics
-
- PointStateEvolver - Interface in org.drip.dynamics.evolution
-
PointStateEvolver is the Interface on top of which the Point State Evolution Dynamics is constructed.
- pointVolatilityModulus(int, int) - Method in class org.drip.dynamics.hjm.MultiFactorVolatility
-
Compute the Point Volatility Modulus
- pointVolatilityModulusDerivative(int, int, int, boolean) - Method in class org.drip.dynamics.hjm.MultiFactorVolatility
-
Compute the Point Volatility Modulus Derivative
- Poisson - Class in org.drip.sequence.random
-
Poisson implements the Poisson Random Number Generator.
- Poisson(double) - Constructor for class org.drip.sequence.random.Poisson
-
Construct a Poisson Random Number Generator
- PoissonDistribution - Class in org.drip.measure.discrete
-
PoissonDistribution implements the Univariate Poisson Distribution using the specified Mean/Variance.
- PoissonDistribution(double) - Constructor for class org.drip.measure.discrete.PoissonDistribution
-
Construct a PoissonDistribution Instance
- PoissonRandomSequenceBound - Class in org.drip.sample.sequence
-
PoissonRandomSequenceBound demonstrates the Computation of the Probabilistic Bounds for a Sample Random
Poisson Sequence.
- PoissonRandomSequenceBound() - Constructor for class org.drip.sample.sequence.PoissonRandomSequenceBound
-
- PoissonSequenceAgnosticMetrics - Class in org.drip.sequence.metrics
-
PoissonSequenceAgnosticMetrics contains the Sample Distribution Metrics and Agnostic Bounds related to the
specified Poisson Sequence.
- PoissonSequenceAgnosticMetrics(double[], double) - Constructor for class org.drip.sequence.metrics.PoissonSequenceAgnosticMetrics
-
PoissonSequenceAgnosticMetrics Constructor
- Polynomial - Class in org.drip.function.r1tor1
-
Polynomial provides the evaluation of the n-th order Polynomial and its derivatives for a specified
variate.
- Polynomial(int) - Constructor for class org.drip.function.r1tor1.Polynomial
-
Polynomial constructor
- PolynomialBasisSet(PolynomialFunctionSetParams) - Static method in class org.drip.spline.basis.FunctionSetBuilder
-
This function implements the elastic coefficients for the segment using polynomial basis splines
inside [0,...,1) - Globally [x_0,...,x_1):
y = Sum (A_i*x^i) i = 0,...,n (0 and n inclusive)
where x is the normalized ordinate mapped as
x .gte.
- PolynomialBasisSpline - Class in org.drip.sample.spline
-
PolynomialBasisSpline implements Samples for the Construction and the usage of polynomial (both regular
and Hermite) basis spline functions.
- PolynomialBasisSpline() - Constructor for class org.drip.sample.spline.PolynomialBasisSpline
-
- PolynomialFunctionSetParams - Class in org.drip.spline.basis
-
PolynomialFunctionSetParams implements per-segment basis set parameters for the polynomial basis spline -
currently it holds the number of basis functions.
- PolynomialFunctionSetParams(int) - Constructor for class org.drip.spline.basis.PolynomialFunctionSetParams
-
PolynomialFunctionSetParams constructor
- PolynomialSegmentControlParams(int, SegmentInelasticDesignControl, ResponseScalingShapeControl) - Static method in class org.drip.sample.stretch.CurvatureLengthRoughnessPenalty
-
- PolynomialSegmentControlParams(int, SegmentInelasticDesignControl, ResponseScalingShapeControl) - Static method in class org.drip.sample.stretch.CurvatureRoughnessPenaltyFit
-
- polynomialTensionDegree() - Method in class org.drip.spline.basis.KaklisPandelisSetParams
-
Get the Segment Polynomial Tension Degree
- populationCoveringNumber(double) - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
-
Estimate for the Function Class Population Covering Number
- populationCoveringNumber(double[]) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
Estimate for the Function Class Population Covering Number Array, one for each dimension
- populationCoveringNumber(double) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
Estimate for the Function Class Population Covering Number Array, one for each dimension
- populationCoveringNumber(double) - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
-
Retrieve the Population Covering Number
- populationCoveringNumber(double) - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
-
Retrieve the Population Covering Number Array
- populationDistribution() - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Retrieve the Population Distribution
- populationESS() - Method in class org.drip.spaces.rxtor1.NormedR1ToNormedR1
-
- populationESS() - Method in class org.drip.spaces.rxtor1.NormedRdToNormedR1
-
- populationESS() - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
-
Retrieve the Population ESS (Essential Spectrum)
- populationESS() - Method in class org.drip.spaces.rxtord.NormedR1ToNormedRd
-
- populationESS() - Method in class org.drip.spaces.rxtord.NormedRdToNormedRd
-
- populationESS() - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
-
Retrieve the Population ESS (Essential Spectrum) Array
- populationMean() - Method in class org.drip.sequence.metrics.PoissonSequenceAgnosticMetrics
-
Retrieve the Mean of the Underlying Distribution
- populationMean() - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Retrieve the Population Mean
- populationMean() - Method in class org.drip.sequence.metrics.UnitSequenceAgnosticMetrics
-
Retrieve the Mean of the Underlying Distribution
- populationMetricCoveringBounds() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
-
Compute the Maurey Covering Number Upper Bounds for Operator Population Metric Norm
- populationMetricEntropyNorm(int, boolean) - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
-
Compute the Population Metric Carl-Stephani Entropy Number Upper Bound using either the
Metric/Supremum Population Norm
- populationMetricEntropyNumber(int, int) - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
-
Compute the Upper Bound for the Entropy Number of the Operator Population Metric Covering Number
Convolution Product Product across both the Function Classes
- populationMetricNorm() - Method in interface org.drip.spaces.metric.GeneralizedMetricVectorSpace
-
Retrieve the Population Metric Norm
- populationMetricNorm() - Method in class org.drip.spaces.metric.R1Combinatorial
-
- populationMetricNorm() - Method in class org.drip.spaces.metric.R1Continuous
-
- populationMetricNorm() - Method in class org.drip.spaces.metric.RdCombinatorialBanach
-
- populationMetricNorm() - Method in class org.drip.spaces.metric.RdContinuousBanach
-
- populationMetricNorm() - Method in class org.drip.spaces.rxtor1.NormedR1CombinatorialToR1Continuous
-
- populationMetricNorm() - Method in class org.drip.spaces.rxtor1.NormedR1ContinuousToR1Continuous
-
- populationMetricNorm() - Method in class org.drip.spaces.rxtor1.NormedRdCombinatorialToR1Continuous
-
- populationMetricNorm() - Method in class org.drip.spaces.rxtor1.NormedRdContinuousToR1Continuous
-
- populationMetricNorm() - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
-
Retrieve the Population Metric Norm
- populationMetricNorm() - Method in class org.drip.spaces.rxtord.NormedR1CombinatorialToRdContinuous
-
- populationMetricNorm() - Method in class org.drip.spaces.rxtord.NormedR1ContinuousToRdContinuous
-
- populationMetricNorm() - Method in class org.drip.spaces.rxtord.NormedRdCombinatorialToRdContinuous
-
- populationMetricNorm() - Method in class org.drip.spaces.rxtord.NormedRdContinuousToRdContinuous
-
- populationMetricNorm() - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
-
Retrieve the Population Metric Norm Array
- populationMode() - Method in class org.drip.spaces.metric.R1Combinatorial
-
- populationMode() - Method in class org.drip.spaces.metric.R1Continuous
-
- populationMode() - Method in interface org.drip.spaces.metric.R1Normed
-
Retrieve the Population Mode
- populationMode() - Method in class org.drip.spaces.metric.RdCombinatorialBanach
-
- populationMode() - Method in class org.drip.spaces.metric.RdContinuousBanach
-
- populationMode() - Method in interface org.drip.spaces.metric.RdNormed
-
Retrieve the Population Mode
- populationRdESS() - Method in class org.drip.spaces.rxtord.NormedRdToNormedRd
-
Retrieve the Population R^d ESS (Essential Spectrum) Array
- populationRdMetricNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
Compute the Population R^d Metric Norm
- populationRdSupremumNorm() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
Compute the Population R^d Supremum Norm
- populationRdSupremumNorm() - Method in class org.drip.spaces.rxtord.NormedRdToNormedRd
-
Retrieve the Population R^d Supremum Norm
- populationSupremumCoveringBounds() - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
-
Compute the Maurey Covering Number Upper Bounds for Operator Population Supremum Norm
- populationSupremumCoveringNumber(double) - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
-
Estimate for the Function Class Population Supremum Covering Number
- populationSupremumCoveringNumber(double[]) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
Estimate for the Function Class Population Supremum Covering Number Array, one for each dimension
- populationSupremumCoveringNumber(double) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
Estimate for the Function Class Population Supremum Covering Number Array, one for each dimension
- populationSupremumCoveringNumber(double) - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
-
Retrieve the Population Supremum Covering Number
- populationSupremumCoveringNumber(double) - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
-
Retrieve the Population Supremum Covering Number Array
- populationSupremumEntropyNorm(int, boolean) - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
-
Compute the Population Supremum Carl-Stephani Entropy Number Upper Bound using either the
Metric/Supremum Population Norm
- populationSupremumEntropyNumber(int, int) - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
-
Compute the Upper Bound for the Entropy Number of the Operator Population Supremum Covering Number
Convolution Product across both the Function Classes
- populationSupremumMetricNorm() - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
-
Retrieve the Population Supremum Metric Norm
- populationSupremumNorm() - Method in class org.drip.spaces.metric.RdCombinatorialBanach
-
- populationSupremumNorm() - Method in class org.drip.spaces.metric.RdContinuousBanach
-
- populationSupremumNorm() - Method in interface org.drip.spaces.metric.RdNormed
-
Compute the Population Supremum Norm of the Sample
- populationSupremumNorm() - Method in class org.drip.spaces.rxtord.NormedRdToNormedRd
-
- populationSupremumNorm() - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
-
Retrieve the Population Supremum Norm Array
- populationVariance() - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Retrieve the Population Variance
- Portfolio - Class in org.drip.portfolioconstruction.asset
-
Portfolio implements an Instance of the Portfolio of Assets.
- Portfolio(AssetComponent[]) - Constructor for class org.drip.portfolioconstruction.asset.Portfolio
-
Portfolio Constructor
- PORTFOLIO - Static variable in class org.drip.portfolioconstruction.optimizer.Scope
-
Applicable Scope Level - PORTFOLIO
- PortfolioAndBenchmarkMetrics - Class in org.drip.sample.idzorek
-
PortfolioAndBenchmarkMetrics demonstrates the Prior-Posterior Portfolio Statistics using the
Black-Litterman Model augmented with the Idzorek Model.
- PortfolioAndBenchmarkMetrics() - Constructor for class org.drip.sample.idzorek.PortfolioAndBenchmarkMetrics
-
- PortfolioBenchmarkMetrics - Class in org.drip.portfolioconstruction.asset
-
PortfolioBenchmarkMetrics holds the Metrics that result from a Relative Valuation of a Portfolio with
respect to a Benchmark.
- PortfolioBenchmarkMetrics(double, double, double, double, double, double) - Constructor for class org.drip.portfolioconstruction.asset.PortfolioBenchmarkMetrics
-
PortfolioBenchmarkMetrics Constructor
- portfolioBenchmarkMetrics() - Method in class org.drip.portfolioconstruction.optimizer.RebalancerAnalytics
-
Retrieve the Portfolio Benchmark Metrics
- PortfolioCollateralEstimate - Class in org.drip.sample.xva
-
PortfolioCollateralEstimate illustrates the Estimation of the Collateral Amount on a Single Trade Collateral
Portfolio.
- PortfolioCollateralEstimate() - Constructor for class org.drip.sample.xva.PortfolioCollateralEstimate
-
- PortfolioConstructionParameters - Class in org.drip.portfolioconstruction.allocator
-
PortfolioConstructionParameters holds the Parameters needed to construct the Portfolio.
- PortfolioConstructionParameters(String[], CustomRiskUtilitySettings, PortfolioEqualityConstraintSettings) - Constructor for class org.drip.portfolioconstruction.allocator.PortfolioConstructionParameters
-
PortfolioConstructionParameters Constructor
- PortfolioConstructionProcessor - Class in org.drip.json.assetallocation
-
PortfolioConstructionProcessor Sets Up and Executes a JSON Based In/Out Processing Service for Constrained
and Unconstrained Portfolio Construction.
- PortfolioConstructionProcessor() - Constructor for class org.drip.json.assetallocation.PortfolioConstructionProcessor
-
- PortfolioEqualityConstraintSettings - Class in org.drip.portfolioconstruction.allocator
-
PortfolioEqualityConstraintSettings holds the Parameters required to generate the Mandatory Constraints
for the Portfolio.
- PortfolioEqualityConstraintSettings(int, double) - Constructor for class org.drip.portfolioconstruction.allocator.PortfolioEqualityConstraintSettings
-
PortfolioEqualityConstraintSettings Constructor
- PortfolioGroupRun - Class in org.drip.sample.netting
-
PortfolioGroupRun demonstrates the Simulation Run of the Netting Group Exposure.
- PortfolioGroupRun() - Constructor for class org.drip.sample.netting.PortfolioGroupRun
-
- PortfolioGroupSimulation - Class in org.drip.sample.netting
-
PortfolioGroupRun demonstrates a Set of Netting Group Exposure Simulations.
- PortfolioGroupSimulation() - Constructor for class org.drip.sample.netting.PortfolioGroupSimulation
-
- PortfolioMetrics - Class in org.drip.portfolioconstruction.asset
-
PortfolioMetrics holds the Expected Portfolio Returns and the Standard Deviation.
- PortfolioMetrics(double, double, double, double, double[]) - Constructor for class org.drip.portfolioconstruction.asset.PortfolioMetrics
-
PortfolioMetrics Constructor
- portfolioMetrics() - Method in class org.drip.portfolioconstruction.optimizer.RebalancerAnalytics
-
Retrieve the Portfolio Metrics
- PortfolioMPoR - Class in org.drip.exposure.generator
-
PortfolioMPoR estimates the MPoR Variation Margin and the Trade Payments for the Component MPoR's of a
given Portfolio off of the Realized Market Path.
- PortfolioMPoR() - Constructor for class org.drip.exposure.generator.PortfolioMPoR
-
- PortfolioPathAggregationCorrelated - Class in org.drip.sample.netting
-
PortfolioPathAggregationCorrelated generates the Aggregation of the Portfolio Paths evolved using
Correlated Market Parameters.
- PortfolioPathAggregationCorrelated() - Constructor for class org.drip.sample.netting.PortfolioPathAggregationCorrelated
-
- PortfolioPathAggregationDeterministic - Class in org.drip.sample.netting
-
PortfolioPathAggregationDeterministic generates an Aggregation of the Portfolio Paths evolved using
Deterministic Market Parameters.
- PortfolioPathAggregationDeterministic() - Constructor for class org.drip.sample.netting.PortfolioPathAggregationDeterministic
-
- PortfolioPathAggregationUncorrelated - Class in org.drip.sample.netting
-
PortfolioPathAggregationUncorrelated generates the Aggregation of the Portfolio Paths evolved using
Uncorrelated Market Parameters.
- PortfolioPathAggregationUncorrelated() - Constructor for class org.drip.sample.netting.PortfolioPathAggregationUncorrelated
-
- portfolioValueChange() - Method in class org.drip.xva.basel.OTCAccountingPolicy
-
Retrieve the Portfolio Value Change
- POSITION_PRINCIPAL_COMPONENT_COVARIANCE_ESTIMATOR_FRTB - Static variable in class org.drip.simm.parameters.MarginEstimationSettings
-
FRTB Based Position - Principal Component Estimator
- POSITION_PRINCIPAL_COMPONENT_COVARIANCE_ESTIMATOR_ISDA - Static variable in class org.drip.simm.parameters.MarginEstimationSettings
-
ISDA Based Position - Principal Component Estimator
- PositionChangeComponents - Class in org.drip.historical.attribution
-
PositionChangeComponents contains the Decomposition of the Components of the Interval Change for a given
Position.
- PositionChangeComponents(boolean, PositionMarketSnap, PositionMarketSnap, double, CaseInsensitiveHashMap<Double>) - Constructor for class org.drip.historical.attribution.PositionChangeComponents
-
PositionChangeComponents Constructor
- positionGreekVertex() - Method in class org.drip.xva.derivative.EvolutionTrajectoryVertex
-
Retrieve the Position Greek Vertex
- PositionGreekVertex - Class in org.drip.xva.derivative
-
PositionGreekVertex holds the Derivative XVA Value, its Delta, and its Gamma to the Position Value.
- PositionGreekVertex(double, double, double, double) - Constructor for class org.drip.xva.derivative.PositionGreekVertex
-
PositionGreekVertex Constructor
- PositionGroup - Class in org.drip.exposure.holdings
-
PositionGroup holds the Settings that correspond to a Position/Collateral Group.
- PositionGroup(PositionSchemaSpecification, PositionGroupEstimator) - Constructor for class org.drip.exposure.holdings.PositionGroup
-
PositionGroup Constructor
- positionGroup(String) - Method in class org.drip.xva.topology.CollateralGroup
-
Retrieve the Position Group identified by the specified ID
- PositionGroup - Class in org.drip.xva.topology
-
PositionGroup contains the Named Position Group Instance and Specification.
- PositionGroup(String, String, PositionGroupSpecification) - Constructor for class org.drip.xva.topology.PositionGroup
-
PositionGroup Constructor
- positionGroupArray() - Method in class org.drip.exposure.holdings.PositionGroupContainer
-
Retrieve the Array of Position Groups
- positionGroupArray() - Method in class org.drip.exposure.holdings.PositionGroupSegment
-
Retrieve the Position Group Array
- positionGroupArrayVertex() - Method in class org.drip.xva.dynamics.PositionGroupTrajectory
-
Retrieve the Position Group Array Vertex Value
- PositionGroupContainer - Class in org.drip.exposure.holdings
-
PositionGroupContainer contains a Set of Position/Collateral Groups.
- PositionGroupContainer(PositionGroup[]) - Constructor for class org.drip.exposure.holdings.PositionGroupContainer
-
PositionGroupContainer Constructor
- positionGroupContainer() - Method in class org.drip.xva.dynamics.PathSimulator
-
Retrieve the Position Group Container
- positionGroupEstimator() - Method in class org.drip.exposure.holdings.PositionGroup
-
Retrieve the Position Group Estimator
- PositionGroupEstimator - Class in org.drip.exposure.holdings
-
PositionGroupEstimator evaluates the Value of the Position Group given the Realized Market Path.
- PositionGroupEstimator() - Constructor for class org.drip.exposure.holdings.PositionGroupEstimator
-
Empty PositionGroupNumeraire Constructor
- positionGroupMap() - Method in class org.drip.xva.topology.CollateralGroup
-
Retrieve the Position Group Map
- PositionGroupSegment - Class in org.drip.exposure.holdings
-
PositionGroupSegment contains one Segment of a Position/Collateral Group.
- PositionGroupSegment() - Constructor for class org.drip.exposure.holdings.PositionGroupSegment
-
Empty PositionGroupSegment Constructor
- positionGroupSet() - Method in class org.drip.exposure.holdings.PositionGroupSegment
-
Retrieve the Position Group Segment
- positionGroupSpecification() - Method in class org.drip.exposure.holdings.PositionGroup
-
Retrieve the Position Group Specification
- positionGroupSpecification() - Method in class org.drip.exposure.mpor.CollateralAmountEstimator
-
Retrieve the Position Group Specification
- positionGroupSpecification() - Method in class org.drip.xva.dynamics.PositionGroupTrajectory
-
Retrieve the Position Group Specification
- PositionGroupSpecification - Class in org.drip.xva.proto
-
PositionGroupSpecification contains the Specification of a Named Position Group.
- PositionGroupSpecification(String, String, int, int, R1ToR1[], R1ToR1, double, double, int, int, double, int) - Constructor for class org.drip.xva.proto.PositionGroupSpecification
-
PositionGroupSpecification Constructor
- positionGroupSpecification() - Method in class org.drip.xva.proto.PositionSchemaSpecification
-
Retrieve the Margin Group Specification
- positionGroupSpecification() - Method in class org.drip.xva.topology.PositionGroup
-
Retrieve the Position Group Specification
- PositionGroupTrajectory - Class in org.drip.xva.dynamics
-
PositionGroupTrajectory generates the Customized Position Group Trajectories.
- PositionGroupTrajectory(PositionGroupSpecification, MarketPath, double[][]) - Constructor for class org.drip.xva.dynamics.PositionGroupTrajectory
-
PositionGroupTrajectory Constructor
- positionGroupVertexArray() - Method in class org.drip.xva.dynamics.PositionGroupTrajectory
-
Generate the Position Collateral Group Vertex Array
- positionHoldings() - Method in class org.drip.xva.derivative.ReplicationPortfolioVertex
-
Retrieve the Number of Position Holdings
- PositionManifestMeasureSnap - Class in org.drip.historical.attribution
-
PositionManifestMeasureSnap contains the Metrics Snapshot associated with a Specified Manifest Measure
for a given Position.
- PositionManifestMeasureSnap(double, double, double) - Constructor for class org.drip.historical.attribution.PositionManifestMeasureSnap
-
PositionManifestMeasureSnap Constructor
- PositionMarketSnap - Class in org.drip.historical.attribution
-
PositionMarketSnap contains the Metrics Snapshot associated with the relevant Manifest Measures for a
given Position.
- PositionMarketSnap(JulianDate, double) - Constructor for class org.drip.historical.attribution.PositionMarketSnap
-
PositionMarketSnap Constructor
- positionPrincipalComponentCovarianceFRTB() - Method in class org.drip.simm.margin.BucketAggregate
-
Compute the FRTB SBA-C Position Principal Component Co-variance
- positionPrincipalComponentCovarianceFRTB() - Method in class org.drip.simm.margin.BucketAggregateCR
-
Compute the FRTB SBA-C Position Principal Component Co-variance
- positionPrincipalComponentCovarianceFRTB() - Method in class org.drip.simm.margin.BucketAggregateIR
-
Compute the FRTB SBA-C Position Principal Component Co-variance
- positionPrincipalComponentCovarianceISDA() - Method in class org.drip.simm.margin.BucketAggregate
-
Compute the ISDA SIMM Position Principal Component Co-variance
- positionPrincipalComponentCovarianceISDA() - Method in class org.drip.simm.margin.BucketAggregateCR
-
Compute the ISDA SIMM Position Principal Component Co-variance
- positionPrincipalComponentCovarianceISDA() - Method in class org.drip.simm.margin.BucketAggregateIR
-
Compute the ISDA SIMM Position Principal Component Co-variance
- positionPrincipalComponentScheme() - Method in class org.drip.simm.parameters.MarginEstimationSettings
-
Retrieve the Position Principal Component Scheme
- positionReplicationScheme() - Method in class org.drip.xva.proto.PositionGroupSpecification
-
Retrieve the Position Replication Scheme
- PositionReplicationScheme - Class in org.drip.xva.settings
-
PositionReplicationScheme holds the various Position Group Replication Schemes and their corresponding
Vertex Generation Mechanisms.
- PositionReplicationScheme() - Constructor for class org.drip.xva.settings.PositionReplicationScheme
-
- PositionSchemaSpecification - Class in org.drip.xva.proto
-
PositionSchemaSpecification contains the Specifications of a Position Schema.
- PositionSchemaSpecification(String, String, PositionGroupSpecification, CollateralGroupSpecification, CreditDebtGroupSpecification, FundingGroupSpecification) - Constructor for class org.drip.xva.proto.PositionSchemaSpecification
-
PositionSchemaSpecification Constructor
- positionValueBump() - Method in class org.drip.xva.pde.BurgardKjaerEdge
-
Retrieve the Position Value Bump
- PositiveLinearlyIndependent(double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Indicate if the Array Entries are Positive Linearly Independent
- PositiveOrZero(double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Indicate if the Array Entries are Positive or Zero
- positiveProbability() - Method in class org.drip.sequence.functional.BinaryIdempotentUnivariateRandom
-
Retrieve the Probability of reaching 1
- positiveProbability() - Method in class org.drip.sequence.random.Binary
-
Retrieve the Positive Instance Probability
- posterior() - Method in class org.drip.analytics.daycount.DateEOMAdjustment
-
Retrieve the Posterior Date Adjustment
- posterior() - Method in class org.drip.measure.bayesian.JointPosteriorMetrics
-
Retrieve the Posterior Distribution
- posteriorDriftDistribution(double) - Method in class org.drip.execution.bayesian.PriorConditionalCombiner
-
Generate the Posterior Drift Distribution
- postingRequirement(JulianDate) - Method in class org.drip.exposure.mpor.CollateralAmountEstimator
-
Calculate the Gross Margin Amount Required to be Posted
- postingRequirement() - Method in class org.drip.exposure.mpor.CollateralAmountEstimatorOutput
-
Retrieve the Total Collateral Posting Requirement
- postRegression(RegressionRunDetail) - Method in class org.drip.regression.core.UnitRegressionExecutor
-
Clean-up of the objects set-up for the regression
- postRegression(RegressionRunDetail) - Method in class org.drip.regression.spline.BasisSplineRegressor
-
- postRegression(RegressionRunDetail) - Method in class org.drip.regression.spline.HermiteBasisSplineRegressor
-
- postRegression(RegressionRunDetail) - Method in class org.drip.regression.spline.LagrangePolynomialStretchRegressor
-
- postRegression(RegressionRunDetail) - Method in class org.drip.regression.spline.LocalControlBasisSplineRegressor
-
- PostTaxEquivalentYieldToNominal(double, double) - Static method in class org.drip.analytics.support.Helper
-
Convert the Post Tax Equivalent Yield to the Nominal Yield
- PotentialEventOfDefault(JulianDate) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
-
Construct the Potential Event of Default CSA Event Date
- PowerImpactContinuous - Class in org.drip.execution.optimum
-
PowerImpactContinuous contains the Trading Trajectory generated by the Almgren (2003) Power Impact Scheme
under the Criterion of No-Drift.
- PowerImpactContinuous(double, double, double, double, double, double, double, R1ToR1, R1ToR1, R1ToR1, R1ToR1) - Constructor for class org.drip.execution.optimum.PowerImpactContinuous
-
PowerImpactContinuous Constructor
- PowerIterationComponentExtractor - Class in org.drip.quant.eigen
-
PowerIterationComponentExtractor extracts the Linear System Components using the Power Iteration Method.
- PowerIterationComponentExtractor(int, double, boolean) - Constructor for class org.drip.quant.eigen.PowerIterationComponentExtractor
-
PowerIterationComponentExtractor Constructor
- PowerLawOptimalTrajectory - Class in org.drip.sample.almgren2003
-
PowerLawOptimalTrajectory sketches out the Optimal Trajectories for 3 different values of k - representing
Concave, Linear, and Convex Power's respectively.
- PowerLawOptimalTrajectory() - Constructor for class org.drip.sample.almgren2003.PowerLawOptimalTrajectory
-
- PowerLogPhaseTracker(ComplexNumber, ComplexNumber, int, int) - Static method in class org.drip.quant.fourier.PhaseAdjuster
-
Handling the Branch Switching of the Complex Power Function according Kahl-Jackel algorithm:
- http://www.pjaeckel.webspace.virginmedia.com/NotSoComplexLogarithmsInTheHestonModel.pdf
- PowerVarianceObjectiveUtility - Class in org.drip.execution.risk
-
PowerVarianceObjectiveUtility implements the Mean-Power-Variance Objective Utility Function that needs to
be optimized to extract the Optimal Execution Trajectory.
- PowerVarianceObjectiveUtility(double, double) - Constructor for class org.drip.execution.risk.PowerVarianceObjectiveUtility
-
PowerVarianceObjectiveUtility Constructor
- preceeding() - Method in class org.drip.spaces.graph.ShortestPathVertex
-
Retrieve the Preceeding Traversal Vertex
- PreceedingManifestSensitivityControl - Class in org.drip.spline.params
-
PreceedingManifestSensitivityControl provides the control parameters that determine the behavior of
non-local manifest sensitivity.
- PreceedingManifestSensitivityControl(boolean, int, BasisEvaluator) - Constructor for class org.drip.spline.params.PreceedingManifestSensitivityControl
-
PreceedingManifestSensitivityControl constructor
- preceedingManifestSensitivityControl() - Method in class org.drip.spline.params.SegmentCustomBuilderControl
-
Retrieve the Preceeding Manifest Sensitivity Control Parameters
- precisionMatrix() - Method in class org.drip.measure.gaussian.Covariance
-
Retrieve the Precision Matrix
- predictorOrdinate() - Method in class org.drip.spline.params.SegmentBestFitResponse
-
Retrieve the Array of Predictor Ordinates
- predictorOrdinate(int) - Method in class org.drip.spline.params.SegmentBestFitResponse
-
Retrieve the Indexed Predictor Ordinate Element
- predictorOrdinate() - Method in class org.drip.spline.params.StretchBestFitResponse
-
Retrieve the Array of Predictor Ordinates
- predictorOrdinate(int) - Method in class org.drip.spline.params.StretchBestFitResponse
-
Retrieve the Indexed Predictor Ordinate Element
- predictorOrdinates() - Method in class org.drip.measure.lebesgue.R1PiecewiseDisplaced
-
Retrieve the Array of Predictor Ordinates
- predictorOrdinates() - Method in class org.drip.measure.lebesgue.R1PiecewiseLinear
-
Retrieve the Array of Predictor Ordinates
- predictorOrdinates() - Method in class org.drip.spline.basis.BSplineSequenceParams
-
Retrieve the Array of Predictor Ordinates
- predictorOrdinates() - Method in class org.drip.spline.params.SegmentResponseValueConstraint
-
Retrieve the Array of Predictor Ordinates
- predictorOrdinates() - Method in class org.drip.spline.params.SegmentStateCalibrationInputs
-
Retrieve the Array of the Calibration Predictor Ordinates
- predictorOrdinates() - Method in class org.drip.spline.pchip.MonotoneConvexHaganWest
-
Retrieve the Array of Predictor Ordinates
- PredictorResponseRelationSetup - Class in org.drip.state.estimator
-
PredictorResponseRelationSetup holds the Linearized Constraints (and, optionally, their quote
sensitivities) necessary needed for the Linear Calibration.
- PredictorResponseRelationSetup() - Constructor for class org.drip.state.estimator.PredictorResponseRelationSetup
-
Empty PredictorResponseRelationSetup constructor
- PredictorResponseWeightConstraint - Class in org.drip.state.estimator
-
PredictorResponseWeightConstraint holds the Linearized Constraints (and, optionally, their quote
sensitivities) necessary needed for the Linear Calibration.
- PredictorResponseWeightConstraint() - Constructor for class org.drip.state.estimator.PredictorResponseWeightConstraint
-
Empty PredictorResponseWeightConstraint constructor
- predictorSpace() - Method in class org.drip.learning.svm.RdDecisionFunction
-
Retrieve the Input Predictor Metric Vector Space
- PreferredFixedBullet - Class in org.drip.sample.preferred
-
PreferredFixedBullet demonstrates Non-EOS Fixed Coupon Preferred Bond Pricing and Relative Value Measure
Generation Functionality.
- PreferredFixedBullet() - Constructor for class org.drip.sample.preferred.PreferredFixedBullet
-
- PrefixKeys(CaseInsensitiveTreeMap<Double>, String) - Static method in class org.drip.quant.common.CollectionUtil
-
Prefix the keys in the input map, and return them in a new map
- premiumType() - Method in class org.drip.market.exchange.TreasuryFuturesOptionConvention
-
Retrieve the Trading Type PREMIUM/MARGIN
- PrePad(int) - Static method in class org.drip.quant.common.FormatUtil
-
Pre-pad a single digit integer with zeros
- Prepay(String, JulianDate, String, int, String, int, double, double, double, double, double) - Static method in class org.drip.product.creator.ConstantPaymentBondBuilder
-
Construct an Instance of the Constant Payment Bond with a Deterministic Pre-payment Rate
- PrepayableConstantPaymentBond - Class in org.drip.sample.assetbacked
-
PrepayableConstantPaymentBond demonstrates the Construction and Valuation of a Custom Constant Payment
Mortgage Bond.
- PrepayableConstantPaymentBond() - Constructor for class org.drip.sample.assetbacked.PrepayableConstantPaymentBond
-
- PrepayAssetBackedClient - Class in org.drip.sample.service
-
PrepayAssetBackedClient demonstrates the Invocation and Examination of the JSON-based Pre-payable
Constant Payment Asset Backed Loan Service Client.
- PrepayAssetBackedClient() - Constructor for class org.drip.sample.service.PrepayAssetBackedClient
-
- PrepayAssetBackedProcessor - Class in org.drip.service.json
-
PrepayAssetBackedProcessor Sets Up and Executes a JSON Based In/Out Product Pre-payable Asset Backed Loan
Processor.
- PrepayAssetBackedProcessor() - Constructor for class org.drip.service.json.PrepayAssetBackedProcessor
-
- preRegression() - Method in class org.drip.regression.core.UnitRegressionExecutor
-
One-time initialization to set up the objects needed for the regression
- preRegression() - Method in class org.drip.regression.spline.BasisSplineRegressor
-
- preRegression() - Method in class org.drip.regression.spline.LagrangePolynomialStretchRegressor
-
- preRegression() - Method in class org.drip.regression.spline.LocalControlBasisSplineRegressor
-
- Preset(double[], int) - Static method in class org.drip.function.rdtor1.ObjectiveConstraintVariateSet
-
Make a Variate Set using a Pre-set Objective Variate Array with/without Constraint
- previousCouponDate(JulianDate) - Method in class org.drip.product.credit.BondComponent
-
- previousCouponDate(JulianDate) - Method in class org.drip.product.definition.Bond
-
Return the coupon date for the period prior to the specified date
- previousCouponRate(JulianDate, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.BondComponent
-
- previousCouponRate(JulianDate, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.Bond
-
Return the coupon rate for the period prior to the specified date
- previousEquilibriumPrice() - Method in class org.drip.execution.discrete.PriceIncrement
-
Retrieve the Previous Equilibrium Price
- previousStep() - Method in class org.drip.execution.evolution.MarketImpactComponent
-
Retrieve the Previous Step Contribution
- previousWanderer() - Method in class org.drip.execution.dynamics.WalkSuite
-
Retrieve the Previous Instance of the Walk Wanderer
- price() - Method in class org.drip.analytics.output.BondRVMeasures
-
Retrieve the Price
- price() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
-
Retrieve the Price
- price() - Method in class org.drip.execution.parameters.AssetTransactionSettings
-
Retrieve the Asset Price
- price() - Method in class org.drip.portfolioconstruction.constraint.LimitBudgetTerm
-
Retrieve the Array of the Asset Prices
- price() - Method in class org.drip.portfolioconstruction.constraint.LimitExposureTerm
-
Retrieve the Array of the Prices
- price() - Method in class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuerWeightedAverage
-
Retrieve the Array of Asset Prices
- price() - Method in class org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuer
-
Retrieve the Array of Asset Prices
- price() - Method in class org.drip.pricer.option.Greeks
-
The Option Price
- price() - Method in class org.drip.product.calib.FuturesComponentQuoteSet
-
Retrieve the Price
- price(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.fra.FRAStandardCapFloorlet
-
Compute the Caplet/Floorlet Price from the Inputs
- price() - Method in class org.drip.service.api.CDXCOB
-
The COB Price
- price() - Method in class org.drip.service.scenario.EOSMetricsReplicator
-
Retrieve the Price
- priceEvolutionParameters() - Method in class org.drip.execution.nonadaptive.StaticOptimalScheme
-
Retrieve the Asset Arithmetic Price Evolution Parameters
- priceFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from ASW to Work-out
- priceFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from ASW to Maturity
- priceFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from ASW to Optimal Exercise
- priceFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Bond Basis to Work-out
- priceFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Bond Basis to Maturity
- priceFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Bond Basis to Optimal Exercise
- priceFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Credit Basis to Work-out
- priceFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Credit Basis to Maturity
- priceFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Credit Basis to Optimal Exercise
- priceFromCreditCurve(ValuationParams, CurveSurfaceQuoteContainer, int, double, double, boolean) - Method in class org.drip.product.credit.BondComponent
-
- priceFromCreditCurve(ValuationParams, CurveSurfaceQuoteContainer, int, double, double, boolean) - Method in class org.drip.product.definition.Bond
-
Calculate the bond's credit risky theoretical price from the bumped credit curve
- priceFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Discount Margin to Work-out
- priceFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Discount Margin to Maturity
- priceFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Discount Margin to Optimal Exercise
- priceFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from E Spread to Work-out
- priceFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from E Spread to Maturity
- priceFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from E Spread to Optimal Exercise
- priceFromFlatVolatility(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.fra.FRAStandardCapFloor
-
Compute the Cap/Floor Price from the Flat Volatility
- priceFromFundingCurve(ValuationParams, CurveSurfaceQuoteContainer, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromFundingCurve(ValuationParams, CurveSurfaceQuoteContainer, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate the bond's non-credit risky theoretical price from the Bumped Funding curve
- priceFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from G Spread to Work-out
- priceFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from G Spread to Maturity
- priceFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from G Spread to Optimal Exercise
- priceFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from I Spread to Work-out
- priceFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from I Spread to Maturity
- priceFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from I Spread to Optimal Exercise
- priceFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from J Spread to Work-out
- priceFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from J Spread to Maturity
- priceFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from J Spread to Optimal Exercise
- priceFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from N Spread to Work-out
- priceFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from N Spread to Maturity
- priceFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from N Spread to Optimal Exercise
- priceFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from OAS to Work-out
- priceFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from OAS to Maturity
- priceFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from OAS to Optimal Exercise
- priceFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from PECS to Work-out
- priceFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from PECS to Maturity
- priceFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from PECS to Optimal Exercise
- priceFromTreasuryCurve(ValuationParams, CurveSurfaceQuoteContainer, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromTreasuryCurve(ValuationParams, CurveSurfaceQuoteContainer, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate the bond's non-credit risky theoretical price from the Bumped Funding curve
- priceFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from TSY Spread to Work-out
- priceFromTSYSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from TSY Spread to Maturity
- priceFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromTSYSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from TSY Spread to Optimal Exercise
- priceFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Yield to Work-out
- priceFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Yield to Maturity
- priceFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Yield Spread to Work-out
- priceFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Yield Spread to Maturity
- priceFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Yield Spread to Optimal Exercise
- priceFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Yield to Optimal Exercise
- priceFromZeroCurve(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromZeroCurve(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate the bond's non-credit risky theoretical price from the Bumped Zero Curve
- priceFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Z Spread to Work-out
- priceFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Z Spread to Maturity
- priceFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- priceFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate Price from Z Spread to Optimal Exercise
- priceIncrement() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
-
Retrieve the Price Increment
- PriceIncrement - Class in org.drip.execution.discrete
-
PriceIncrement contains the Realized Stochastic Evolution Increments of the Price Movements exhibited by
an Asset owing to the Volatility and the Market Impact Factors over the Slice Time Interval.
- PriceIncrement(double, MarketImpactComponent, MarketImpactComponent) - Constructor for class org.drip.execution.discrete.PriceIncrement
-
PriceIncrement Constructor
- priceIncrementRealization(double, WalkSuite, ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
-
Generate the Price Evolution Increment Unit Realization given the Walk Realization
- PriceMarketImpact - Class in org.drip.execution.parameters
-
PriceMarketImpact contains the Price Market Impact Inputs used in the Construction of the Impact
Parameters for the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.
- PriceMarketImpact(AssetTransactionSettings, double, double) - Constructor for class org.drip.execution.parameters.PriceMarketImpact
-
- PriceMarketImpactLinear - Class in org.drip.execution.parameters
-
PriceMarketImpactLinear contains the Linear Price Market Impact Inputs used in the Construction of the
Impact Parameters for the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.
- PriceMarketImpactLinear(AssetTransactionSettings, double, double) - Constructor for class org.drip.execution.parameters.PriceMarketImpactLinear
-
PriceMarketImpactLinear Constructor
- PriceMarketImpactPower - Class in org.drip.execution.parameters
-
PriceMarketImpactPower contains the Power Law based Price Market Impact Inputs used in the Construction of
the Impact Parameters for the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.
- PriceMarketImpactPower(AssetTransactionSettings, double, double, double, double) - Constructor for class org.drip.execution.parameters.PriceMarketImpactPower
-
PriceMarketImpactPower Constructor
- priceOffOfOriginalNotional() - Method in class org.drip.product.params.NotionalSetting
-
Retrieve "Price Off Of Original Notional" Flag
- pricer() - Method in class org.drip.product.fra.FRAStandardCapFloorlet
-
Retrieve the Underlying Pricer Instance
- pricerParameter() - Method in class org.drip.analytics.input.BootCurveConstructionInput
-
- pricerParameter() - Method in interface org.drip.analytics.input.CurveConstructionInputSet
-
Retrieve the Pricer Parameters
- pricerParameter() - Method in class org.drip.analytics.input.LatentStateShapePreservingCCIS
-
Retrieve the Pricer Parameters
- PricerParams - Interface in org.drip.param.pricer
-
GenericPricerParams exposes the Parameters needed for the Pricing Run.
- priceVolatility() - Method in class org.drip.execution.bayesian.ConditionalPriceDistribution
-
Retrieve the Distribution Price Volatility
- priceVolatilitySwing() - Method in class org.drip.execution.bayesian.ConditionalPriceDistribution
-
Generate s Single Price Volatility Swings
- priceVolatilitySwings(int) - Method in class org.drip.execution.bayesian.ConditionalPriceDistribution
-
Generate the given Number of Price Volatility Swings
- primalFeasibility() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions
-
Retrieve the Primal Feasibility Necessary Condition
- primalFeasibilityCheck(double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Check the Candidate Point for Primal Feasibility
- primary() - Method in class org.drip.product.params.TreasuryBenchmarks
-
Return the Primary Treasury Benchmark
- primaryCode() - Method in class org.drip.product.credit.BondComponent
-
- primaryCode() - Method in class org.drip.product.credit.CDSComponent
-
- primaryCode() - Method in class org.drip.product.definition.CalibratableComponent
-
Return the primary code
- primaryCode() - Method in class org.drip.product.fx.FXForwardComponent
-
- primaryCode() - Method in class org.drip.product.option.OptionComponent
-
- primaryCode() - Method in class org.drip.product.rates.FixFloatComponent
-
- primaryCode() - Method in class org.drip.product.rates.FloatFloatComponent
-
- primaryCode() - Method in class org.drip.product.rates.RatesBasket
-
- primaryCode() - Method in class org.drip.product.rates.SingleStreamComponent
-
- primarySecurity(String) - Method in class org.drip.exposure.evolver.DynamicsContainer
-
Retrieve the Primary Security Evolver given the Label
- PrimarySecurity - Class in org.drip.exposure.evolver
-
PrimarySecurity holds Definitions and Parameters that specify a Primary Security in XVA Terms.
- PrimarySecurity(String, LatentStateLabel, DiffusionEvolver, double) - Constructor for class org.drip.exposure.evolver.PrimarySecurity
-
PrimarySecurity Constructor
- PrimarySecurityDynamicsContainer - Class in org.drip.exposure.evolver
-
PrimarySecurityDynamicsContainer holds the Economy with the following Traded Assets - the Overnight Index
Numeraire, the Collateral Scheme Numeraire, the Default-able Dealer Bond Numeraire, the Array of
Default-able Client Numeraires, and an Asset that follows Brownian Motion.
- PrimarySecurityDynamicsContainer(List<PrimarySecurity>, PrimarySecurity, PrimarySecurity, PrimarySecurity, PrimarySecurity, PrimarySecurity) - Constructor for class org.drip.exposure.evolver.PrimarySecurityDynamicsContainer
-
PrimarySecurityDynamicsContainer Constructor
- primarySecurityDynamicsContainer() - Method in class org.drip.exposure.universe.MarketVertexGenerator
-
Retrieve the Primary Security Dynamics Container
- primarySecurityExists(String) - Method in class org.drip.exposure.evolver.DynamicsContainer
-
Indicate if the Primary Security Evolver exists in the Container
- primarySecurityMap() - Method in class org.drip.exposure.evolver.DynamicsContainer
-
Retrieve the Primary Security Evolver Dynamics Settings Map
- primeSensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregateIR
-
Retrieve the PRIME Sensitivity Margin Map
- primeTenorDeltaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
-
Retrieve the PRIME Tenor Delta Risk Weight
- primeTenorMargin(BucketSensitivitySettingsIR) - Method in class org.drip.simm.product.BucketSensitivityIR
-
Generate the PRIME Tenor Sensitivity Margin Map
- primeTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketCurvatureSettingsIR
-
- primeTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketSensitivitySettingsIR
-
Retrieve the PRIME Tenor Risk Weight
- primeTenorRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
-
- primeTenorSensitivity() - Method in class org.drip.simm.product.BucketSensitivityIR
-
Retrieve the PRIME Risk Factor Tenor Sensitivity
- primeTenorVegaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsIR
-
Retrieve the PRIME Tenor Vega Risk Weight
- primitive(Object) - Method in interface org.drip.json.parser.ContentHandler
-
Receive notification of the JSON primitive values:
java.lang.String,
java.lang.Number,
java.lang.Boolean
null
- principalComponent(double[][]) - Method in interface org.drip.quant.eigen.ComponentExtractor
-
Compute the Principal Component of the Specified Matrix
- principalComponent(double[][]) - Method in class org.drip.quant.eigen.PowerIterationComponentExtractor
-
- principalComponent(double[][]) - Method in class org.drip.quant.eigen.QREigenComponentExtractor
-
- PrincipalComponent - Class in org.drip.sample.matrix
-
PrincipalComponent demonstrates how to generate the Principal eigenvalue and eigenvector for the Input
Matrix.
- PrincipalComponent() - Constructor for class org.drip.sample.matrix.PrincipalComponent
-
- PrincipalComponentDynamics - Class in org.drip.sample.hjm
-
PrincipalComponentDynamics demonstrates the Construction and Usage of the PCA-Based Multi-Factor Gaussian
Model Dynamics for the Evolution of the Instantaneous Forward Rate, the Price, and the Short Rate.
- PrincipalComponentDynamics() - Constructor for class org.drip.sample.hjm.PrincipalComponentDynamics
-
- PrincipalComponentQMDynamics - Class in org.drip.sample.hjm
-
PrincipalComponentQMDynamics demonstrates the Construction and Usage of the Principal Component-Based
Gaussian Model Dynamics for the Evolution of the Discount Factor Quantification Metrics - the
Instantaneous Forward Rate, the LIBOR Forward Rate, the Shifted LIBOR Forward Rate, the Short Rate, the
Compounded Short Rate, and the Price.
- PrincipalComponentQMDynamics() - Constructor for class org.drip.sample.hjm.PrincipalComponentQMDynamics
-
- principalCurrency() - Method in class org.drip.product.credit.BondComponent
-
- principalCurrency() - Method in class org.drip.product.credit.CDSComponent
-
- principalCurrency() - Method in interface org.drip.product.definition.BasketMarketParamRef
-
Get the Principal Currency
- principalCurrency() - Method in class org.drip.product.definition.BasketProduct
-
- principalCurrency() - Method in interface org.drip.product.definition.ComponentMarketParamRef
-
Get the Principal Currency
- principalCurrency() - Method in class org.drip.product.fx.FXForwardComponent
-
- principalCurrency() - Method in class org.drip.product.govvie.TreasuryFutures
-
- principalCurrency() - Method in class org.drip.product.option.CDSEuropeanOption
-
- principalCurrency() - Method in class org.drip.product.option.FixFloatEuropeanOption
-
- principalCurrency() - Method in class org.drip.product.option.OptionComponent
-
- principalCurrency() - Method in class org.drip.product.rates.FixFloatComponent
-
- principalCurrency() - Method in class org.drip.product.rates.FloatFloatComponent
-
- principalCurrency() - Method in class org.drip.product.rates.RatesBasket
-
- principalCurrency() - Method in class org.drip.product.rates.SingleStreamComponent
-
- principalDiscountHurdle(double) - Method in class org.drip.execution.principal.Almgren2003Estimator
-
Compute the Principal Discount Hurdle given the Information Ratio
- principalEigenComponent() - Method in class org.drip.simm.foundation.RiskGroupPrincipalCovariance
-
Retrieve the Intra-Group Principal Eigen-Component
- PrincipalFactorSequenceGenerator - Class in org.drip.sequence.random
-
PrincipalFactorSequenceGenerator implements the Principal Factors Based Multivariate Random Sequence
Generator Functionality.
- PrincipalFactorSequenceGenerator(UnivariateSequenceGenerator[], double[][], int) - Constructor for class org.drip.sequence.random.PrincipalFactorSequenceGenerator
-
PrincipalFactorSequenceGenerator Constructor
- principalMeasure(double) - Method in class org.drip.execution.principal.GrossProfitEstimator
-
Generate R^1 Univariate Normal Gross Profit Distribution from the specified Principal Discount
- Print1DArray(String, double[], boolean) - Static method in class org.drip.quant.common.NumberUtil
-
Print the contents of the 1D array
- Print1DArray(String, double[], int, boolean) - Static method in class org.drip.quant.common.NumberUtil
-
Print the contents of the 1D array to the Specified Decimal Location
- Print2DArray(String, double[][], boolean) - Static method in class org.drip.quant.common.NumberUtil
-
Print the contents of the 2D array
- Print2DArrayPair(String, String, double[][], double[][], boolean) - Static method in class org.drip.quant.common.NumberUtil
-
Print the Contents of the 2D Array Pair
- Print2DArrayTriplet(String, String, String, double[][], double[][], double[][], boolean) - Static method in class org.drip.quant.common.NumberUtil
-
Print the Contents of the 2D Array Triplet
- PrintMatrix(String, double[][]) - Static method in class org.drip.quant.common.NumberUtil
-
- prior() - Method in class org.drip.execution.bayesian.PriorConditionalCombiner
-
Retrieve the Prior Drift Distribution Instance
- prior() - Method in class org.drip.measure.bayesian.JointPosteriorMetrics
-
Retrieve the Prior Distribution
- PriorConditionalCombiner - Class in org.drip.execution.bayesian
-
PriorConditionalCombiner holds the Distributions associated with the Prior Drift and the Conditional Price
Distributions.
- PriorConditionalCombiner(PriorDriftDistribution, ConditionalPriceDistribution) - Constructor for class org.drip.execution.bayesian.PriorConditionalCombiner
-
PriorConditionalCombiner Constructor
- PriorControlSpecification - Class in org.drip.portfolioconstruction.bayesian
-
PriorControlSpecification contains the Black Litterman Prior Specification Settings.
- PriorControlSpecification(boolean, double, double) - Constructor for class org.drip.portfolioconstruction.bayesian.PriorControlSpecification
-
PriorControlSpecification Constructor
- PriorDriftDistribution - Class in org.drip.execution.bayesian
-
PriorDriftDistribution holds the Prior Belief Distribution associated with the Directional Drift.
- PriorDriftDistribution(double, double) - Constructor for class org.drip.execution.bayesian.PriorDriftDistribution
-
Construct an Instance of Prior Drift Distribution
- PriorPosteriorMetricsComparison - Class in org.drip.sample.idzorek
-
PriorPosteriorMetricsComparison reconciles the Prior-Posterior Black-Litterman Model Process Metrics
generated using the Idzorek Model.
- PriorPosteriorMetricsComparison() - Constructor for class org.drip.sample.idzorek.PriorPosteriorMetricsComparison
-
- priorViewComponent() - Method in class org.drip.portfolioconstruction.bayesian.ProjectionExposure
-
Retrieve the Prior/View Joint Contribution Component
- prob1() - Method in class org.drip.pricer.option.Greeks
-
The Prob 1 Term
- prob2() - Method in class org.drip.pricer.option.Greeks
-
The Prob 2 Term
- probabilityDown() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
-
Retrieve the Probability of the Down Stochastic Shift
- probabilityStay() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
-
Retrieve the Probability of the No Shift
- probabilityUp() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
-
Retrieve the Probability of the Up Stochastic Shift
- probEqualToZeroUpperBound() - Method in class org.drip.sequence.metrics.IntegerSequenceAgnosticMetrics
-
Retrieve the Upper Bound on Probability of X = 0
- probGreaterThanZeroUpperBound() - Method in class org.drip.sequence.metrics.IntegerSequenceAgnosticMetrics
-
Retrieve the Upper Bound on Probability of X gt 0
- procBasisDerivOrder() - Method in class org.drip.spline.basis.BSplineSequenceParams
-
Retrieve the Processed Basis Derivative Order
- process(R1Multivariate, R1Multivariate, R1Multivariate) - Method in interface org.drip.measure.bayesian.JointR1CombinationEngine
-
Generate the Joint R^1 Multivariate Combined Distribution
- process(R1Multivariate, R1Multivariate, R1Multivariate) - Method in class org.drip.measure.bayesian.JointR1NormalCombinationEngine
-
- processCouponWindow(double, double) - Method in class org.drip.product.params.CouponSetting
-
Trim the component coupon if it falls outside the (optionally) specified coupon window.
- PROCESSED_CUBIC_RATIONAL - Static variable in class org.drip.spline.bspline.BasisHatPairGenerator
-
Processed Cubic Rational B Spline Basis Hat Phy and Psy
- PROCESSED_TENSION_HYPERBOLIC - Static variable in class org.drip.spline.bspline.BasisHatPairGenerator
-
Processed Tension Hyperbolic B Spline Basis Hat Phy and Psy
- ProcessedCubicRationalHatPair(String, double, double, double, int, double) - Static method in class org.drip.spline.bspline.BasisHatPairGenerator
-
Generate the array of the Cubic Rational Phy and Psy Hat Function Pair From their Raw Counterparts
- ProcessedHyperbolicTensionHatPair(double, double, double, int, double) - Static method in class org.drip.spline.bspline.BasisHatPairGenerator
-
Generate the array of the Hyperbolic Phy and Psy Hat Function Pair From their Raw Counterparts
- ProcessInputForNULL(String, boolean) - Static method in class org.drip.quant.common.StringUtil
-
Check the Input String to Check for NULL - and return it
- Product(double[][], double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Compute the Product of an Input Matrix and a Column
- Product(double[], double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Compute the Product of an input column and a matrix
- Product(double[][], double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Compute the Product of the input matrices
- productAddOn(Map<String, Double>) - Method in class org.drip.simm.estimator.AdditionalInitialMargin
-
Compute the Product Add On Estimate
- productAddOnFactorMap() - Method in class org.drip.simm.estimator.AdditionalInitialMargin
-
Retrieve the Product Add-On Factor Map
- ProductClassMargin - Class in org.drip.simm.estimator
-
ProductClassMargin holds the Initial Margin Estimates for a Single Product Class across the Six Risk
Factors - Interest Rate, Credit Qualifying, Credit Non-Qualifying, Equity, Commodity, and FX.
- ProductClassMargin(RiskClassAggregateIR, RiskClassAggregateCR, RiskClassAggregateCR, RiskClassAggregate, RiskClassAggregate, RiskClassAggregate) - Constructor for class org.drip.simm.estimator.ProductClassMargin
-
ProductClassMargin Constructor
- ProductClassMultiplicativeScale - Class in org.drip.simm.common
-
ProductClassMultiplicativeScale holds the Multiplicative Scales Minimum/Default Values for the Four
Product Classes - RatesFX, Credit, Equity, and Commodity.
- ProductClassMultiplicativeScale() - Constructor for class org.drip.simm.common.ProductClassMultiplicativeScale
-
- ProductClassSensitivity - Class in org.drip.simm.estimator
-
ProductClassSensitivity holds the multiple Risk Class Sensitivities for a single Product Class.
- ProductClassSensitivity(RiskClassSensitivity, RiskClassSensitivity, RiskClassSensitivity, RiskClassSensitivityIR, RiskClassSensitivityCR, RiskClassSensitivityCR) - Constructor for class org.drip.simm.estimator.ProductClassSensitivity
-
ProductClassSensitivity Constructor
- ProductClassSettings - Class in org.drip.simm.estimator
-
ProductClassSensitivitySettings holds the Settings that govern the Generation of the ISDA SIMM Bucket
Sensitivities across Individual Product Classes.
- ProductClassSettings(RiskClassSensitivitySettings, RiskClassSensitivitySettings, RiskClassSensitivitySettings, RiskClassSensitivitySettingsIR, RiskClassSensitivitySettingsCR, RiskClassSensitivitySettingsCR, LabelCorrelation) - Constructor for class org.drip.simm.estimator.ProductClassSettings
-
ProductClassSettings Constructor
- ProductDailyPnL - Class in org.drip.service.api
-
ProductDailyPnL contains the following daily measures computed:
- 1D Carry, Roll Down, Curve Shift, and Full Return PnL
- 3D Carry and Roll Down PnL
- 3M Carry and Roll Down PnL
- Current DV01
- ProductDailyPnL(double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, int, int, double, double, double, double, double, double) - Constructor for class org.drip.service.api.ProductDailyPnL
-
ProductDailyPnL constructor
- productFeatureOperatorNorm() - Method in class org.drip.learning.svm.DecisionFunctionOperatorBounds
-
Compute the Decision Function Entropy Number Upper Bound using the Product of the Feature Space's
Norm for the Upper Bound of the Entropy Number and the Scaling Operator Norm
- productID() - Method in class org.drip.param.quote.ProductTick
-
Retrieve the Product ID
- ProductInfo(String, String) - Static method in class org.drip.market.exchange.DeliverableSwapFuturesContainer
-
Retrieve the Deliverable Swap Futures Info from the Currency and the Tenor
- ProductMargin20 - Class in org.drip.sample.simm
-
ProductMargin20 illustrates the Computation of the ISDA SIMM 2.0 Product Margin for across a Group of Risk
Factor Exposure Sensitivities.
- ProductMargin20() - Constructor for class org.drip.sample.simm.ProductMargin20
-
- ProductMargin21 - Class in org.drip.sample.simm
-
ProductMargin21 illustrates the Computation of the ISDA SIMM 2.1 Product Margin for across a Group of Risk
Factor Exposure Sensitivities.
- ProductMargin21() - Constructor for class org.drip.sample.simm.ProductMargin21
-
- ProductMultiMeasure - Class in org.drip.param.quote
-
ProductMultiMeasureQuote holds the different types of quotes for a given component.
- ProductMultiMeasure() - Constructor for class org.drip.param.quote.ProductMultiMeasure
-
Construct an empty instance of ProductMultiMeasure
- ProductQuote - Class in org.drip.param.definition
-
ProductQuote abstract class holds the different types of quotes for a given product.
- ProductQuote() - Constructor for class org.drip.param.definition.ProductQuote
-
- productQuote(String) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Product Quote
- productQuote() - Method in class org.drip.param.quote.ProductTick
-
Retrieve the Product Quote
- ProductQuoteSet - Class in org.drip.product.calib
-
ProductQuoteSet implements the Calibratable type-free Product Quote Shell.
- ProductQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.ProductQuoteSet
-
Product Quote Set Constructor
- ProductTick - Class in org.drip.param.quote
-
ProductTick holds the tick related product parameters - it contains the product ID, the quote composite,
the source, the counter party, and whether the quote can be treated as a mark.
- ProductTick() - Constructor for class org.drip.param.quote.ProductTick
-
Empty ProductTick constructor
- ProductTick(String, ProductQuote, String, String, boolean) - Constructor for class org.drip.param.quote.ProductTick
-
ProductTick constructor
- Project(double[], double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Project the Vector A along the Vector E
- ProjectionCovariance(double[][], double[][], double) - Static method in class org.drip.measure.bayesian.ProjectionDistributionLoading
-
Generate the Projection Co-variance Matrix from the Confidence Level
- ProjectionCovariance(double[][], double) - Static method in class org.drip.portfolioconstruction.bayesian.MeucciViewUncertaintyParameterization
-
Generate the Projection Co-variance from the Scoping Co-variance and the Meucci Alpha Parameter
- ProjectionDistributionLoading - Class in org.drip.measure.bayesian
-
ProjectionDistributionLoading contains the Projection Distribution and its Loadings to the Scoping
Distribution.
- ProjectionDistributionLoading(R1Multivariate, double[][]) - Constructor for class org.drip.measure.bayesian.ProjectionDistributionLoading
-
ProjectionDistributionLoading Constructor
- projectionDistributionLoading(String) - Method in class org.drip.measure.bayesian.ScopingProjectionVariateDistribution
-
Retrieve the Named Projection Distribution Loading
- ProjectionExposure - Class in org.drip.portfolioconstruction.bayesian
-
ProjectionExposure holds the Projection Exposure Loadings that Weight the Exposure to the Projection Pick
Portfolio.
- ProjectionExposure(double[], double[], double[], double[][]) - Constructor for class org.drip.portfolioconstruction.bayesian.ProjectionExposure
-
ProjectionExposure Constructor
- projectionExposureAttribution() - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanCombinationEngine
-
Compute the Exposure Loadings Attribution on a per-Projection Basis
- ProjectionImpliedConfidenceLevel - Class in org.drip.sample.idzorek
-
ProjectionImpliedConfidenceLevel reconciles the Implied Confidence Black-Litterman Model Process Levels
generated using the Idzorek Model.
- ProjectionImpliedConfidenceLevel() - Constructor for class org.drip.sample.idzorek.ProjectionImpliedConfidenceLevel
-
- ProjectionImpliedConfidenceOutput - Class in org.drip.portfolioconstruction.bayesian
-
ProjectionImpliedConfidenceOutput holds the Results of the Idzorek 2005 Black Litterman Intuitive
Projection Confidence Level Estimation Run.
- ProjectionImpliedConfidenceOutput(double[], BlackLittermanCustomConfidenceOutput, BlackLittermanOutput) - Constructor for class org.drip.portfolioconstruction.bayesian.ProjectionImpliedConfidenceOutput
-
ProjectionImpliedConfidenceOutput Constructor
- ProjectionImpliedConfidenceTilt - Class in org.drip.sample.idzorek
-
ProjectionImpliedConfidenceTilt computes the Tilt induced on an Asset by a User-specified Confidence.
- ProjectionImpliedConfidenceTilt() - Constructor for class org.drip.sample.idzorek.ProjectionImpliedConfidenceTilt
-
- ProjectionInducedScopingDeviation(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
-
Compute the Projection Induced Scoping Mean Deviation
- ProjectionInducedScopingDistribution(ScopingProjectionVariateDistribution, String, R1MultivariateNormal) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
-
Compute the Projection Induced Scoping Deviation Adjusted Mean
- ProjectionInducedScopingMean(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
-
Compute the Projection Induced Scoping Deviation Adjusted Mean
- ProjectionPrecisionMeanProduct(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
-
Compute the Projection Precision Mean Dot Product Array
- ProjectionSpaceAssetCovariance(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
-
Compute the Projection Space Asset Co-variance
- ProjectionSpaceScopingCovariance(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
-
Generate the Projection Space Scoping Co-variance
- ProjectionSpaceScopingDifferential(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
-
Generate the Projection Space Projection-Scoping Mean Differential
- ProjectionSpaceScopingMean(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
-
Generate the Projection Space Scoping Mean
- ProjectionSpecification - Class in org.drip.portfolioconstruction.bayesian
-
ProjectionSpecification contains the Black Litterman Projection Specification Settings.
- ProjectionSpecification(R1MultivariateNormal, double[][]) - Constructor for class org.drip.portfolioconstruction.bayesian.ProjectionSpecification
-
ProjectionSpecification Constructor
- proportionalPriceIncrement(int, int, double, int) - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
-
Compute the Proportional Price Increment given the View Date, the Target Date, the Short Rate, and the
View Time Increment
- proxyManifestMeasure(String, int) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
Proxy the Manifest Measure Value using the Closest Node for the given Date
- PTEHoliday - Class in org.drip.analytics.holset
-
- PTEHoliday() - Constructor for class org.drip.analytics.holset.PTEHoliday
-
- publicationLag() - Method in class org.drip.market.definition.OvernightIndex
-
Retrieve the Index Publication Lag
- Puducherry - Class in org.drip.sample.bondmetrics
-
Puducherry generates the Full Suite of Replication Metrics for Bond Puducherry.
- Puducherry() - Constructor for class org.drip.sample.bondmetrics.Puducherry
-
- Pune - Class in org.drip.sample.bondmetrics
-
Pune generates the Full Suite of Replication Metrics for Bond Pune.
- Pune() - Constructor for class org.drip.sample.bondmetrics.Pune
-
- put(String, V) - Method in class org.drip.analytics.support.CaseInsensitiveHashMap
-
- put(String, V) - Method in class org.drip.analytics.support.CaseInsensitiveTreeMap
-
- Put(String, String, long) - Static method in class org.drip.service.env.CacheManager
-
The Put Method adds a Key/Value Pair to the In-Memory KV Store
- putable() - Method in class org.drip.product.credit.BondComponent
-
- putable() - Method in class org.drip.product.definition.Bond
-
Indicate if the bond is putable
- PutGreeks - Class in org.drip.pricer.option
-
PutGreeks contains the Sensitivities generated during the Put Option Pricing Run.
- PutGreeks(double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double) - Constructor for class org.drip.pricer.option.PutGreeks
-
The PutGreeks Constructor
- Putian - Class in org.drip.sample.bondeos
-
Putian demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Putian.
- Putian() - Constructor for class org.drip.sample.bondeos.Putian
-
- putMetrics(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double, GovvieBuilderSettings, DiffusionEvolver, int) - Method in class org.drip.product.credit.BondComponent
-
Generate the EOS Putable Option Adjusted Metrics
- putPriceFromParity() - Method in class org.drip.pricer.option.PutGreeks
-
The Put Option Price Computed from the Put-Call Parity Relation
- putSchedule() - Method in class org.drip.product.credit.BondComponent
-
- putSchedule() - Method in class org.drip.product.definition.Bond
-
Return the bond's embedded put schedule
- Puyang - Class in org.drip.sample.bondeos
-
Puyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Puyang.
- Puyang() - Constructor for class org.drip.sample.bondeos.Puyang
-
- pv() - Method in class org.drip.analytics.output.BondCouponMeasures
-
Retrieve the PV
- pv() - Method in class org.drip.product.calib.DepositComponentQuoteSet
-
Retrieve the PV
- pv() - Method in class org.drip.product.calib.FixedStreamQuoteSet
-
Retrieve the PV
- pv() - Method in class org.drip.product.calib.FixFloatQuoteSet
-
Retrieve the PV
- pv() - Method in class org.drip.product.calib.FloatFloatQuoteSet
-
Retrieve the PV
- pv() - Method in class org.drip.product.calib.FloatingStreamQuoteSet
-
Retrieve the PV
- pv() - Method in class org.drip.product.calib.StreamQuoteSet
-
Retrieve the PV
- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.credit.BondComponent
-
- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.credit.CDSComponent
-
- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.definition.Component
-
Compute the PV for the specified Market Parameters
- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fra.FRAStandardCapFloor
-
- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fra.FRAStandardCapFloorlet
-
- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.fx.FXForwardComponent
-
- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.govvie.TreasuryFutures
-
- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.option.CDSEuropeanOption
-
- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.option.FixFloatEuropeanOption
-
- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.FixFloatComponent
-
- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.FloatFloatComponent
-
- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.RatesBasket
-
- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.SingleStreamComponent
-
- pv(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Method in class org.drip.product.rates.Stream
-
Compute the PV for the specified Market Parameters
- PYKHTIN_2009_EMPIRICAL_CEILING_FACTOR - Static variable in class org.drip.exposure.regression.LocalVolatilityGenerationControl
-
The Pyhktin (2009) Empirical Ceiling Factor
- PYKHTIN_2009_EMPIRICAL_FLOOR - Static variable in class org.drip.exposure.regression.LocalVolatilityGenerationControl
-
The Pyhktin (2009) Empirical Floor
- PykhtinBrownianBridgeSegment - Class in org.drip.exposure.regression
-
PykhtinBrownianBridgeSegment generates the Segment Regression Based Exposures off of the corresponding
Pillar Vertexes using the Pykhtin (2009) Scheme.
- PykhtinBrownianBridgeSegment(PillarVertex, PillarVertex, R1ToR1) - Constructor for class org.drip.exposure.regression.PykhtinBrownianBridgeSegment
-
PykhtinBrownianBridgeSegment Constructor
- PykhtinBrownianBridgeStretch - Class in org.drip.exposure.regression
-
PykhtinBrownianBridgeStretch generates the Regression Based Path Exposures off of the Pillar Vertexes
using the Pykhtin (2009) Scheme.
- PykhtinBrownianBridgeStretch(Map<Integer, Double>, Map<Integer, R1ToR1>) - Constructor for class org.drip.exposure.regression.PykhtinBrownianBridgeStretch
-
PykhtinBrownianBridgeStretch Constructor
- PykhtinPillar - Class in org.drip.exposure.regression
-
PykhtinPillar holds the Details of the Pillar Vertex Realization Point - the Realization Value, the Order
Index, the CDF, the Transform Variate, and the Local Volatility - in accordance with the Pykhtin (2009)
Scheme.
- PykhtinPillar(double, int, double, double, double) - Constructor for class org.drip.exposure.regression.PykhtinPillar
-
PykhtinPillar Constructor
- PykhtinPillarDynamics - Class in org.drip.exposure.regression
-
PykhtinPillarDynamics generates the Dynamics off of the Pillar Vertex Exposure Realizations to be used in
eventual Exposure Regression using the Pykhtin (2009) Scheme.
- PykhtinPillarDynamics(List<Double>) - Constructor for class org.drip.exposure.regression.PykhtinPillarDynamics
-
- r() - Method in class org.drip.quant.linearalgebra.QR
-
Retrieve R
- r1(String) - Method in class org.drip.historical.attribution.PositionMarketSnap
-
Retrieve the Custom R^1 Entry corresponding to the Specified Key
- r1(String) - Method in class org.drip.historical.sensitivity.TenorDurationNodeMetrics
-
Retrieve the Custom R^1 Entry corresponding to the Specified Key
- R1 - Class in org.drip.measure.continuous
-
R1 implements the Base Abstract Class behind R^1 Distributions.
- R1() - Constructor for class org.drip.measure.continuous.R1
-
- r1() - Method in class org.drip.spaces.iterator.RdSpanningCombinatorialIterator
-
Retrieve the Array of the R^1 Combinatorial Vectors
- R1ArrayInSituSort - Class in org.drip.sample.algo
-
R1ArrayInSituSort demonstrates the Functionality that conducts an in-place Sorting of an Instance of
BigDoubleArray using a variety of Sorting Algorithms.
- R1ArrayInSituSort() - Constructor for class org.drip.sample.algo.R1ArrayInSituSort
-
- R1Combinatorial - Class in org.drip.spaces.metric
-
R1Combinatorial implements the Normed, Bounded/Unbounded Combinatorial l^p R^1 Spaces.
- R1Combinatorial(List<Double>, R1, int) - Constructor for class org.drip.spaces.metric.R1Combinatorial
-
R1Combinatorial Space Constructor
- R1CombinatorialBall - Class in org.drip.spaces.metric
-
R1CombinatorialBall extends the Combinatorial R^1 Banach Space by enforcing the Closed Bounded Metric.
- R1CombinatorialBall(List<Double>, R1, int, double) - Constructor for class org.drip.spaces.metric.R1CombinatorialBall
-
R1CombinatorialBall Constructor
- R1CombinatorialToR1Continuous(R1ToR1, NormedR1CombinatorialToR1Continuous, double) - Static method in class org.drip.learning.regularization.RegularizerBuilder
-
Construct an Instance of R^1 Combinatorial To R^1 Continuous Regularizer
- R1CombinatorialVector - Class in org.drip.spaces.tensor
-
R1CombinatorialVector exposes the normed/non-normed Discrete Spaces with R^1 Combinatorial Vector
Elements.
- R1CombinatorialVector(List<Double>) - Constructor for class org.drip.spaces.tensor.R1CombinatorialVector
-
R1CombinatorialVector Constructor
- R1Continuous - Class in org.drip.spaces.metric
-
R1Continuous implements the Normed, Bounded/Unbounded Continuous l^p R^1 Spaces.
- R1Continuous(double, double, R1, int) - Constructor for class org.drip.spaces.metric.R1Continuous
-
R1Continuous Space Constructor
- R1ContinuousBall - Class in org.drip.spaces.metric
-
R1ContinuousBall extends the Continuous R^1 Banach Space by enforcing the Closed Bounded Metric.
- R1ContinuousBall(double, double, R1, int, double) - Constructor for class org.drip.spaces.metric.R1ContinuousBall
-
R1ContinuousBall Constructor
- R1ContinuousToR1Continuous(R1ToR1, NormedR1ContinuousToR1Continuous, double) - Static method in class org.drip.learning.regularization.RegularizerBuilder
-
Construct an Instance of R^1 Continuous To R^1 Continuous Regularizer
- R1ContinuousVector - Class in org.drip.spaces.tensor
-
R1ContinuousVector exposes the Normed/non-normed, Bounded/Unbounded Continuous R^1 Vector Spaces with
Real-valued Elements.
- R1ContinuousVector(double, double) - Constructor for class org.drip.spaces.tensor.R1ContinuousVector
-
R1ContinuousVector Constructor
- R1GeneralizedVector - Interface in org.drip.spaces.tensor
-
R1GeneralizedVector exposes the basic Properties of the General R^1 Vector Space.
- R1JointDiffusion - Class in org.drip.sample.numeraire
-
R1JointDiffusion demonstrates the Joint Evolution of R^1 Diffusion Variates - the Continuous Asset, the
Collateral, the Bank, and the Counter-Party Numeraires involved in the Dynamic XVA Replication Portfolio
of the Burgard and Kjaer (2011) Methodology.
- R1JointDiffusion() - Constructor for class org.drip.sample.numeraire.R1JointDiffusion
-
- R1JointJumpDiffusion - Class in org.drip.sample.numeraire
-
R1JointJumpDiffusion demonstrates the Joint Evolution of R^1 Jump Diffusion Variates - the Continuous
Asset, the Collateral, the Bank, and the Counter-Party Numeraires involved in the Dynamic XVA Replication
Portfolio of the Burgard and Kjaer (2011) Methodology.
- R1JointJumpDiffusion() - Constructor for class org.drip.sample.numeraire.R1JointJumpDiffusion
-
- R1Jump - Class in org.drip.sample.numeraire
-
R1Jump demonstrates the Jump Evolution of a Default-able Asset.
- R1Jump() - Constructor for class org.drip.sample.numeraire.R1Jump
-
- R1Multivariate - Class in org.drip.measure.continuous
-
R1Multivariate contains the Generalized Joint Multivariate R^1 Distributions.
- R1Multivariate(MultivariateMeta) - Constructor for class org.drip.measure.continuous.R1Multivariate
-
- R1MultivariateNormal - Class in org.drip.measure.gaussian
-
R1MultivariateNormal contains the Generalized Joint Multivariate R^1 Normal Distributions.
- R1MultivariateNormal(MultivariateMeta, double[], Covariance) - Constructor for class org.drip.measure.gaussian.R1MultivariateNormal
-
R1MultivariateNormal Constructor
- R1Normed - Interface in org.drip.spaces.metric
-
R1Normed Abstract Class implements the Normed, Bounded/Unbounded Continuous/Combinatorial l^p R^1 Spaces.
- R1PiecewiseDisplaced - Class in org.drip.measure.lebesgue
-
R1PiecewiseDisplaced implements the Displaced Piecewise Linear R^1 Distributions.
- R1PiecewiseDisplaced(double, double, double[], double[], double) - Constructor for class org.drip.measure.lebesgue.R1PiecewiseDisplaced
-
R1PiecewiseDisplaced Constructor
- R1PiecewiseLinear - Class in org.drip.measure.lebesgue
-
R1PiecewiseLinear implements the Piecewise Linear R^1 Distributions.
- R1PiecewiseLinear(double, double, double[], double[]) - Constructor for class org.drip.measure.lebesgue.R1PiecewiseLinear
-
R1PiecewiseLinear Constructor
- R1R1 - Class in org.drip.measure.continuous
-
R1R1 implements the Base Abstract Class behind Bivariate R^1 Distributions.
- R1R1() - Constructor for class org.drip.measure.continuous.R1R1
-
- R1R1ToR1 - Interface in org.drip.measure.stochastic
-
R1R1ToR1 interface exposes the stubs for the evaluation of the objective function and its derivatives for
a R^1 Deterministic + R^1 Random To R^1 Stochastic Function with one Random Component.
- R1ToR1 - Class in org.drip.function.definition
-
R1ToR1 provides the evaluation of the objective function and its derivatives for a specified variate.
- R1ToR1(DerivativeControl) - Constructor for class org.drip.function.definition.R1ToR1
-
- r1Tor1() - Method in class org.drip.learning.regularization.RegularizationFunction
-
Retrieve the R^1 To R^1 Regularization Function
- R1ToR1Integrator - Class in org.drip.quant.calculus
-
R1ToR1Integrator implements the following routines for integrating the R^1 To R^1 objective Function:
- Linear Quadrature
- Mid-Point Scheme
- Trapezoidal Scheme
- Simpson/Simpson38 schemes
- Boole Scheme
- R1ToR1Integrator() - Constructor for class org.drip.quant.calculus.R1ToR1Integrator
-
- R1ToRd - Class in org.drip.function.definition
-
R1ToRd provides the evaluation of the R^1 To R^d Objective Function and its derivatives for a specified
variate.
- R1ToRd(DerivativeControl) - Constructor for class org.drip.function.definition.R1ToRd
-
- R1Uniform - Class in org.drip.measure.lebesgue
-
R1Uniform implements the R^1 Lebesgue (i.e., Bounded Uniform) Distribution, with a Uniform Distribution
between a Lower and an Upper Bound.
- R1Uniform(double, double) - Constructor for class org.drip.measure.lebesgue.R1Uniform
-
Construct a R^1 Bounded Uniform Distribution
- R1UnivariateNormal - Class in org.drip.measure.gaussian
-
R1UnivariateNormal implements the Univariate R^1 Normal Distribution.
- R1UnivariateNormal(double, double) - Constructor for class org.drip.measure.gaussian.R1UnivariateNormal
-
Construct a R1 Normal/Gaussian Distribution
- R2ArrayPathwiseProcessing - Class in org.drip.sample.algo
-
R2ArrayPathwiseProcessing demonstrates the Functionality that conducts an in-place Path-wise Processing of
an Instance of Big R^2 Array.
- R2ArrayPathwiseProcessing() - Constructor for class org.drip.sample.algo.R2ArrayPathwiseProcessing
-
- Raipur - Class in org.drip.sample.bondeos
-
Raipur demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Raipur.
- Raipur() - Constructor for class org.drip.sample.bondeos.Raipur
-
- Rajahmundry - Class in org.drip.sample.bondmetrics
-
Rajahmundry generates the Full Suite of Replication Metrics for a Sample Bond.
- Rajahmundry() - Constructor for class org.drip.sample.bondmetrics.Rajahmundry
-
- Rajkot - Class in org.drip.sample.bondmetrics
-
Rajkot generates the Full Suite of Replication Metrics for Bond Rajkot.
- Rajkot() - Constructor for class org.drip.sample.bondmetrics.Rajkot
-
- RajpurSonarpur - Class in org.drip.sample.bondmetrics
-
Rajpur Sonarpur generates the Full Suite of Replication Metrics for a Sample Bond.
- RajpurSonarpur() - Constructor for class org.drip.sample.bondmetrics.RajpurSonarpur
-
- Rampur - Class in org.drip.sample.loan
-
Rampur demonstrates the Analytics Calculation/Reconciliation for the Loan Rampur.
- Rampur() - Constructor for class org.drip.sample.loan.Rampur
-
- Ranchi - Class in org.drip.sample.bondeos
-
Ranchi demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Ranchi.
- Ranchi() - Constructor for class org.drip.sample.bondeos.Ranchi
-
- Random() - Static method in class org.drip.measure.gaussian.NormalQuadrature
-
Generate a Random Univariate Number following a Gaussian Distribution
- random() - Method in class org.drip.sequence.random.Binary
-
- random() - Method in class org.drip.sequence.random.BoundedGaussian
-
- random() - Method in class org.drip.sequence.random.BoundedUniform
-
- random() - Method in class org.drip.sequence.random.BoundedUniformInteger
-
- random() - Method in class org.drip.sequence.random.BoxMullerGaussian
-
- random() - Method in class org.drip.sequence.random.MultivariateSequenceGenerator
-
Generate the Set of Multivariate Random Numbers according to the specified rule
- random() - Method in class org.drip.sequence.random.Poisson
-
- random() - Method in class org.drip.sequence.random.PrincipalFactorSequenceGenerator
-
- random() - Method in class org.drip.sequence.random.UnivariateSequenceGenerator
-
Generate a Random Number according to the specified rule
- RandomNumberGenerator - Class in org.drip.measure.crng
-
RandomNumberGenerator provides the Functionality to generate Random Numbers.
- RandomNumberGenerator() - Constructor for class org.drip.measure.crng.RandomNumberGenerator
-
Empty RandomNumberGenerator Constructor
- randomNumberGenerator() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
-
Retrieve the Random Number Generator
- Rank(double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Compute the Rank of the Matrix
- rate() - Method in class org.drip.analytics.output.CompositePeriodCouponMetrics
-
Retrieve the Composite Rate
- rate() - Method in class org.drip.analytics.output.UnitPeriodMetrics
-
Retrieve the Coupon Rate
- rate() - Method in class org.drip.assetbacked.borrower.RevolvingUtilizationRate
-
Retrieve the Borrower's Revolving Utilization Rate
- rate() - Method in class org.drip.assetbacked.loan.Coupon
-
Retrieve the Loan Coupon Rate
- rate(double, InvestorCliffSettings) - Method in class org.drip.portfolioconstruction.alm.ExpectedBasicConsumption
-
Compute the Expected Consumption Rate
- rate(double, InvestorCliffSettings) - Method in class org.drip.portfolioconstruction.alm.ExpectedNonFinancialIncome
-
Compute the Retirement Age Income Replacement Rate
- rate() - Method in class org.drip.product.calib.DepositComponentQuoteSet
-
Retrieve the Rate
- rate() - Method in class org.drip.product.calib.FixFloatQuoteSet
-
Retrieve the Rate
- rate() - Method in class org.drip.product.calib.FuturesComponentQuoteSet
-
Retrieve the Rate
- rate(int) - Method in interface org.drip.state.csa.CashFlowEstimator
-
Calculate the Cash Flow Rate Effective to the given Date
- rate(JulianDate) - Method in interface org.drip.state.csa.CashFlowEstimator
-
Calculate the Cash Flow Rate Effective to the given date
- rate(String) - Method in interface org.drip.state.csa.CashFlowEstimator
-
Calculate the Cash Flow Rate Effective to the given Tenor
- rate(String, String) - Method in interface org.drip.state.csa.CashFlowEstimator
-
Calculate the Cash Flow Rate Effective between the Tenors
- rate(int, int) - Method in interface org.drip.state.csa.CashFlowEstimator
-
Calculate the Cash Flow Rate Effective between the Dates
- rate(JulianDate, JulianDate) - Method in interface org.drip.state.csa.CashFlowEstimator
-
Calculate the Cash Flow Rate Effective between the Dates
- rate(int) - Method in class org.drip.state.csa.MultilateralBasisCurve
-
- rate(JulianDate) - Method in class org.drip.state.csa.MultilateralBasisCurve
-
- rate(String) - Method in class org.drip.state.csa.MultilateralBasisCurve
-
- rate(int, int) - Method in class org.drip.state.csa.MultilateralBasisCurve
-
- rate(JulianDate, JulianDate) - Method in class org.drip.state.csa.MultilateralBasisCurve
-
- rate(String, String) - Method in class org.drip.state.csa.MultilateralBasisCurve
-
- rate(int) - Method in class org.drip.state.csa.MultilateralFlatForwardCurve
-
- rate(JulianDate) - Method in class org.drip.state.csa.MultilateralFlatForwardCurve
-
- rate(String) - Method in class org.drip.state.csa.MultilateralFlatForwardCurve
-
- rate(int, int) - Method in class org.drip.state.csa.MultilateralFlatForwardCurve
-
- rate(JulianDate, JulianDate) - Method in class org.drip.state.csa.MultilateralFlatForwardCurve
-
- rate(String, String) - Method in class org.drip.state.csa.MultilateralFlatForwardCurve
-
- rate(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, int, boolean) - Method in class org.drip.state.curve.BasisSplineFXForward
-
- rate(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, int, boolean) - Method in class org.drip.state.fx.FXCurve
-
Calculate the rate implied by the discount curve inputs to a specified date
- rate(int[], ValuationParams, MergedDiscountForwardCurve, MergedDiscountForwardCurve, int, boolean) - Method in class org.drip.state.nonlinear.FlatForwardFXCurve
-
- rateIncrement() - Method in class org.drip.market.exchange.DeliverableSwapFutures
-
Retrieve the Rate Increment
- rateIndex() - Method in class org.drip.product.credit.BondComponent
-
- rateIndex() - Method in class org.drip.product.definition.Bond
-
Return the rate index of the bond
- RateIndexFromCcyAndCouponFreq(String, int) - Static method in class org.drip.analytics.support.Helper
-
Calculate the rate index from currency and coupon frequency
- RatesBasket - Class in org.drip.product.rates
-
RatesBasket contains the implementation of the Basket of Rates Component legs.
- RatesBasket(String, Stream[], Stream[]) - Constructor for class org.drip.product.rates.RatesBasket
-
RatesBasket constructor
- RatesClassMargin20 - Class in org.drip.sample.simmir
-
RatesClassMargin20 illustrates the Computation of the SIMM 2.0 IR Class Margin for a Currency Bucket's IR
Exposure Sensitivities.
- RatesClassMargin20() - Constructor for class org.drip.sample.simmir.RatesClassMargin20
-
- RatesClassMargin21 - Class in org.drip.sample.simmir
-
RatesClassMargin21 illustrates the Computation of the SIMM 2.1 IR Class Margin for a Currency Bucket's IR
Exposure Sensitivities.
- RatesClassMargin21() - Constructor for class org.drip.sample.simmir.RatesClassMargin21
-
- RatesCurrencyCurvatureMargin20 - Class in org.drip.sample.simmir
-
RatesCurrencyCurvatureMargin20 illustrates the Computation of the SIMM 2.0 IR Curvature Margin for a
Currency Bucket's IR Exposure Sensitivities.
- RatesCurrencyCurvatureMargin20() - Constructor for class org.drip.sample.simmir.RatesCurrencyCurvatureMargin20
-
- RatesCurrencyCurvatureMargin21 - Class in org.drip.sample.simmir
-
RatesCurrencyCurvatureMargin21 illustrates the Computation of the SIMM 2.1 IR Curvature Margin for a
Currency Bucket's IR Exposure Sensitivities.
- RatesCurrencyCurvatureMargin21() - Constructor for class org.drip.sample.simmir.RatesCurrencyCurvatureMargin21
-
- RatesCurrencyCurvatureMarginFlow20 - Class in org.drip.sample.simmir
-
RatesCurrencyCurvatureMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0 IR Curvature
Margin for a Currency Bucket's IR Exposure Sensitivities.
- RatesCurrencyCurvatureMarginFlow20() - Constructor for class org.drip.sample.simmir.RatesCurrencyCurvatureMarginFlow20
-
- RatesCurrencyCurvatureMarginFlow21 - Class in org.drip.sample.simmir
-
RatesCurrencyCurvatureMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1 IR Curvature
Margin for a Currency Bucket's IR Exposure Sensitivities.
- RatesCurrencyCurvatureMarginFlow21() - Constructor for class org.drip.sample.simmir.RatesCurrencyCurvatureMarginFlow21
-
- RatesCurrencyDeltaMargin20 - Class in org.drip.sample.simmir
-
RatesCurrencyDeltaMargin20 illustrates the Computation of the SIMM 2.0 IR Delta Margin for a Currency
Bucket's IR Exposure Sensitivities.
- RatesCurrencyDeltaMargin20() - Constructor for class org.drip.sample.simmir.RatesCurrencyDeltaMargin20
-
- RatesCurrencyDeltaMargin21 - Class in org.drip.sample.simmir
-
RatesCurrencyDeltaMargin21 illustrates the Computation of the SIMM 2.1 IR Delta Margin for a Currency
Bucket's IR Exposure Sensitivities.
- RatesCurrencyDeltaMargin21() - Constructor for class org.drip.sample.simmir.RatesCurrencyDeltaMargin21
-
- RatesCurrencyDeltaMarginFlow20 - Class in org.drip.sample.simmir
-
RatesCurrencyDeltaMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0 IR Delta Margin
for a Currency Bucket's IR Exposure Sensitivities.
- RatesCurrencyDeltaMarginFlow20() - Constructor for class org.drip.sample.simmir.RatesCurrencyDeltaMarginFlow20
-
- RatesCurrencyDeltaMarginFlow21 - Class in org.drip.sample.simmir
-
RatesCurrencyDeltaMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1 IR Delta Margin
for a Currency Bucket's IR Exposure Sensitivities.
- RatesCurrencyDeltaMarginFlow21() - Constructor for class org.drip.sample.simmir.RatesCurrencyDeltaMarginFlow21
-
- RatesCurrencyVegaMargin20 - Class in org.drip.sample.simmir
-
RatesCurrencyVegaMargin20 illustrates the Computation of the SIMM 2.0 IR Vega Margin for a Currency
Bucket's IR Exposure Sensitivities.
- RatesCurrencyVegaMargin20() - Constructor for class org.drip.sample.simmir.RatesCurrencyVegaMargin20
-
- RatesCurrencyVegaMargin21 - Class in org.drip.sample.simmir
-
RatesCurrencyVegaMargin21 illustrates the Computation of the SIMM 2.1 IR Vega Margin for a Currency
Bucket's IR Exposure Sensitivities.
- RatesCurrencyVegaMargin21() - Constructor for class org.drip.sample.simmir.RatesCurrencyVegaMargin21
-
- RatesCurrencyVegaMarginFlow20 - Class in org.drip.sample.simmir
-
RatesCurrencyVegaMarginFlow20 illustrates the Steps in the Computation of the SIMM 2.0 IR Vega Margin for
a Currency Bucket's IR Exposure Sensitivities.
- RatesCurrencyVegaMarginFlow20() - Constructor for class org.drip.sample.simmir.RatesCurrencyVegaMarginFlow20
-
- RatesCurrencyVegaMarginFlow21 - Class in org.drip.sample.simmir
-
RatesCurrencyVegaMarginFlow21 illustrates the Steps in the Computation of the SIMM 2.1 IR Vega Margin for
a Currency Bucket's IR Exposure Sensitivities.
- RatesCurrencyVegaMarginFlow21() - Constructor for class org.drip.sample.simmir.RatesCurrencyVegaMarginFlow21
-
- RatesCurvatureMargin20 - Class in org.drip.sample.simmir
-
RatesCurvatureMargin20 illustrates the Computation of the SIMM 2.0 IR Curvature Margin for a Bucket of
Currency's IR Exposure Sensitivities.
- RatesCurvatureMargin20() - Constructor for class org.drip.sample.simmir.RatesCurvatureMargin20
-
- RatesCurvatureMargin21 - Class in org.drip.sample.simmir
-
RatesCurvatureMargin21 illustrates the Computation of the SIMM 2.1 IR Curvature Margin for a Bucket of
Currency's IR Exposure Sensitivities.
- RatesCurvatureMargin21() - Constructor for class org.drip.sample.simmir.RatesCurvatureMargin21
-
- RatesDeltaMargin20 - Class in org.drip.sample.simmir
-
RatesDeltaMargin20 illustrates the Computation of the IR SIMM 2.0 Delta Margin for a Bucket of Currency's
IR Exposure Sensitivities.
- RatesDeltaMargin20() - Constructor for class org.drip.sample.simmir.RatesDeltaMargin20
-
- RatesDeltaMargin21 - Class in org.drip.sample.simmir
-
RatesDeltaMargin21 illustrates the Computation of the IR SIMM 2.1 Delta Margin for a Bucket of Currency's
IR Exposure Sensitivities.
- RatesDeltaMargin21() - Constructor for class org.drip.sample.simmir.RatesDeltaMargin21
-
- ratesFXMultiplicativeScale() - Method in class org.drip.simm.estimator.AdditionalInitialMargin
-
Retrieve the RatesFX Multiplicative Scale
- RatesVegaMargin20 - Class in org.drip.sample.simmir
-
RatesVegaMargin20 illustrates the Computation of the SIMM 2.0 IR Vega Margin for a Bucket of Currency's IR
Exposure Sensitivities.
- RatesVegaMargin20() - Constructor for class org.drip.sample.simmir.RatesVegaMargin20
-
- RatesVegaMargin21 - Class in org.drip.sample.simmir
-
RatesVegaMargin21 illustrates the Computation of the SIMM 2.1 IR Vega Margin for a Bucket of Currency's IR
Exposure Sensitivities.
- RatesVegaMargin21() - Constructor for class org.drip.sample.simmir.RatesVegaMargin21
-
- rating(RatingLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Rating Latent State
- rating() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve the Govvie Latent State Node Container
- rating(RatingLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve of Labeled Rating
- ratingExists(RatingLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Indicate if the Rating Latent State Exists
- RatingLabel - Class in org.drip.state.identifier
-
RatingLabel contains the Identifier Parameters referencing the Label corresponding to the Credit Rating
Latent State.
- RatingLabel(String, String) - Constructor for class org.drip.state.identifier.RatingLabel
-
RatingsLabel constructor
- ratingMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Ratings Evolver Map
- ratingRatingCorrelation(RatingLabel, RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Rating and the Rating Latent States
- ratingRecoveryCorrelation(RatingLabel, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Rating and Recovery Latent States
- ratingRepoCorrelation(RatingLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Rating and Repo Latent States
- ratingState(RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Rating State for the specified Rating Latent State Label
- ratingVolaitlity(RatingLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Volatility Curve for the specified Rating Latent State
- ratio() - Method in class org.drip.assetbacked.borrower.DTIExMortgage
-
Retrieve the Borrower's Current Debt-to-income Ratio
- rationalTension() - Method in class org.drip.spline.basis.ExponentialRationalSetParams
-
Get the Rational Tension
- RAW_TENSION_HYPERBOLIC - Static variable in class org.drip.spline.bspline.BasisHatPairGenerator
-
Raw Tension Hyperbolic B Spline Basis Hat Phy and Psy
- rawRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettings
-
Retrieve the Raw Vega Risk Weight
- RayleighQuotient(double[][], double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Compute the Rayleigh Quotient given the Matrix and one of its Eigenvector
- RayleighQuotient - Class in org.drip.sample.matrix
-
RayleighQuotient demonstrates the Computation of an Approximate to the Eigenvalue using the Rayleigh
Quotient.
- RayleighQuotient() - Constructor for class org.drip.sample.matrix.RayleighQuotient
-
- Rd - Class in org.drip.measure.continuous
-
Rd implements the Base Abstract Class behind R^d Distributions.
- Rd() - Constructor for class org.drip.measure.continuous.Rd
-
- RdAggregate - Class in org.drip.spaces.tensor
-
RdAggregate exposes the basic Properties of the R^d as a Sectional Super-position of R^1 Vector Spaces.
- RdAggregate(R1GeneralizedVector[]) - Constructor for class org.drip.spaces.tensor.RdAggregate
-
- RdCombinatorialBall - Class in org.drip.spaces.metric
-
RdCombinatorialBall extends the Combinatorial R^d Banach Space by enforcing the Closed Bounded Metric.
- RdCombinatorialBall(R1CombinatorialVector[], Rd, int, double) - Constructor for class org.drip.spaces.metric.RdCombinatorialBall
-
RdCombinatorialBall Constructor
- RdCombinatorialBanach - Class in org.drip.spaces.metric
-
RdCombinatorialBanach implements the Bounded/Unbounded Combinatorial l^p R^d Spaces.
- RdCombinatorialBanach(R1CombinatorialVector[], Rd, int) - Constructor for class org.drip.spaces.metric.RdCombinatorialBanach
-
RdCombinatorialBanach Space Constructor
- RdCombinatorialHilbert - Class in org.drip.spaces.metric
-
RdCombinatorialHilbert implements the Bounded/Unbounded, Combinatorial l^2 R^d Spaces.
- RdCombinatorialHilbert(R1CombinatorialVector[], Rd) - Constructor for class org.drip.spaces.metric.RdCombinatorialHilbert
-
RdCombinatorialHilbert Space Constructor
- RdCombinatorialToR1Continuous(RdToR1, NormedRdCombinatorialToR1Continuous, double) - Static method in class org.drip.learning.regularization.RegularizerBuilder
-
Construct an Instance of R^d Combinatorial To R^1 Continuous Regularizer
- RdCombinatorialVector - Class in org.drip.spaces.tensor
-
RdCombinatorialVector exposes the Normed/Non-normed Discrete Spaces with R^d Combinatorial Vector
Elements.
- RdCombinatorialVector(R1CombinatorialVector[]) - Constructor for class org.drip.spaces.tensor.RdCombinatorialVector
-
RdCombinatorialVector Constructor
- RdContinuousBall - Class in org.drip.spaces.metric
-
RdContinuousBall extends the Continuous R^d Banach Space by enforcing the Closed Bounded Metric.
- RdContinuousBall(R1ContinuousVector[], Rd, int, double) - Constructor for class org.drip.spaces.metric.RdContinuousBall
-
RdContinuousBall Constructor
- RdContinuousBanach - Class in org.drip.spaces.metric
-
RdContinuousBanach implements the Normed, Bounded/Unbounded Continuous l^p R^d Spaces.
- RdContinuousBanach(R1ContinuousVector[], Rd, int) - Constructor for class org.drip.spaces.metric.RdContinuousBanach
-
RdContinuousBanach Space Constructor
- RdContinuousHilbert - Class in org.drip.spaces.metric
-
RdContinuousHilbert implements the Bounded/Unbounded, Continuous l^2 R^d Spaces.
- RdContinuousHilbert(R1ContinuousVector[], Rd) - Constructor for class org.drip.spaces.metric.RdContinuousHilbert
-
RdContinuousHilbert Space Constructor
- RdContinuousToR1Continuous(RdToR1, NormedRdContinuousToR1Continuous, double) - Static method in class org.drip.learning.regularization.RegularizerBuilder
-
Construct an Instance of R^d Continuous To R^1 Continuous Regularizer
- RdContinuousVector - Class in org.drip.spaces.tensor
-
RdContinuousVector implements the Normed/non-normed, Bounded/Unbounded Continuous R^d Vector Spaces.
- RdContinuousVector(R1ContinuousVector[]) - Constructor for class org.drip.spaces.tensor.RdContinuousVector
-
RdContinuousVector Constructor
- RdDecisionFunction - Class in org.drip.learning.svm
-
RdDecisionFunction exposes the R^d Decision-Function Based SVM Functionality for Classification and
Regression.
- RdDecisionFunction(RdGeneralizedVector, RdNormed, double[], double) - Constructor for class org.drip.learning.svm.RdDecisionFunction
-
RdDecisionFunction Constructor
- RdExhaustiveStateSpaceScan - Class in org.drip.spaces.iterator
-
RdExhaustiveStateSpaceScan contains the Functionality to iterate exhaustively through the R^d Space.
- RdExhaustiveStateSpaceScan(int[], boolean) - Constructor for class org.drip.spaces.iterator.RdExhaustiveStateSpaceScan
-
RdExhaustiveStateSpaceScan Constructor
- RdGeneralizedVector - Interface in org.drip.spaces.tensor
-
RdGeneralizedVector exposes the basic Properties of the Generalized R^d Vector Space.
- RdMultiPath - Class in org.drip.sample.rng
-
RdMultiPath illustrates the Generation of the Multi-Path Correlated Random Variables without using
Quadratic Re-sampling or Antithetic Variables.
- RdMultiPath() - Constructor for class org.drip.sample.rng.RdMultiPath
-
- RdMultiPathAntithetic - Class in org.drip.sample.rng
-
RdMultiPathAntithetic illustrates the Generation of the Multi-Path Correlated Random Variables with
Antithetic Variables but without using Quadratic Re-sampling.
- RdMultiPathAntithetic() - Constructor for class org.drip.sample.rng.RdMultiPathAntithetic
-
- RdMultiPathQR - Class in org.drip.sample.rng
-
RdMultiPathQR illustrates the Generation of the Multi-Path Correlated Random Variables using Quadratic
Re-sampling but without Antithetic Variables.
- RdMultiPathQR() - Constructor for class org.drip.sample.rng.RdMultiPathQR
-
- RdMultiPathQRUnbiased - Class in org.drip.sample.rng
-
RdMultiPathQRUnbiased illustrates the Generation of the Multi-Path Correlated Random Variables using Quadratic
Re-sampling but without Antithetic Variables.
- RdMultiPathQRUnbiased() - Constructor for class org.drip.sample.rng.RdMultiPathQRUnbiased
-
- RdNormed - Interface in org.drip.spaces.metric
-
RdNormed Abstract Class implements the Normed, Bounded/Unbounded Continuous/Combinatorial l^p R^d Spaces.
- RdR1 - Class in org.drip.measure.continuous
-
Rd implements the Base Abstract Class behind R^d X R^1 Distributions.
- RdR1() - Constructor for class org.drip.measure.continuous.RdR1
-
- RdReceedingStateSpaceScan - Class in org.drip.spaces.iterator
-
RdReceedingStateSpaceScan is the Abstract Iterator Class that contains the Functionality to conduct a
Receeding Scan through a R^d Space.
- RdReceedingStateSpaceScan(int[], boolean) - Constructor for class org.drip.spaces.iterator.RdReceedingStateSpaceScan
-
RdReceedingStateSpaceScan Constructor
- RdSpanningCombinatorialIterator - Class in org.drip.spaces.iterator
-
RdSpanningCombinatorialIterator contains the Functionality to conduct a Spanning Iteration through an R^d
Combinatorial Space.
- RdSpanningCombinatorialIterator(R1CombinatorialVector[], int[]) - Constructor for class org.drip.spaces.iterator.RdSpanningCombinatorialIterator
-
RdSpanningCombinatorialIterator Constructor
- RdSpanningStateSpaceScan - Class in org.drip.spaces.iterator
-
RdSpanningStateSpaceScan is the Abstract Iterator Class that contains the Functionality to perform a
Spanning Iterative Scan through an R^d State Space.
- RdSpanningStateSpaceScan(int[], boolean) - Constructor for class org.drip.spaces.iterator.RdSpanningStateSpaceScan
-
- RdToR1 - Class in org.drip.function.definition
-
RdToR1 provides the evaluation of the R^d To R^1 objective function and its derivatives for a specified
set of R^d variates.
- RdToR1(DerivativeControl) - Constructor for class org.drip.function.definition.RdToR1
-
- rdTor1() - Method in class org.drip.learning.regularization.RegularizationFunction
-
Retrieve the R^d To R^1 Regularization Function
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitBudgetTermNet
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitBudgetTermTransactionCharge
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitChargeTermIssuer
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitExposureTermAbsolute
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitExposureTermIssuerLong
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitExposureTermIssuerNet
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitExposureTermIssuerShort
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitExposureTermNet
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitHoldingsTermAbsolute
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuerLong
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuerLongShort
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuerNet
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuerShort
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitHoldingsTermIssuerWeightedAverage
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitHoldingsTermModelDeviation
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitNamesTermIssuerLong
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitNamesTermIssuerShort
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitNamesTermIssuerTotal
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitRiskTermMarginal
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitRiskTermVariance
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTaxTermGrossGains
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTaxTermGrossLoss
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTaxTermLiability
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTaxTermLongGains
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTaxTermNetGains
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTaxTermNetLoss
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitThresholdTermIssuerLong
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitThresholdTermIssuerNet
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitThresholdTermIssuerShort
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTradesTermIssuerBuy
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTradesTermIssuerSell
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTradesTermIssuerTotal
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuerBuy
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuerNet
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuerSell
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.constraint.LimitTurnoverTermIssuerShort
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.objective.CustomNetTaxGainsTerm
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.objective.ExpectedReturnsTerm
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.objective.FixedChargeBuyTerm
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.objective.FixedChargeSellTerm
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.objective.FixedChargeTerm
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.objective.GoldmanSachsShortfallTerm
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.objective.LinearChargeBuyTerm
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.objective.LinearChargeSellTerm
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.objective.LinearChargeTerm
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.objective.LongTiltTerm
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.objective.MarketImpactChargeTerm
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.objective.NetTaxGainsTerm
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.objective.NetTiltTerm
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.objective.ShortSellChargeTerm
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.objective.ShortTiltTerm
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.objective.StandardDeviationTerm
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.objective.TaxLiabilityTerm
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.objective.TransactionChargeTerm
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.objective.VarianceTerm
-
- rdtoR1() - Method in class org.drip.portfolioconstruction.optimizer.FormulationTerm
-
The R^d To R^1 Objective Term
- RdToRd - Class in org.drip.function.definition
-
RdToRd provides the evaluation of the R^d To R^d objective function and its derivatives for a specified
set of R^d variates.
- RdToRd(DerivativeControl) - Constructor for class org.drip.function.definition.RdToRd
-
- RdUniform - Class in org.drip.measure.lebesgue
-
RdUniform implements the R^d Lebesgue Measure Distribution that corresponds to a Uniform R^d d-Volume
Space.
- RdUniform(RdGeneralizedVector) - Constructor for class org.drip.measure.lebesgue.RdUniform
-
RdUniform Constructor
- real() - Method in class org.drip.quant.fourier.ComplexNumber
-
Retrieve the Real Part
- realization() - Method in class org.drip.execution.hjb.NonDimensionalCost
-
Retrieve the Realized Non-dimensional Value
- realization() - Method in class org.drip.execution.latent.MarketStateCorrelated
-
Retrieve the Liquidity/Volatility Market State Realizations
- realization() - Method in class org.drip.historical.attribution.PositionManifestMeasureSnap
-
Retrieve the Realized Manifest Measure Value
- realizedDrift(int) - Method in class org.drip.execution.bayesian.PriorDriftDistribution
-
Generate the given Number of Bayesian Drift Realizations
- realizedFinalShortRate() - Method in class org.drip.dynamics.hullwhite.ShortRateUpdate
-
Retrieve the Realized Final Short Rate
- realizedMarketState() - Method in class org.drip.execution.latent.OrnsteinUhlenbeckSequence
-
Retrieve the Sequence of Market State Realization
- realizedQM() - Method in class org.drip.dynamics.lmm.PathwiseQMRealization
-
Retrieve the Array of the Realized QM
- realizedZeroCouponPrice(int) - Method in class org.drip.dynamics.lmm.ContinuouslyCompoundedForwardProcess
-
Retrieve a Realized Zero-Coupon Bond Price
- rebalanceCash(EvolutionTrajectoryVertex, MarketEdge) - Method in class org.drip.xva.pde.TrajectoryEvolutionScheme
-
Re-balance the Cash Account and generate the Derivative Value Update
- Rebalancer - Class in org.drip.portfolioconstruction.optimizer
-
Rebalancer holds the Details of a given Rebalancing Run.
- Rebalancer(String, String, String, Account, Strategy) - Constructor for class org.drip.portfolioconstruction.optimizer.Rebalancer
-
Rebalancer Constructor
- RebalancerAnalytics - Class in org.drip.portfolioconstruction.optimizer
-
RebalancerAnalytics holds the Analytics from a given Rebalancing Run.
- RebalancerAnalytics(double, Holdings, CaseInsensitiveHashMap<Double>, CaseInsensitiveHashMap<ConstraintRealization>, PortfolioMetrics, PortfolioBenchmarkMetrics) - Constructor for class org.drip.portfolioconstruction.optimizer.RebalancerAnalytics
-
RebalancerAnalytics Constructor
- ReceedingPermutationScan(String, int) - Static method in class org.drip.spaces.big.SubStringSetExtractor
-
Locate the String Set of the Target Size using a Receeding Permutation Scan
- Reconciler_Call - Class in org.drip.sample.bondmetrics
-
Reconciler_Call demonstrates the Analytics Calculation/Reconciliation for the Callable Bond KWA6SA.
- Reconciler_Call() - Constructor for class org.drip.sample.bondmetrics.Reconciler_Call
-
- Reconciler_Fixed - Class in org.drip.sample.bondmetrics
-
Reconciler_Fixed demonstrates the Analytics Calculation/Reconciliation for the the Fixed Coupon Bond
MCQGQO.
- Reconciler_Fixed() - Constructor for class org.drip.sample.bondmetrics.Reconciler_Fixed
-
- Reconciler_Float - Class in org.drip.sample.bondmetrics
-
Reconciler_Float demonstrates the Analytics Calculation/Reconciliation for the Floater Bond KWA6SA.
- Reconciler_Float() - Constructor for class org.drip.sample.bondmetrics.Reconciler_Float
-
- Reconciler_Sink - Class in org.drip.sample.bondmetrics
-
Reconciler_Sink demonstrates the Analytics Calculation/Reconciliation for the the Sinking Fund Bond
YSW0U6.
- Reconciler_Sink() - Constructor for class org.drip.sample.bondmetrics.Reconciler_Sink
-
- recordFinish() - Method in class org.drip.service.env.InvocationRecord
-
Record the Finish of the Invocation Record
- recordPhase(double, double, double, double, double, boolean) - Method in class org.drip.pricer.option.HestonStochasticVolatilityAlgorithm
-
Record the Details of a Single Phase Adjustment Run
- recordSetup() - Method in class org.drip.service.env.InvocationRecord
-
Record the Setup of the Invocation Record
- recovery(CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Retrieve the Coupon Period Recovery
- recovery(int, CreditCurve) - Method in class org.drip.product.credit.BondComponent
-
- recovery(int, int, CreditCurve) - Method in class org.drip.product.credit.BondComponent
-
- recovery(int, CreditCurve) - Method in class org.drip.product.credit.CDSComponent
-
- recovery(int, int, CreditCurve) - Method in class org.drip.product.credit.CDSComponent
-
- recovery(int, CreditCurve) - Method in class org.drip.product.definition.CreditComponent
-
Get the recovery of the credit component for the given date
- recovery(int, int, CreditCurve) - Method in class org.drip.product.definition.CreditComponent
-
Get the time-weighted recovery of the credit component between the given dates
- recovery() - Method in class org.drip.product.params.CreditSetting
-
Retrieve the Recovery Amount
- recovery(int) - Method in class org.drip.state.credit.CreditCurve
-
Calculate the recovery rate to the given date
- recovery(JulianDate) - Method in class org.drip.state.credit.CreditCurve
-
Calculate the recovery rate to the given date
- recovery(String) - Method in class org.drip.state.credit.CreditCurve
-
Calculate the recovery rate to the given tenor
- recovery(int) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
-
- recoveryFlatBump(BasketProduct, boolean) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Get the map of Recovery Flat Bumped Curves for the given Basket Product
- recoveryFlatBump(BasketProduct, boolean) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- recoveryPV() - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Retrieve the Recovery PV
- recoveryRate() - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Retrieve the Recovery Rate
- recoveryRate(JulianDate) - Method in class org.drip.historical.state.CreditCurveMetrics
-
Retrieve the Recovery Rate corresponding to the specified Date
- recoveryRate() - Method in class org.drip.market.otc.CreditIndexConvention
-
Retrieve the Recovery Rate
- recoveryRate() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Recovery Rate
- recoveryRecoveryCorrelation(EntityRecoveryLabel, EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Recovery Latent State Pair
- recoveryRepoCorrelation(EntityRecoveryLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface for the specified Recovery and the Repo Latent States
- recoveryState(EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Recovery Latent State from the Label
- recoveryVolatility(EntityRecoveryLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Volatility Curve for the specified Recovery Latent State
- recursiveGenerator() - Method in class org.drip.measure.crng.LinearCongruentialGenerator
-
Retrieve the Recursive Generator Instance
- RecursiveGenerator - Interface in org.drip.measure.crng
-
RecursiveGenerator exposes Sequence Generation using Recursive Schemes.
- redemptionCurrency() - Method in class org.drip.product.credit.BondComponent
-
- redemptionCurrency() - Method in class org.drip.product.definition.Bond
-
Return the bond's redemption currency
- redemptionValue() - Method in class org.drip.product.credit.BondComponent
-
- redemptionValue() - Method in class org.drip.product.definition.Bond
-
Return the bond's redemption value
- redemptionValue() - Method in class org.drip.product.params.QuoteConvention
-
Retrieve the Redemption Value
- reductionFactor() - Method in class org.drip.function.rdtor1descent.LineStepEvolutionControl
-
Retrieve the Reduction Factor per Step
- reductionSteps() - Method in class org.drip.function.rdtor1descent.LineStepEvolutionControl
-
Retrieve the Number of Reduction Steps
- reference() - Method in class org.drip.measure.process.OrnsteinUhlenbeckPair
-
Retrieve the Reference R^1 Ornstein-Uhlenbeck Evaluator
- REFERENCE_PERIOD_IN_ADVANCE - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
-
Reference Period Fixing is IN-ADVANCE (i.e., the same as that) of the Coupon Period
- REFERENCE_PERIOD_IN_ARREARS - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
-
Reference Period Fixing is IN-ARREARS (i.e., displaced one period to the right) of the Coupon Period
- referenceBurstiness() - Method in class org.drip.measure.dynamics.DiffusionEvaluatorOrnsteinUhlenbeck
-
- referenceBurstiness() - Method in interface org.drip.measure.process.OrnsteinUhlenbeck
-
Retrieve the Reference Burstiness Scale
- referenceBurstiness() - Method in class org.drip.measure.process.OrnsteinUhlenbeckPair
-
- referenceComponent() - Method in class org.drip.product.fx.ComponentPair
-
Retrieve the Reference Component
- referenceConvention() - Method in class org.drip.market.otc.CrossFloatSwapConvention
-
Retrieve the Reference Convention
- ReferenceCoordinatedVariation(CoordinatedVariation) - Static method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParametersBuilder
-
Construct a Linear Permanent Evolution Parameters from a Deterministic Coordinated Variation Instance
- referenceCoupon() - Method in class org.drip.product.govvie.TreasuryFutures
-
Retrieve the Reference Coupon Rate
- referenceEntity() - Method in class org.drip.state.identifier.EntityDesignateLabel
-
Retrieve the Reference Entity
- ReferenceForwardState - Class in org.drip.template.state
-
ReferenceForwardState sets up the Calibration of the Reference Forward Latent State and examine the
Emitted Metrics.
- ReferenceForwardState() - Constructor for class org.drip.template.state.ReferenceForwardState
-
- ReferenceForwardStateShifted - Class in org.drip.template.statebump
-
ReferenceForwardStateShifted demonstrates the Generation of the Shifted Reference Forward Curves.
- ReferenceForwardStateShifted() - Constructor for class org.drip.template.statebump.ReferenceForwardStateShifted
-
- referenceIndex() - Method in class org.drip.state.basis.BasisCurve
-
- referenceIndex() - Method in interface org.drip.state.basis.BasisEstimator
-
Retrieve the Reference Index
- referenceIndexPeriod() - Method in class org.drip.analytics.cashflow.ComposableUnitFloatingPeriod
-
Retrieve the Reference Index Period
- ReferenceIndexPeriod - Class in org.drip.analytics.cashflow
-
ReferenceIndexPeriod contains the Cash Flow Period Details.
- ReferenceIndexPeriod(int, int, int, double, FloaterLabel) - Constructor for class org.drip.analytics.cashflow.ReferenceIndexPeriod
-
The ReferenceIndexPeriod Constructor
- referenceLag() - Method in class org.drip.market.definition.OvernightIndex
-
Retrieve the Index Reference Lag
- referenceLiquidity() - Method in class org.drip.execution.tradingtime.CoordinatedVariation
-
Retrieve the Reference Liquidity
- referenceMeanReversionLevel() - Method in class org.drip.measure.dynamics.DiffusionEvaluatorOrnsteinUhlenbeck
-
- referenceMeanReversionLevel() - Method in interface org.drip.measure.process.OrnsteinUhlenbeck
-
Retrieve the Reference Mean Reversion Level Scale
- referenceMeanReversionLevel() - Method in class org.drip.measure.process.OrnsteinUhlenbeckPair
-
- referenceParBasisSpread() - Method in class org.drip.product.calib.FixFloatQuoteSet
-
Retrieve the Reference Par Basis Spread
- referenceParBasisSpread() - Method in class org.drip.product.calib.FloatFloatQuoteSet
-
Retrieve the Reference Par Basis Spread
- ReferencePeriod(JulianDate, JulianDate, FloaterLabel, int) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
-
Construct a Reference Period using the Start/End Dates, the Floater Label, and the Reference Period
Arrears Type
- ReferencePeriod(int, int, FloaterLabel, int) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
-
Construct a Reference Index Period using the Start/End Dates, the Floater Label, and the Reference
Period Arrears Type
- referencePeriodArrearsType() - Method in class org.drip.param.period.ComposableFloatingUnitSetting
-
Retrieve the Reference Period Arrears Type
- referencePrice(double) - Method in class org.drip.market.exchange.TreasuryFuturesConvention
-
Compute the Reference Bond Price from the Quoted Futures Index Level
- referencePrice(JulianDate, Bond, double) - Method in class org.drip.market.exchange.TreasuryFuturesConvention
-
Compute the Reference Bond Price from the Quoted Futures Index Level
- referenceRelaxationTime() - Method in class org.drip.measure.dynamics.DiffusionEvaluatorOrnsteinUhlenbeck
-
- referenceRelaxationTime() - Method in interface org.drip.measure.process.OrnsteinUhlenbeck
-
Retrieve the Reference Relaxation Time Scale
- referenceRelaxationTime() - Method in class org.drip.measure.process.OrnsteinUhlenbeckPair
-
- referenceStream() - Method in class org.drip.product.rates.DualStreamComponent
-
Retrieve the Reference Stream
- referenceStream() - Method in class org.drip.product.rates.FixFloatComponent
-
- referenceStream() - Method in class org.drip.product.rates.FloatFloatComponent
-
- referenceTenor() - Method in class org.drip.market.otc.FloatFloatSwapConvention
-
Retrieve the Reference Tenor
- referenceVolatility() - Method in class org.drip.execution.tradingtime.CoordinatedVariation
-
Retrieve the Reference Volatility
- region() - Method in class org.drip.simm.equity.EQBucket
-
Retrieve the Bucket Region
- RegionSystemics - Class in org.drip.simm.equity
-
RegionSystemics contains the Systemic Settings that contain the Region Details.
- RegionSystemics() - Constructor for class org.drip.simm.equity.RegionSystemics
-
- regress(double[]) - Method in class org.drip.learning.svm.RdDecisionFunction
-
Regress on the Specified Multi-dimensional Point
- regress() - Method in class org.drip.regression.core.UnitRegressionExecutor
-
- regress() - Method in interface org.drip.regression.core.UnitRegressor
-
This method performs the feature by feature regression for the given object.
- REGRESSION_DETAIL_MODULE_AGGREGATED - Static variable in class org.drip.regression.core.RegressionEngine
-
Regression outputs rolled up to Modules
- REGRESSION_DETAIL_MODULE_UNIT_AGGREGATED - Static variable in class org.drip.regression.core.RegressionEngine
-
Regression outputs rolled up to Module Units
- REGRESSION_DETAIL_MODULE_UNIT_DECOMPOSED - Static variable in class org.drip.regression.core.RegressionEngine
-
Regression outputs decomposed at individual Module Units
- REGRESSION_DETAIL_STATS - Static variable in class org.drip.regression.core.RegressionEngine
-
Regression Output: Statistics
- RegressionEngine - Class in org.drip.regression.core
-
RegressionEngine provides the control and frame-work functionality for the General Purpose Regression
Suite.
- RegressionEngine(int, int) - Constructor for class org.drip.regression.core.RegressionEngine
-
- RegressionLearning(R1ToR1, double) - Static method in class org.drip.learning.bound.CoveringNumberBoundBuilder
-
Construct the Regression Learning CoveringNumberProbabilityBound Instance
- RegressionRunDetail - Class in org.drip.regression.core
-
RegressionRunDetail contains named field level detailed output of the regression activity.
- RegressionRunDetail() - Constructor for class org.drip.regression.core.RegressionRunDetail
-
Empty constructor: Regression detail fields will be initialized
- RegressionRunOutput - Class in org.drip.regression.core
-
RegressionRunOutput contains the output of a single regression activity.
- RegressionRunOutput(String) - Constructor for class org.drip.regression.core.RegressionRunOutput
-
Regression Run Output Constructor
- RegressionSplineCashCurve - Class in org.drip.sample.bond
-
RegressionSplineCashCurve demonstrates the Functionality behind the Regression Spline based OLS best-fit
Construction of a Cash Bond Discount Curve Based on Input Price/Yield.
- RegressionSplineCashCurve() - Constructor for class org.drip.sample.bond.RegressionSplineCashCurve
-
- regressorCoveringProbabilityBound(int, double, boolean) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
-
Compute the Upper Bound of the Probability of the Absolute Deviation between the Empirical and the
Population Means using the Function Class Supremum Covering Number for Regression Learning
- regressorCoveringProbabilityBound(GeneralizedValidatedVector, int, double, boolean) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
-
Compute the Sample/Data Dependent Upper Bound of the Probability of the Absolute Deviation between
the Empirical and the Population Means using the Function Class Supremum Covering Number for
Regression Learning
- regressorCoveringSampleSize(double, double, boolean) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
-
Compute the Minimum Possible Sample Size needed to generate the required Upper Probability Bound for
the Specified Empirical Deviation using the Covering Number Convergence Bounds for Regression
Learning.
- regressorCoveringSampleSize(GeneralizedValidatedVector, double, double, boolean) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
-
Compute the Minimum Possible Sample Size needed to generate the required Upper Probability Bound for
the Specified Empirical Deviation using the Covering Number Convergence Bounds for Regression
Learning.
- RegressorSet - Interface in org.drip.regression.core
-
RegressorSet interface provides the Regression set stubs.
- RegularCollateralTransferInitiation(EventDate, String) - Static method in class org.drip.exposure.csatimeline.EventDateBuilder
-
Construct the Regular Collateral Transfer Initiation CSA Event Date
- RegularEdgeDates(JulianDate, String, String, DateAdjustParams) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
-
Generate a list of regular period edge dates forward from the start.
- RegularEdgeDates(int, int, String, DateAdjustParams) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
-
Generate a list of regular period edge dates forward from the start.
- RegularEdgeDates(int, String, String, DateAdjustParams) - Static method in class org.drip.analytics.support.CompositePeriodBuilder
-
Generate a list of regular period edge dates forward from the start.
- RegulariseRow(double[][], double[], int, int) - Static method in class org.drip.quant.linearalgebra.LinearSystemSolver
-
Regularize (i.e., convert the diagonal entries of the given cell to non-zero using suitable linear
transformations)
- RegularityConditions - Class in org.drip.optimization.constrained
-
RegularityConditions holds the Results of the Verification of the Regularity Conditions/Constraint
Qualifications at the specified (possibly) Optimal Variate and the corresponding Fritz John Multipliers.
- RegularityConditions(double[], FritzJohnMultipliers, ConstraintQualifierLCQ, ConstraintQualifierLICQ, ConstraintQualifierMFCQ, ConstraintQualifierCRCQ, ConstraintQualifierCPLDCQ, ConstraintQualifierQNCQ, ConstraintQualifierSCCQ) - Constructor for class org.drip.optimization.constrained.RegularityConditions
-
RegularityConditions Constructor
- regularityQualifier(FritzJohnMultipliers, double[]) - Method in class org.drip.optimization.constrained.OptimizationFramework
-
Generate the Battery of Regularity Constraint Qualification Tests
- RegularizationFunction - Class in org.drip.learning.regularization
-
RegularizerFunction the R^1 To R^1 and the R^d To R^1 Regularization Functions.
- RegularizationFunction(R1ToR1, RdToR1, double) - Constructor for class org.drip.learning.regularization.RegularizationFunction
-
RegularizationFunction Constructor
- regularize(double) - Method in class org.drip.execution.athl.PermanentImpactNoArbitrage
-
- regularize(double) - Method in class org.drip.execution.athl.PermanentImpactQuasiArbitrage
-
- regularize(double) - Method in class org.drip.execution.athl.TemporaryImpact
-
- regularize(double) - Method in class org.drip.execution.impact.ParticipationRateLinear
-
- regularize(double) - Method in class org.drip.execution.impact.ParticipationRatePower
-
- regularize(double) - Method in class org.drip.execution.impact.TransactionFunction
-
Regularize the Input Function using the specified Trade Inputs
- RegularizeBenchmarkMarks(String, Map<JulianDate, Map<Double, Double>>, String, String[]) - Static method in class org.drip.feed.transformer.GovvieTreasuryMarksReconstitutor
-
Re-constitute the Horizon Benchmark Marks
- RegularizeBenchmarkMarks(String, Map<JulianDate, Map<Double, Double>>) - Static method in class org.drip.feed.transformer.GovvieTreasuryMarksReconstitutor
-
Re-constitute the Horizon Benchmark Marks
- RegularizeBenchmarkMarks(String, String) - Static method in class org.drip.feed.transformer.GovvieTreasuryMarksReconstitutor
-
Re-constitute the Horizon Benchmark Marks
- RegularizeCloses(String, String, String, int, int) - Static method in class org.drip.feed.transformer.CreditCDSIndexMarksReconstitutor
-
Regularize the Credit Index Feed Marks
- RegularizeCloses(String, int, int, int) - Static method in class org.drip.feed.transformer.FundingFuturesClosesReconstitutor
-
Regularize the Funding Futures Feed Closes
- RegularizeCloses(String, int, int, int, int, int, int, int) - Static method in class org.drip.feed.transformer.TreasuryFuturesClosesReconstitutor
-
Regularize the Treasury Feed Closes
- regularizedLoss(R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Compute the Regularized Sample Loss (Empirical + Structural)
- regularizedLoss(RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Compute the Regularized Sample Loss (Empirical + Structural)
- regularizedLoss(R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
-
- regularizedLoss(RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
-
- regularizedRisk(R1R1, R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Compute the Regularized Sample Risk (Empirical + Structural)
- regularizedRisk(RdR1, RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Compute the Regularized Sample Risk (Empirical + Structural)
- regularizedRisk(R1R1, R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
-
- regularizedRisk(RdR1, RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
-
- RegularizeMarks(String, Map<JulianDate, InstrumentSetTenorQuote>, int) - Static method in class org.drip.feed.transformer.FundingFixFloatMarksReconstitutor
-
Dump the Regularized Marks of the ISTQ Map
- RegularizeMarks(String, Map<JulianDate, InstrumentSetTenorQuote>, int) - Static method in class org.drip.feed.transformer.OvernightIndexMarksReconstitutor
-
Dump the Regularized Marks of the ISTQ Map
- RegularizerBuilder - Class in org.drip.learning.regularization
-
RegularizerBuilder constructs Custom Regularizers for the different Normed Learner Function Types.
- RegularizerBuilder() - Constructor for class org.drip.learning.regularization.RegularizerBuilder
-
- regularizerFunction() - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Retrieve the Regularizer Function
- regularizerFunction() - Method in class org.drip.learning.rxtor1.GeneralizedLearner
-
- RegularizerR1CombinatorialToR1Continuous - Class in org.drip.learning.regularization
-
RegularizerR1CombinatorialToR1Continuous computes the Structural Loss and Risk for the specified Normed
R^1 Combinatorial To Normed R^1 Continuous Learning Function.
- RegularizerR1CombinatorialToR1Continuous(R1ToR1, R1Combinatorial, R1Continuous, double) - Constructor for class org.drip.learning.regularization.RegularizerR1CombinatorialToR1Continuous
-
RegularizerR1CombinatorialToR1Continuous Function Space Constructor
- RegularizerR1ContinuousToR1Continuous - Class in org.drip.learning.regularization
-
RegularizerR1ContinuousToR1Continuous computes the Structural Loss and Risk for the specified Normed R^1
Continuous To Normed R^1 Continuous Learning Function.
- RegularizerR1ContinuousToR1Continuous(R1ToR1, R1Continuous, R1Continuous, double) - Constructor for class org.drip.learning.regularization.RegularizerR1ContinuousToR1Continuous
-
RegularizerR1ContinuousToR1Continuous Function Space Constructor
- RegularizerR1ToR1 - Interface in org.drip.learning.regularization
-
RegularizerR1ToR1 exposes the Structural Loss and Risk Calculations for the specified Normed R^1 To Normed
R^1 Learning Function.
- RegularizerRdCombinatorialToR1Continuous - Class in org.drip.learning.regularization
-
RegularizerRdCombinatorialToR1Continuous computes the Structural Loss and Risk for the specified Normed
R^d Combinatorial To Normed R^1 Continuous Learning Function.
- RegularizerRdCombinatorialToR1Continuous(RdToR1, RdCombinatorialBanach, R1Continuous, double) - Constructor for class org.drip.learning.regularization.RegularizerRdCombinatorialToR1Continuous
-
RegularizerRdCombinatorialToR1Continuous Function Space Constructor
- RegularizerRdContinuousToR1Continuous - Class in org.drip.learning.regularization
-
RegularizerRdContinuousToR1Continuous computes the Structural Loss and Risk for the specified Normed R^d
Continuous To Normed R^1 Continuous Learning Function.
- RegularizerRdContinuousToR1Continuous(RdToR1, RdContinuousBanach, R1Continuous, double) - Constructor for class org.drip.learning.regularization.RegularizerRdContinuousToR1Continuous
-
RegularizerRdContinuousToR1Continuous Function Space Constructor
- RegularizerRdToR1 - Interface in org.drip.learning.regularization
-
RegularizerRdxToR1 exposes the Structural Loss and Risk Calculations for the specified Normed R^d To Normed
R^1 Learning Function.
- RegularizeUsingRowAddition(MatrixComplementTransform) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Regularize the specified diagonal entry of the input matrix using Row Addition
- RegularizeUsingRowSwap(MatrixComplementTransform) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Regularize the specified diagonal entry of the input matrix using Row Swapping
- RegularVolatilityCurrencySet() - Static method in class org.drip.simm.rates.IRSettingsContainer20
-
Retrieve the Regular Volatility Currency Set
- RegularVolatilityCurrencySet() - Static method in class org.drip.simm.rates.IRSettingsContainer21
-
Retrieve the Regular Volatility Currency Set
- relativeTolerance() - Method in class org.drip.function.rdtor1solver.ConvergenceControl
-
Retrieve the Relative Tolerance
- RelativeValueMeasuresGeneration - Class in org.drip.sample.bond
-
RelativeValueMeasuresGeneration is a Bond RV Measures Generation Sample demonstrating the invocation and
usage of Bond RV Measures functionality.
- RelativeValueMeasuresGeneration() - Constructor for class org.drip.sample.bond.RelativeValueMeasuresGeneration
-
- RelativeValueMetrics(String, int, int, double, int, String, String, int, String[], double[], String, double[], String, String[], double[], String, String, int[], int[], double[], double[], String, String, String[], double[], double[], String, double) - Static method in class org.drip.service.product.FixedBondAPI
-
Generate the Relative Value Metrics for the Specified Bond
- relaxationTime() - Method in class org.drip.measure.dynamics.DiffusionEvaluatorOrnsteinUhlenbeck
-
Retrieve the Relaxation Time
- remove(Object) - Method in class org.drip.analytics.support.CaseInsensitiveHashMap
-
- remove(Object) - Method in class org.drip.analytics.support.CaseInsensitiveTreeMap
-
- remove(JulianDate, LatentStateLabel) - Method in class org.drip.param.market.LatentStateFixingsContainer
-
Remove the Latent State Fixing corresponding to the Date/Label Pair it if exists
- remove(int, LatentStateLabel) - Method in class org.drip.param.market.LatentStateFixingsContainer
-
Remove the Latent State Fixing corresponding to the Date/Label Pair it if exists
- removeAt(double) - Method in class org.drip.spaces.graph.SinglyLinkedNode
-
Remove the Node at the specified Value
- removeComponentQuote(String) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Remove the component quote
- removeComponentQuote(String) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- removeFixing(JulianDate, LatentStateLabel) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Remove the fixing corresponding to the given date and the Latent State Label
- removeFixing(JulianDate, LatentStateLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Remove the Fixing corresponding to the Date/Label Pair it if exists
- removeFixing(int, LatentStateLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Remove the Fixing corresponding to the Date/Label Pair it if exists
- removeFixing(JulianDate, LatentStateLabel) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- removeMarketQuote() - Method in class org.drip.param.definition.ProductQuote
-
Remove the market quote
- removeMarketQuote() - Method in class org.drip.param.quote.ProductMultiMeasure
-
- removeQuote(String) - Method in class org.drip.param.definition.ProductQuote
-
Remove the named Quote
- removeQuote(String) - Method in class org.drip.param.quote.ProductMultiMeasure
-
- removeScenarioCreditCurve(String) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Removes the named scenario CC
- removeScenarioCreditCurve(String) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- removeScenarioDiscountCurve(String) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Remove the named scenario DC
- removeScenarioDiscountCurve(String) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- removeTSYQuote(String) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Remove the named Treasury Quote
- removeTSYQuote(String) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- replicate() - Method in interface org.drip.spline.segment.BasisEvaluator
-
Clone/Replicate the current Basis Evaluator Instance
- replicate() - Method in class org.drip.spline.segment.SegmentBasisEvaluator
-
- replicationPortfolioVertex() - Method in class org.drip.xva.derivative.EvolutionTrajectoryVertex
-
Retrieve the Replication Portfolio Vertex
- ReplicationPortfolioVertex - Class in org.drip.xva.derivative
-
ReplicationPortfolioVertex contains the Dynamic Replicating Portfolio of the Pay-out using the Assets in
the Economy, from the Dealer's View Point.
- ReplicationPortfolioVertex(double, double, double, double, double) - Constructor for class org.drip.xva.derivative.ReplicationPortfolioVertex
-
ReplicationPortfolioVertex Constructor
- ReplicationPortfolioVertexDealer - Class in org.drip.xva.derivative
-
ReplicationPortfolioVertexDealer holds the Dealer Senor/Subordinate Replication Portfolio.
- ReplicationPortfolioVertexDealer(double, double) - Constructor for class org.drip.xva.derivative.ReplicationPortfolioVertexDealer
-
ReplicationPortfolioVertexDealer Constructor
- repo(RepoLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Repo Latent State
- repo() - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve the Repo Latent State Node Container
- repo(RepoLabel) - Method in class org.drip.exposure.evolver.LatentStateVertexContainer
-
Retrieve of Labeled Repo
- Repo - Class in org.drip.sample.securitysuite
-
Repo generates the Full Suite of Replication Metrics for a Sample Repo Instrument.
- Repo() - Constructor for class org.drip.sample.securitysuite.Repo
-
- repo(int) - Method in class org.drip.state.curve.BasisSplineRepoCurve
-
- repo(int) - Method in class org.drip.state.nonlinear.FlatForwardRepoCurve
-
- repo(JulianDate) - Method in class org.drip.state.repo.RepoCurve
-
- repo(String) - Method in class org.drip.state.repo.RepoCurve
-
- repo(int) - Method in interface org.drip.state.repo.RepoEstimator
-
Calculate the Repo Rate to the given Date
- repo(JulianDate) - Method in interface org.drip.state.repo.RepoEstimator
-
Calculate the Repo Rate to the given Date
- repo(String) - Method in interface org.drip.state.repo.RepoEstimator
-
Calculate the Repo Rate to the given Tenor
- RepoCurve - Class in org.drip.state.repo
-
RepoCurve is the Stub for the Re-purchase Rate between applicable to the Specified Entity.
- RepoCurve(int, Component) - Constructor for class org.drip.state.repo.RepoCurve
-
- RepoEstimator - Interface in org.drip.state.repo
-
RepoEstimator is the interface that exposes the calculation of the Repo Rate for a specified Entity.
- repoExists(RepoLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Indicate if the Repo Latent State Exists
- RepoLabel - Class in org.drip.state.identifier
-
RepoLabel contains the Identifier Parameters referencing the Latent State of the named Repo Curve.
- RepoLabel(String) - Constructor for class org.drip.state.identifier.RepoLabel
-
RepoLabel constructor
- repoMap() - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Repo Evolver Map
- repoRate() - Method in class org.drip.exposure.evolver.PrimarySecurity
-
Retrieve the Repo Rate
- repoRepoCorrelation(RepoLabel, RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Correlation Surface between the Pair of Repo Latent States
- repoState(RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Repo Latent State Corresponding to the Label
- repoVolatility(RepoLabel) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Retrieve the Volatility Curve for the Repo Latent State Label
- RequestResponseDecorator - Class in org.drip.service.engine
-
RequestResponseDecorator contains the Functionality behind the DRIP API Compute Service Engine Request and
Response Header Fields Affixing/Decoration.
- RequestResponseDecorator() - Constructor for class org.drip.service.engine.RequestResponseDecorator
-
- reset() - Method in class org.drip.json.parser.JSONParser
-
Reset the parser to the initial state without resetting the underlying reader.
- reset(Reader) - Method in class org.drip.json.parser.JSONParser
-
Reset the parser to the initial state with a new character reader.
- reset() - Method in class org.drip.json.simple.ItemList
-
- resetCoupon(double) - Method in class org.drip.product.credit.CDSComponent
-
Reset the CDS's coupon
- resetCoupon(double) - Method in class org.drip.product.definition.CreditDefaultSwap
-
Reset the CDS's coupon
- resetDate() - Method in class org.drip.analytics.output.CompositePeriodAccrualMetrics
-
Retrieve the Reset Date
- resetDate() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Reset Date
- resetNode(int, double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- resetNode(int, SegmentResponseValueConstraint) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- resetNode(int, double) - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
-
- resetNode(int, SegmentResponseValueConstraint) - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
-
- resetNode(int, double) - Method in interface org.drip.spline.stretch.SingleSegmentSequence
-
Reset the Predictor Ordinate Node Index with the given Response
- resetNode(int, SegmentResponseValueConstraint) - Method in interface org.drip.spline.stretch.SingleSegmentSequence
-
Reset the Predictor Ordinate Node Index with the given Segment Constraint
- resetRate() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Reset Rate
- resetStateIndexCursor() - Method in class org.drip.spaces.iterator.RdExhaustiveStateSpaceScan
-
- resetStateIndexCursor() - Method in class org.drip.spaces.iterator.RdReceedingStateSpaceScan
-
- resetStateIndexCursor() - Method in class org.drip.spaces.iterator.RdSpanningStateSpaceScan
-
Reset and retrieve the State Index Cursor
- RESIDUAL - Static variable in class org.drip.simm.credit.SectorSystemics
-
The "Residual" Sector
- RESIDUAL_BUCKET_CORRELATION - Static variable in class org.drip.simm.equity.EQSystemics20
-
Residual Bucket Correlation
- RESIDUAL_BUCKET_CORRELATION - Static variable in class org.drip.simm.equity.EQSystemics21
-
Residual Bucket Correlation
- RESIDUAL_BUCKET_RISK_WEIGHT - Static variable in class org.drip.simm.credit.CRQSystemics20
-
Residual Bucket - Risk Weight
- RESIDUAL_BUCKET_RISK_WEIGHT - Static variable in class org.drip.simm.credit.CRQSystemics21
-
Residual Bucket - Risk Weight
- residualHolding() - Method in class org.drip.execution.optimum.AlmgrenChrissDriftDiscrete
-
Retrieve the Residual Holdings induced by the Drift
- residualReturn() - Method in class org.drip.portfolioconstruction.asset.PortfolioBenchmarkMetrics
-
Retrieve the Portfolio-to-Benchmark Residual Return
- residualRisk() - Method in class org.drip.portfolioconstruction.asset.PortfolioBenchmarkMetrics
-
Retrieve the Portfolio-to-Benchmark Residual Risk
- residualSBAVariance() - Method in class org.drip.simm.margin.RiskMeasureAggregate
-
Retrieve the Residual SBA Variance
- residualSBAVariance() - Method in class org.drip.simm.margin.RiskMeasureAggregateCR
-
Retrieve the Residual SBA Variance
- residualSBAVariance() - Method in class org.drip.simm.margin.RiskMeasureAggregateIR
-
Retrieve the Residual SBA Variance
- response() - Method in class org.drip.spline.params.SegmentBestFitResponse
-
Retrieve the Array of Responses
- response(int) - Method in class org.drip.spline.params.SegmentBestFitResponse
-
Retrieve the Indexed Response Element
- response() - Method in class org.drip.spline.params.StretchBestFitResponse
-
Retrieve the Array of Responses
- response(int) - Method in class org.drip.spline.params.StretchBestFitResponse
-
Retrieve the Indexed Response Element
- responseBasisCoefficient() - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Retrieve the Array of Response Basis Coefficients
- responseBasisCoeffWeights() - Method in class org.drip.spline.params.SegmentBasisFlexureConstraint
-
Retrieve the Array of the Response Basis Coefficient Weights
- responseFunction() - Method in class org.drip.sequence.custom.KernelDensityEstimationL1
-
Retrieve the Response Function
- responseIndexedBasisConstraint(BasisEvaluator, LatentStateInelastic) - Method in class org.drip.spline.params.SegmentResponseValueConstraint
-
Convert the Segment Constraint onto Local Predictor Ordinates, the corresponding Response Basis
Function, and the Shape Controller Realizations
- ResponseScalingShapeControl - Class in org.drip.spline.params
-
ResponseScalingShapeControl implements the segment level basis functions proportional adjustment to
achieve the desired shape behavior of the response.
- ResponseScalingShapeControl(boolean, R1ToR1) - Constructor for class org.drip.spline.params.ResponseScalingShapeControl
-
ResponseScalingShapeControl constructor
- responseValue(double, double) - Method in class org.drip.spline.multidimensional.WireSurfacePiecewiseConstant
-
Compute the Bivariate Surface Response Value
- responseValue(double, double) - Method in class org.drip.spline.multidimensional.WireSurfaceStretch
-
Compute the Bivariate Surface Response Value
- responseValue() - Method in class org.drip.spline.params.SegmentPredictorResponseDerivative
-
Retrieve the Response Value
- responseValue(double) - Method in class org.drip.spline.pchip.MinimalQuadraticHaganWest
-
Calculate the Response Value given the Predictor Ordinate
- responseValue(double[], double) - Method in interface org.drip.spline.segment.BasisEvaluator
-
Compute the Response Value at the specified Predictor Ordinate
- responseValue(double) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Calculate the Response Value at the given Predictor Ordinate
- responseValue(double[], double) - Method in class org.drip.spline.segment.SegmentBasisEvaluator
-
- responseValue(double) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- responseValue(double) - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
-
- responseValue(double) - Method in interface org.drip.spline.stretch.SingleSegmentSequence
-
Calculate the Response Value at the given Predictor Ordinate
- responseValueDerivative(double[], double, int) - Method in interface org.drip.spline.segment.BasisEvaluator
-
Compute the Response Value Derivative at the specified Predictor Ordinate
- responseValueDerivative(double[], double, int) - Method in class org.drip.spline.segment.SegmentBasisEvaluator
-
- responseValueDerivative(double, int) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- responseValueDerivative(double, int) - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
-
- responseValueDerivative(double, int) - Method in interface org.drip.spline.stretch.SingleSegmentSequence
-
Calculate the Response Value Derivative at the given Predictor Ordinate for the specified order
- responseValues() - Method in class org.drip.spline.params.SegmentStateCalibrationInputs
-
Retrieve the Array of the Calibration Response Values
- responseValues() - Method in class org.drip.spline.pchip.MonotoneConvexHaganWest
-
Retrieve the Array of Response Values
- ResponseValueSensitivityConstraint - Class in org.drip.spline.params
-
SegmentResponseValueConstraint holds the SegmentBasisFlexureConstraint instances for the Base Calibration
and one for each Manifest Measure Sensitivity.
- ResponseValueSensitivityConstraint(SegmentResponseValueConstraint) - Constructor for class org.drip.spline.params.ResponseValueSensitivityConstraint
-
ResponseValueSensitivityConstraint constructor
- responseWeights() - Method in class org.drip.spline.params.SegmentResponseValueConstraint
-
Retrieve the Array of Response Weights at each Predictor Ordinate
- restrictedSubsetCardinality(double) - Method in class org.drip.spaces.cover.ScaleSensitiveCoveringBounds
-
Compute the Cardinality for the Subset T (|x) that possesses the Specified Cover for the Restriction
of the Input Function Class Family F (|x).
- retainedEarnings() - Method in class org.drip.xva.basel.BalanceSheetVertex
-
Retrieve the Retained Earnings Account
- retirementAge() - Method in class org.drip.portfolioconstruction.alm.InvestorCliffSettings
-
Retrieve the Investor Retirement Age
- retirementAgeConsumptionRate() - Method in class org.drip.portfolioconstruction.alm.ExpectedBasicConsumption
-
Retrieve the Retirement Age Consumption Rate
- retirementIndicator(double) - Method in class org.drip.portfolioconstruction.alm.InvestorCliffSettings
-
Retrieve the Investor Retirement Indicator Flag corresponding to the specified Age
- RETURNS_CONSTRAINT - Static variable in class org.drip.portfolioconstruction.allocator.PortfolioEqualityConstraintSettings
-
RETURNS_CONSTRAINT - The Mandatory Returns Constraint
- ReturnsConstrained(double) - Static method in class org.drip.portfolioconstruction.allocator.PortfolioEqualityConstraintSettings
-
Construct a Returns Constrained Instance of PortfolioEqualityConstraintSettings
- ReturnsConstrainedAllocationClient - Class in org.drip.sample.service
-
ReturnsConstrainedAllocationClient demonstrates the Invocation and Examination of the JSON-based
Weight Normalized/Returns Constrained Portfolio Allocation Service Client.
- ReturnsConstrainedAllocationClient() - Constructor for class org.drip.sample.service.ReturnsConstrainedAllocationClient
-
- ReturnsConstrainedAllocator(JSONObject) - Static method in class org.drip.json.assetallocation.PortfolioConstructionProcessor
-
JSON Based in/out Returns Constrained Mean Variance Allocation Thunker
- ReturnsConstrainedVarianceMinimizer - Class in org.drip.sample.assetallocation
-
ReturnsConstrainedVarianceMinimizer demonstrates the Construction of an Optimal Portfolio using the
Variance Minimizing Allocator with Weight Normalization Constraints and Design Returns Constraints.
- ReturnsConstrainedVarianceMinimizer() - Constructor for class org.drip.sample.assetallocation.ReturnsConstrainedVarianceMinimizer
-
- returnsConstraint(AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.PortfolioConstructionParameters
-
Retrieve the Mandatory Returns Constraint
- returnsConstraint() - Method in class org.drip.portfolioconstruction.allocator.PortfolioEqualityConstraintSettings
-
Retrieve the Returns Constraint
- ReturnsTerm - Class in org.drip.portfolioconstruction.objective
-
ReturnsTerm holds the Details of the Portfolio Returns Based Objective Terms.
- ReturnsTerm(String, String, String, double[], double[], double[]) - Constructor for class org.drip.portfolioconstruction.objective.ReturnsTerm
-
- Reverse(Portfolio, double[][], double) - Static method in class org.drip.portfolioconstruction.allocator.ForwardReverseOptimizationOutput
-
Construct an Instance of ForwardReverseOptimizationOutput from a Standard Reverse Optimize Operation
- RevolvingUtilizationRate - Class in org.drip.assetbacked.borrower
-
RevolvingUtilizationRate contains the Borrower's Net Revolving Utilization Rate.
- RevolvingUtilizationRate(double) - Constructor for class org.drip.assetbacked.borrower.RevolvingUtilizationRate
-
RevolvingUtilizationRate Constructor
- rho() - Method in class org.drip.dynamics.hjm.G2PlusPlus
-
Retrieve Rho
- rho() - Method in class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
-
Retrieve SABR Rho
- rho() - Method in class org.drip.param.pricer.HestonOptionPricerParams
-
Retrieve Rho
- rho() - Method in class org.drip.pricer.option.Greeks
-
The Option Rho
- RIDDER - Static variable in class org.drip.function.r1tor1solver.VariateIteratorPrimitive
-
Ridder's Method
- Ridder(double, double, double, double, double, double) - Static method in class org.drip.function.r1tor1solver.VariateIteratorPrimitive
-
Iterate for the next variate using Ridder's method
- right() - Method in class org.drip.spline.bspline.TensionBasisHat
-
Retrieve the Right Predictor Ordinate
- right() - Method in class org.drip.spline.grid.AggregatedSpan
-
- right() - Method in class org.drip.spline.grid.OverlappingStretchSpan
-
- right() - Method in interface org.drip.spline.grid.Span
-
Retrieve the Right Span Edge
- right() - Method in class org.drip.spline.segment.LatentStateInelastic
-
Retrieve the Segment Right Predictor Ordinate
- RIGHT_INCLUDE - Static variable in class org.drip.analytics.date.DateUtil
-
RIGHT_INCLUDE includes the end date in the Feb29 check
- RIGHT_NODE_VALUE_PARAMETER_INDEX - Static variable in class org.drip.spline.segment.LatentStateResponseModel
-
RIGHT NODE VALUE PARAMETER INDEX
- RIGHT_OF_CONSTRAINT - Static variable in class org.drip.spline.params.SegmentResponseValueConstraint
-
Indicator specifying that the knot is to the right of the constraint ordinates
- rightChild() - Method in class org.drip.spaces.big.BinaryTree
-
Retrieve the Right Child BinaryTree Instance
- rightDerivOrder() - Method in class org.drip.spline.stretch.BoundarySettings
-
Retrieve the Order of the Right Derivative
- rightDimensionEdge() - Method in class org.drip.spaces.tensor.RdCombinatorialVector
-
- rightDimensionEdge() - Method in class org.drip.spaces.tensor.RdContinuousVector
-
- rightDimensionEdge() - Method in interface org.drip.spaces.tensor.RdGeneralizedVector
-
Retrieve the Array of the Variate Right Edges
- rightEdge() - Method in class org.drip.measure.continuous.R1Multivariate
-
Retrieve the Right Edge Bounding Multivariate
- rightEdge() - Method in class org.drip.measure.lebesgue.R1Uniform
-
Retrieve the Right Predictor Ordinate Edge
- rightEdge() - Method in interface org.drip.spaces.tensor.GeneralizedVector
-
Retrieve the Right Edge
- rightEdge() - Method in class org.drip.spaces.tensor.R1CombinatorialVector
-
- rightEdge() - Method in class org.drip.spaces.tensor.R1ContinuousVector
-
- rightEdge() - Method in class org.drip.spaces.tensor.RdCombinatorialVector
-
- rightEdge() - Method in class org.drip.spaces.tensor.RdContinuousVector
-
- rightEdgeDeriv() - Method in class org.drip.spline.params.SegmentStateCalibrationInputs
-
Retrieve the Array of the Right Edge Derivatives
- RightHatShapeControl - Class in org.drip.spline.bspline
-
RightHatShapeControl implements the BasisHatShapeControl interface for the right hat basis set as laid out
in the basic framework outlined in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000)
Papers.
- RightHatShapeControl(double, double, String, double) - Constructor for class org.drip.spline.bspline.RightHatShapeControl
-
RightHatShapeControl constructor
- rightHoldings() - Method in class org.drip.execution.discrete.Slice
-
Retrieve the Right Holdings
- rightHoldingsDerivative(double, double, int) - Method in class org.drip.execution.impact.TransactionFunction
-
Compute the Sensitivity to the Right Holdings
- RightInfinite(R1ToR1, double) - Static method in class org.drip.quant.calculus.R1ToR1Integrator
-
Integrate the specified Function Numerically from the specified Left Limit to +infinity
- rightMostChild() - Method in class org.drip.spaces.big.BinaryTree
-
Retrieve the Right Most Child
- rightPillar() - Method in class org.drip.exposure.regression.AndersenPykhtinSokolSegment
-
Retrieve the Right Pillar Vertex
- rightPillar() - Method in class org.drip.exposure.regression.PykhtinBrownianBridgeSegment
-
Retrieve the Right Pillar Vertex
- rightPillarLocalVolatility() - Method in class org.drip.exposure.regression.AndersenPykhtinSokolSegment
-
Retrieve the Right Pillar Local Volatility
- rightPillarLocalVolatility() - Method in class org.drip.exposure.regression.PykhtinBrownianBridgeSegment
-
Retrieve the Right Pillar Local Volatility
- riskAversion() - Method in class org.drip.execution.risk.MeanVarianceObjectiveUtility
-
Retrieve the Risk Aversion Parameter
- riskAversion() - Method in class org.drip.execution.risk.PowerVarianceObjectiveUtility
-
Retrieve the Risk Aversion Parameter
- riskAversion() - Method in class org.drip.function.rdtor1.RiskObjectiveUtilityMultivariate
-
Retrieve the Risk Aversion Factor
- RiskAversion(double) - Static method in class org.drip.portfolioconstruction.allocator.CustomRiskUtilitySettings
-
The Risk Aversion Variance Minimizer CustomRiskUtilitySettings Instance
- riskAversion() - Method in class org.drip.portfolioconstruction.allocator.CustomRiskUtilitySettings
-
Retrieve the Risk Aversion Factor
- riskAversion() - Method in class org.drip.portfolioconstruction.allocator.ForwardReverseOptimizationOutput
-
Retrieve the Risk Aversion Coefficient
- RiskClassAggregate - Class in org.drip.simm.margin
-
RiskClassAggregate holds the Bucket Aggregate and the Computed SIMM Margin for a single Risk Class.
- RiskClassAggregate(RiskMeasureAggregate, RiskMeasureAggregate, RiskMeasureAggregate) - Constructor for class org.drip.simm.margin.RiskClassAggregate
-
RiskClassAggregate Constructor
- RiskClassAggregateCR - Class in org.drip.simm.margin
-
RiskClassAggregateCR holds the CR Bucket Aggregate and the Computed SIMM Margin for a single Risk Class.
- RiskClassAggregateCR(RiskMeasureAggregateCR, RiskMeasureAggregateCR, RiskMeasureAggregateCR) - Constructor for class org.drip.simm.margin.RiskClassAggregateCR
-
RiskClassAggregateCR Constructor
- RiskClassAggregateIR - Class in org.drip.simm.margin
-
RiskClassAggregateIR holds the Bucket Aggregate and the Computed SIMM Margin for the IR Risk Class.
- RiskClassAggregateIR(RiskMeasureAggregateIR, RiskMeasureAggregateIR, RiskMeasureAggregateIR) - Constructor for class org.drip.simm.margin.RiskClassAggregateIR
-
RiskClassAggregateIR Constructor
- RiskClassSensitivity - Class in org.drip.simm.product
-
RiskClassSensitivity holds the Risk Class Bucket Sensitivities for a single Risk Class.
- RiskClassSensitivity(RiskMeasureSensitivity, RiskMeasureSensitivity, RiskMeasureSensitivity) - Constructor for class org.drip.simm.product.RiskClassSensitivity
-
RiskClassSensitivity Constructor
- RiskClassSensitivityCR - Class in org.drip.simm.product
-
RiskClassSensitivityCR holds the Risk Class Bucket Sensitivities for a single CR Class.
- RiskClassSensitivityCR(RiskMeasureSensitivityCR, RiskMeasureSensitivityCR, RiskMeasureSensitivityCR) - Constructor for class org.drip.simm.product.RiskClassSensitivityCR
-
RiskClassSensitivityCR Constructor
- RiskClassSensitivityIR - Class in org.drip.simm.product
-
RiskClassSensitivityIR holds the Risk Class Bucket Sensitivities for a single IR Class.
- RiskClassSensitivityIR(RiskMeasureSensitivityIR, RiskMeasureSensitivityIR, RiskMeasureSensitivityIR) - Constructor for class org.drip.simm.product.RiskClassSensitivityIR
-
RiskClassSensitivityIR Constructor
- RiskClassSensitivitySettings - Class in org.drip.simm.parameters
-
RiskClassSensitivitySettings holds the Settings that govern the Generation of the ISDA SIMM Bucket
Sensitivities across Individual Risk Class Buckets.
- RiskClassSensitivitySettings(RiskMeasureSensitivitySettings, RiskMeasureSensitivitySettings, RiskMeasureSensitivitySettings) - Constructor for class org.drip.simm.parameters.RiskClassSensitivitySettings
-
RiskClassSensitivitySettings Constructor
- RiskClassSensitivitySettingsCR - Class in org.drip.simm.parameters
-
RiskClassSensitivitySettingsCR holds the Settings that govern the Generation of the ISDA SIMM Bucket
Sensitivities across Individual CR Risk Class Buckets.
- RiskClassSensitivitySettingsCR(RiskMeasureSensitivitySettingsCR, RiskMeasureSensitivitySettingsCR, RiskMeasureSensitivitySettingsCR) - Constructor for class org.drip.simm.parameters.RiskClassSensitivitySettingsCR
-
RiskClassSensitivitySettingsCR Constructor
- RiskClassSensitivitySettingsIR - Class in org.drip.simm.parameters
-
RiskClassSensitivitySettingsIR holds the Settings that govern the Generation of the ISDA SIMM Bucket
Sensitivities across Individual IR Risk Class Buckets.
- RiskClassSensitivitySettingsIR(RiskMeasureSensitivitySettingsIR, RiskMeasureSensitivitySettingsIR, RiskMeasureSensitivitySettingsIR) - Constructor for class org.drip.simm.parameters.RiskClassSensitivitySettingsIR
-
RiskClassSensitivitySettingsIR Constructor
- riskFactorAggregate() - Method in class org.drip.simm.margin.BucketAggregateCR
-
Retrieve the CR Risk Factor Aggregate
- riskFactorAggregate() - Method in class org.drip.simm.margin.BucketAggregateIR
-
Retrieve the IR Risk Factor Aggregate
- RiskFactorAggregate - Class in org.drip.simm.margin
-
RiskFactorAggregate holds the Weighted and Normalized Bucket Risk Factor Sensitivity along with the
Normalization Factors.
- RiskFactorAggregate(double, double) - Constructor for class org.drip.simm.margin.RiskFactorAggregate
-
RiskFactorAggregate Constructor
- RiskFactorAggregateCR - Class in org.drip.simm.margin
-
RiskFactorAggregateCR holds the Sensitivity Margin Aggregates for each of the CR Risk Factors - both
Qualifying and Non-qualifying.
- RiskFactorAggregateCR(Map<String, Map<String, Double>>, double) - Constructor for class org.drip.simm.margin.RiskFactorAggregateCR
-
RiskFactorAggregateCR Constructor
- RiskFactorAggregateIR - Class in org.drip.simm.margin
-
RiskFactorAggregateIR holds the Sensitivity Margin Aggregates for each of the IR Risk Factors - OIS, LIBOR
1M, LIBOR 3M, LIBOR 6M LIBOR 12M, PRIME, and MUNICIPAL.
- RiskFactorAggregateIR(Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, double) - Constructor for class org.drip.simm.margin.RiskFactorAggregateIR
-
RiskFactorAggregateIR Constructor
- riskFactorAggregateMap() - Method in class org.drip.simm.margin.BucketAggregate
-
Retrieve the Risk Factor Aggregate Map
- riskFactorSensitivityMap() - Method in class org.drip.simm.product.BucketSensitivity
-
Retrieve the Map of Risk Factor Sensitivities
- RiskFactorTenorSensitivity - Class in org.drip.simm.product
-
RiskFactorTenorSensitivity holds the ISDA SIMM 2.0 Risk Factor Tenor Bucket Sensitivities.
- RiskFactorTenorSensitivity(Map<String, Double>) - Constructor for class org.drip.simm.product.RiskFactorTenorSensitivity
-
RiskFactorTenorSensitivity Constructor
- RiskFactorThresholdContainer - Class in org.drip.simm.common
-
RiskFactorThresholdContainer holds the ISDA SIMM 2.0 Risk Factor Thresholds - the Concentration Limits for
Interest Rate, Credit Spread, Equity, Commodity, and FX Risk Factors.
- RiskFactorThresholdContainer() - Constructor for class org.drip.simm.common.RiskFactorThresholdContainer
-
- riskFreeRate() - Method in class org.drip.function.rdtor1.RiskObjectiveUtilityMultivariate
-
Retrieve the Risk Free Rate
- riskFreeRate() - Method in class org.drip.portfolioconstruction.bayesian.PriorControlSpecification
-
Retrieve the Risk Free Rate
- riskFreeRate() - Method in class org.drip.portfolioconstruction.mpt.CapitalAllocationLine
-
Retrieve the Risk-Free Rate
- riskFreeRate() - Method in class org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
-
Retrieve the Risk Free Rate
- RiskGroupPrincipalCovariance - Class in org.drip.simm.foundation
-
RiskGroupPrincipalCovariance contains the Cross Risk-Group Principal Component Based Co-variance.
- RiskGroupPrincipalCovariance(EigenComponent, double) - Constructor for class org.drip.simm.foundation.RiskGroupPrincipalCovariance
-
RiskGroupPrincipalCovariance Constructor
- RiskMeasureAggregate - Class in org.drip.simm.margin
-
RiskMeasureAggregate holds the Bucket Aggregate and the Computed SIMM Margin for a single Risk Measure.
- RiskMeasureAggregate(Map<String, BucketAggregate>, double, double) - Constructor for class org.drip.simm.margin.RiskMeasureAggregate
-
RiskMeasureAggregate Constructor
- RiskMeasureAggregateCR - Class in org.drip.simm.margin
-
RiskMeasureAggregateCR holds the CR Bucket Aggregate and the Computed SIMM Margin for a single Risk
Measure.
- RiskMeasureAggregateCR(Map<String, BucketAggregateCR>, double, double) - Constructor for class org.drip.simm.margin.RiskMeasureAggregateCR
-
RiskMeasureAggregateCR Constructor
- RiskMeasureAggregateIR - Class in org.drip.simm.margin
-
RiskMeasureAggregateIR holds the Bucket Aggregate and the Computed SIMM Margin for the IR Risk Measure.
- RiskMeasureAggregateIR(Map<String, BucketAggregateIR>, double, double) - Constructor for class org.drip.simm.margin.RiskMeasureAggregateIR
-
RiskMeasureAggregateIR Constructor
- RiskMeasureSensitivity - Class in org.drip.simm.product
-
RiskMeasureSensitivity holds the Risk Class Bucket Sensitivities for a single Risk Measure.
- RiskMeasureSensitivity(Map<String, BucketSensitivity>) - Constructor for class org.drip.simm.product.RiskMeasureSensitivity
-
RiskMeasureSensitivity Constructor
- RiskMeasureSensitivityCR - Class in org.drip.simm.product
-
RiskMeasureSensitivityCR holds the Risk Class Bucket Sensitivities for the CR Risk Measure.
- RiskMeasureSensitivityCR(Map<String, BucketSensitivityCR>) - Constructor for class org.drip.simm.product.RiskMeasureSensitivityCR
-
RiskMeasureSensitivityCR Constructor
- RiskMeasureSensitivityIR - Class in org.drip.simm.product
-
RiskMeasureSensitivityIR holds the Risk Class Bucket Sensitivities for the IR Risk Measure.
- RiskMeasureSensitivityIR(Map<String, BucketSensitivityIR>) - Constructor for class org.drip.simm.product.RiskMeasureSensitivityIR
-
RiskMeasureSensitivityIR Constructor
- RiskMeasureSensitivitySettings - Class in org.drip.simm.parameters
-
RiskMeasureSensitivitySettings holds the Settings that govern the Generation of the ISDA SIMM Bucket
Sensitivities across Individual Risk Measure Buckets.
- RiskMeasureSensitivitySettings(Map<String, BucketSensitivitySettings>, LabelCorrelation) - Constructor for class org.drip.simm.parameters.RiskMeasureSensitivitySettings
-
RiskMeasureSensitivitySettings Constructor
- RiskMeasureSensitivitySettingsCR - Class in org.drip.simm.parameters
-
RiskMeasureSensitivitySettingsCR holds the Settings that govern the Generation of the ISDA SIMM Bucket
Sensitivities across Individual CR Class Risk Measure Buckets.
- RiskMeasureSensitivitySettingsCR(Map<String, BucketSensitivitySettingsCR>, LabelCorrelation) - Constructor for class org.drip.simm.parameters.RiskMeasureSensitivitySettingsCR
-
RiskMeasureSensitivitySettingsCR Constructor
- RiskMeasureSensitivitySettingsIR - Class in org.drip.simm.parameters
-
RiskMeasureSensitivitySettingsIR holds the Settings that govern the Generation of the ISDA SIMM Bucket
Sensitivities across Individual IR Class Risk Measure Buckets.
- RiskMeasureSensitivitySettingsIR(Map<String, BucketSensitivitySettingsIR>, LabelCorrelation) - Constructor for class org.drip.simm.parameters.RiskMeasureSensitivitySettingsIR
-
RiskMeasureSensitivitySettingsIR Constructor
- riskModel() - Method in class org.drip.portfolioconstruction.core.Account
-
Retrieve the Risk Model
- riskObjectiveUtility(String[], AssetUniverseStatisticalProperties) - Method in class org.drip.portfolioconstruction.allocator.CustomRiskUtilitySettings
-
Retrieve the Custom Risk Objective Utility Multivariate
- RiskObjectiveUtilityMultivariate - Class in org.drip.function.rdtor1
-
RiskObjectiveUtilityMultivariate implements the Risk Objective R^d To R^1 Multivariate Function used in
Portfolio Allocation.
- RiskObjectiveUtilityMultivariate(double[][], double[], double, double, double) - Constructor for class org.drip.function.rdtor1.RiskObjectiveUtilityMultivariate
-
RiskObjectiveUtilityMultivariate Constructor
- RiskTerm - Class in org.drip.portfolioconstruction.objective
-
RiskTerm holds the Details of the Portfolio Risk Objective Term.
- RiskTerm(String, String, String, double[], double[][], double[]) - Constructor for class org.drip.portfolioconstruction.objective.RiskTerm
-
- riskTolerance() - Method in class org.drip.function.rdtor1.RiskObjectiveUtilityMultivariate
-
Retrieve the Risk Tolerance Factor
- riskTolerance() - Method in class org.drip.portfolioconstruction.allocator.CustomRiskUtilitySettings
-
Retrieve the Risk Tolerance Factor
- RiskTolerant(double) - Static method in class org.drip.portfolioconstruction.allocator.CustomRiskUtilitySettings
-
The Risk Tolerant Variance Minimizer CustomRiskUtilitySettings Instance
- RiskTolerantVarianceMinimizer - Class in org.drip.sample.assetallocation
-
RiskTolerantVarianceMinimizer demonstrates the Construction of an Optimal Portfolio using the Variance
Minimization with a Fully Invested Constraint on a Risk Tolerance Objective Function.
- RiskTolerantVarianceMinimizer() - Constructor for class org.drip.sample.assetallocation.RiskTolerantVarianceMinimizer
-
- RiskUtilitySettingsEstimator - Class in org.drip.portfolioconstruction.allocator
-
RiskUtilitySettingsEstimator contains Utility Functions that help estimate the CustomRiskUtilitySettings
Inputs Parameters.
- RiskUtilitySettingsEstimator() - Constructor for class org.drip.portfolioconstruction.allocator.RiskUtilitySettingsEstimator
-
- riskWeight() - Method in class org.drip.simm.credit.CRBucket
-
Retrieve the Risk Weight
- riskWeight() - Method in class org.drip.simm.parameters.BucketCurvatureSettings
-
- riskWeight() - Method in class org.drip.simm.parameters.BucketSensitivitySettings
-
Retrieve the Bucket Risk Factor Weight
- riskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettings
-
- RiskWeight(String) - Static method in class org.drip.simm.rates.IRSettingsContainer20
-
Retrieve the IR Risk Weight for the specified Currency
- RiskWeight(String, String) - Static method in class org.drip.simm.rates.IRSettingsContainer20
-
Retrieve the IR Risk Weight for the specified Currency
- RiskWeight() - Static method in class org.drip.simm.rates.IRSettingsContainer20
-
Retrieve the Interest Rate Risk Weight Term Structure based on the Volatility Type
- RiskWeight(String) - Static method in class org.drip.simm.rates.IRSettingsContainer21
-
Retrieve the IR Risk Weight for the specified Currency
- RiskWeight(String, String) - Static method in class org.drip.simm.rates.IRSettingsContainer21
-
Retrieve the IR Risk Weight for the specified Currency
- RiskWeight() - Static method in class org.drip.simm.rates.IRSettingsContainer21
-
Retrieve the Interest Rate Risk Weight Term Structure based on the Volatility Type
- Rizhao - Class in org.drip.sample.bondeos
-
Rizhao demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Rizhao.
- Rizhao() - Constructor for class org.drip.sample.bondeos.Rizhao
-
- rkhsFeatureMap() - Method in class org.drip.learning.kernel.IntegralOperatorEigenComponent
-
Retrieve the Feature Map Space represented via the Reproducing Kernel Hilbert Space
- rkhsFeatureParallelepipedLength() - Method in class org.drip.learning.kernel.IntegralOperatorEigenComponent
-
Retrieve the RKHS Feature Map Parallelepiped Agnostic Upper Bound Length
- RMBS_CMBS - Static variable in class org.drip.simm.credit.SectorSystemics
-
The RMBS/CMBS Sector
- RobustErrorTerm - Class in org.drip.portfolioconstruction.objective
-
RobustErrorTerm optimizes the Error in the Target Expected Absolute Return of the Portfolio on the
Absence of Benchmark, and the Error in the Benchmark-Adjusted Returns Otherwise.
- RobustErrorTerm(String, double[], double[], double[][], double[][], double[]) - Constructor for class org.drip.portfolioconstruction.objective.RobustErrorTerm
-
RobustErrorTerm Constructor
- Rohtak - Class in org.drip.sample.securitysuite
-
Rohtak generates the Full Suite of Replication Metrics for Bond Rohtak.
- Rohtak() - Constructor for class org.drip.sample.securitysuite.Rohtak
-
- roll(int) - Method in class org.drip.analytics.daycount.DateAdjustParams
-
Roll the given Date
- RollDate(int, int, String, int) - Static method in class org.drip.analytics.daycount.Convention
-
Roll the given Date in accordance with the Roll Mode and the Calendar Set
- rollDown() - Method in class org.drip.historical.attribution.PositionManifestMeasureSnap
-
Retrieve the Manifest Measure Roll Down
- rollDownFairPremium() - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Retrieve the Roll Down Fair Premium
- rollDownMarketParameters() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
-
Retrieve the Map of the Roll Down Market Parameters
- rollDownMeasureMap() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
-
Generate the Map of the Roll Down Market Quote Metrics
- rollDownMeasureMap() - Method in class org.drip.historical.engine.TreasuryBondExplainProcessor
-
- RollerCoasterSwap - Class in org.drip.sample.fixfloat
-
RollerCoasterSwap demonstrates the construction and Valuation of In-Advance Roller-Coaster Swap.
- RollerCoasterSwap() - Constructor for class org.drip.sample.fixfloat.RollerCoasterSwap
-
- rollHoliday(int, boolean, Weekend) - Static method in class org.drip.analytics.eventday.Base
-
Roll the date to a non-holiday according to the rule specified
- rollingHorizon(MarketState[]) - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
-
Generate the Continuous Coordinated Variation Rolling Horizon Trajectory
- RollingHorizonOptimalHoldings - Class in org.drip.sample.almgren2012
-
RollingHorizonOptimalHoldings simulates the Holdings from the Sample Realization of the Adaptive Cost
Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution
Dynamics.
- RollingHorizonOptimalHoldings() - Constructor for class org.drip.sample.almgren2012.RollingHorizonOptimalHoldings
-
- RollingHorizonOptimalTradeRate - Class in org.drip.sample.almgren2012
-
RollingHorizonOptimalTradeRate simulates the Trade Rate from the Sample Realization of the Adaptive Cost
Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution
Dynamics.
- RollingHorizonOptimalTradeRate() - Constructor for class org.drip.sample.almgren2012.RollingHorizonOptimalTradeRate
-
- rollMode() - Method in class org.drip.analytics.daycount.DateAdjustParams
-
Retrieve the Roll Mode
- RotationCountPhaseTracker - Class in org.drip.quant.fourier
-
RotationCountPhaseTracker implements the standard technique to preserve the trajectory along the principal
branch in multi-valued complex operations.
- RotationCountPhaseTracker() - Constructor for class org.drip.quant.fourier.RotationCountPhaseTracker
-
Empty RotationCountPhaseTracker constructor - Initialize to "NO ROTATION COUNT"
- Rourkela - Class in org.drip.sample.bondmetrics
-
Rourkela demonstrates the Analytics Calculation/Reconciliation for the Bond Rourkela.
- Rourkela() - Constructor for class org.drip.sample.bondmetrics.Rourkela
-
- rsg() - Method in class org.drip.dynamics.hjm.G2PlusPlus
-
Retrieve the Random Sequence Generator Array
- rsg() - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
-
Retrieve the Random Sequence Generator
- RUBHoliday - Class in org.drip.analytics.holset
-
- RUBHoliday() - Constructor for class org.drip.analytics.holset.RUBHoliday
-
- Rugao - Class in org.drip.sample.bondeos
-
Rugao demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Rugao.
- Rugao() - Constructor for class org.drip.sample.bondeos.Rugao
-
- RURHoliday - Class in org.drip.analytics.holset
-
- RURHoliday() - Constructor for class org.drip.analytics.holset.RURHoliday
-
- RX1 - Class in org.drip.sample.treasuryfuturesapi
-
RX1 demonstrates the Invocation and Examination of the RX1 10Y DBR BUND Treasury Futures.
- RX1() - Constructor for class org.drip.sample.treasuryfuturesapi.RX1
-
- RX1Attribution - Class in org.drip.sample.treasuryfuturespnl
-
RX1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
RX1 Series.
- RX1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.RX1Attribution
-
- RX1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
-
RX1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated RX1 Closes Feed.
- RX1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.RX1ClosesReconstitutor
-
- RX1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
-
RX1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the RX1 Treasury Futures.
- RX1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.RX1KeyRateDuration
-
- s_astrDepositTenor - Static variable in class org.drip.feed.transformer.FundingFixFloatMarksReconstitutor
-
The Standard Deposit Maturity Tenors
- s_astrFixFloatTenor - Static variable in class org.drip.feed.transformer.FundingFixFloatMarksReconstitutor
-
The Standard Fix Float Maturity Tenors
- s_astrMaturityTenor - Static variable in class org.drip.feed.transformer.OvernightIndexMarksReconstitutor
-
The Standard Overnight Swap Maturity Tenors
- s_astrOutputBenchmarkTenor - Static variable in class org.drip.feed.transformer.GovvieTreasuryMarksReconstitutor
-
The Standard Treasury Market Yield Re-constitution Benchmark Tenors
- s_bPostBoundBlog - Static variable in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
-
Flag Indicating whether the Variate Contents are to be Logged "After" Bounding
- s_bPreBoundBlog - Static variable in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
-
Flag Indicating whether the Variate Contents are to be Logged "Before" Bounding
- s_bVerifierIncrementBlog - Static variable in class org.drip.function.rdtor1solver.FixedRdFinder
-
Flag Indicating whether the Verifier Increment Metrics are to be Traced
- s_dblScaler - Static variable in class org.drip.feed.transformer.FundingFixFloatMarksReconstitutor
-
The Standard Funding Input Calibration Manifest Measure Scaler
- s_dblScaler - Static variable in class org.drip.feed.transformer.GovvieTreasuryMarksReconstitutor
-
The Standard Treasury Input Calibration Manifest Measure Scaler
- s_dblScaler - Static variable in class org.drip.feed.transformer.OvernightIndexMarksReconstitutor
-
The Standard Overnight Input Calibration Manifest Measure Scaler
- S_END - Static variable in class org.drip.json.parser.JSONParser
-
- S_IN_ARRAY - Static variable in class org.drip.json.parser.JSONParser
-
- S_IN_ERROR - Static variable in class org.drip.json.parser.JSONParser
-
- S_IN_FINISHED_VALUE - Static variable in class org.drip.json.parser.JSONParser
-
- S_IN_OBJECT - Static variable in class org.drip.json.parser.JSONParser
-
- S_IN_PAIR_VALUE - Static variable in class org.drip.json.parser.JSONParser
-
- S_INIT - Static variable in class org.drip.json.parser.JSONParser
-
- S_PASSED_PAIR_KEY - Static variable in class org.drip.json.parser.JSONParser
-
- s_strCalibrationMeasure - Static variable in class org.drip.feed.transformer.GovvieTreasuryMarksReconstitutor
-
The Standard Treasury Input Calibration Manifest Measure
- SABRLIBORCapVolatility - Class in org.drip.function.r1tor1
-
SABRLIBORCapVolatility implements the Deterministic, Non-local Cap Volatility Scheme detailed in:
- Rebonato, R., K.
- SABRLIBORCapVolatility(double, double, double, double, double) - Constructor for class org.drip.function.r1tor1.SABRLIBORCapVolatility
-
SABRLIBORCapVolatility Constructor
- Saharanpur - Class in org.drip.sample.bondsink
-
Saharanpur generates the Full Suite of Replication Metrics for the Sinker Bond Saharanpur.
- Saharanpur() - Constructor for class org.drip.sample.bondsink.Saharanpur
-
- Salem - Class in org.drip.sample.bondsink
-
Salem generates the Full Suite of Replication Metrics for the Sinker Bond Salem.
- Salem() - Constructor for class org.drip.sample.bondsink.Salem
-
- Sambalpur - Class in org.drip.sample.loan
-
Sambalpur demonstrates the Analytics Calculation/Reconciliation for the Loan Sambalpur.
- Sambalpur() - Constructor for class org.drip.sample.loan.Sambalpur
-
- SAME_ISSUER_SENIORITY_NON_RESIDUAL - Static variable in class org.drip.simm.credit.CRQBucketCorrelation20
-
Correlation between Sensitivities having Same Issuer/Seniority falling under the Same Regular Bucket
- SAME_ISSUER_SENIORITY_NON_RESIDUAL - Static variable in class org.drip.simm.credit.CRQBucketCorrelation21
-
Correlation between Sensitivities having Same Issuer/Seniority falling under the Same Regular Bucket
- SAME_ISSUER_SENIORITY_RESIDUAL - Static variable in class org.drip.simm.credit.CRQBucketCorrelation20
-
Correlation between Sensitivities having Same Issuer/Seniority falling under the Same Residual Bucket
- SAME_ISSUER_SENIORITY_RESIDUAL - Static variable in class org.drip.simm.credit.CRQBucketCorrelation21
-
Correlation between Sensitivities having Same Issuer/Seniority falling under the Same Residual Bucket
- SameSign(double[]) - Static method in class org.drip.quant.common.NumberUtil
-
Check if the specified array contains elements all of the same sign
- sampleCoefficient() - Method in class org.drip.learning.bound.CoveringNumberLossBound
-
Retrieve the Sample Coefficient Function
- sampleCoveringNumber(GeneralizedValidatedVector, double) - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
-
Estimate for the Scale-Sensitive Sample Covering Number for the specified Cover Size
- sampleCoveringNumber(GeneralizedValidatedVector, double[]) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
Estimate for the Scale-Sensitive Sample Covering Number Array for the specified Cover Size
- sampleCoveringNumber(GeneralizedValidatedVector, double) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
Estimate for the Scale-Sensitive Sample Covering Number Array for the specified Cover Size
- sampleCoveringNumber(GeneralizedValidatedVector, double) - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
-
Retrieve the Sample Covering Number
- sampleCoveringNumber(GeneralizedValidatedVector, double) - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
-
Retrieve the Sample Covering Number Array
- sampleMetricCoveringBounds(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
-
Compute the Maurey Covering Number Upper Bounds for Operator Sample Metric Norm
- sampleMetricEntropyNorm(GeneralizedValidatedVector, GeneralizedValidatedVector, int, boolean) - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
-
Compute the Sample Metric Carl-Stephani Entropy Number Upper Bound using either the Metric/Supremum
Population Norm
- sampleMetricEntropyNumber(GeneralizedValidatedVector, GeneralizedValidatedVector, int, int) - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
-
Compute the Upper Bound for the Entropy Number of the Operator Sample Metric Covering Number
Convolution Product across both the Function Classes
- sampleMetricNorm(double) - Method in class org.drip.spaces.metric.R1Combinatorial
-
- sampleMetricNorm(double) - Method in class org.drip.spaces.metric.R1Continuous
-
- sampleMetricNorm(double) - Method in interface org.drip.spaces.metric.R1Normed
-
Compute the Metric Norm of the Sample
- sampleMetricNorm(double[]) - Method in class org.drip.spaces.metric.RdCombinatorialBanach
-
- sampleMetricNorm(double[]) - Method in class org.drip.spaces.metric.RdCombinatorialHilbert
-
- sampleMetricNorm(double[]) - Method in class org.drip.spaces.metric.RdContinuousBanach
-
- sampleMetricNorm(double[]) - Method in class org.drip.spaces.metric.RdContinuousHilbert
-
- sampleMetricNorm(double[]) - Method in interface org.drip.spaces.metric.RdNormed
-
Compute the Metric Norm of the Sample
- sampleMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.rxtor1.NormedR1ToNormedR1
-
- sampleMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.rxtor1.NormedRdToNormedR1
-
- sampleMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
-
Retrieve the Sample Metric Norm
- sampleMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.rxtord.NormedR1ToNormedRd
-
- sampleMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.rxtord.NormedRdToNormedRd
-
- sampleMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
-
Retrieve the Sample Metric Norm Array
- sampleRdMetricNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
Compute the Sample R^d Metric Norm
- sampleRdSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
Compute the Sample R^d Supremum Norm
- sampleSize() - Method in class org.drip.sequence.custom.KernelDensityEstimationL1
-
Retrieve the Sample Size
- sampleSize() - Method in class org.drip.spaces.cover.ScaleSensitiveCoveringBounds
-
Retrieve the Sample Size
- sampleSize() - Method in interface org.drip.spaces.instance.GeneralizedValidatedVector
-
Retrieve the Sample Size
- sampleSize() - Method in class org.drip.spaces.instance.ValidatedR1
-
- sampleSize() - Method in class org.drip.spaces.instance.ValidatedRd
-
- sampleSizeLowerBound(double) - Method in class org.drip.spaces.cover.ScaleSensitiveCoveringBounds
-
Compute the Minimum Sample Size required to Estimate the Cardinality corresponding to the Specified
Cover
- sampleSupremumCoveringBounds(GeneralizedValidatedVector) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
-
Compute the Maurey Covering Number Upper Bounds for Operator Sample Supremum Norm
- sampleSupremumCoveringNumber(GeneralizedValidatedVector, double) - Method in class org.drip.spaces.functionclass.NormedRxToNormedR1Finite
-
Estimate for the Scale-Sensitive Sample Supremum Covering Number for the specified Cover Size
- sampleSupremumCoveringNumber(GeneralizedValidatedVector, double[]) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
Estimate for the Scale-Sensitive Sample Supremum Covering Number for the specified Cover Size
- sampleSupremumCoveringNumber(GeneralizedValidatedVector, double) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRdFinite
-
Estimate for the Scale-Sensitive Sample Supremum Covering Number for the specified Cover Size
- sampleSupremumCoveringNumber(GeneralizedValidatedVector, double) - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
-
Retrieve the Sample Supremum Covering Number
- sampleSupremumCoveringNumber(GeneralizedValidatedVector, double) - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
-
Retrieve the Sample Supremum Covering Number Array
- sampleSupremumEntropyNorm(GeneralizedValidatedVector, GeneralizedValidatedVector, int, boolean) - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
-
Compute the Sample Supremum Carl-Stephani Entropy Number Upper Bound using either the Metric/Supremum
Population Norm
- sampleSupremumEntropyNumber(GeneralizedValidatedVector, GeneralizedValidatedVector, int, int) - Method in class org.drip.spaces.cover.CarlStephaniProductBounds
-
Compute the Upper Bound for the Entropy Number of the Operator Sample Supremum Covering Number
Convolution Product across both the Function Classes
- sampleSupremumNorm(double[]) - Method in class org.drip.spaces.metric.RdCombinatorialBanach
-
- sampleSupremumNorm(double[]) - Method in class org.drip.spaces.metric.RdContinuousBanach
-
- sampleSupremumNorm(double[]) - Method in interface org.drip.spaces.metric.RdNormed
-
Compute the Supremum Norm of the Sample
- sampleSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.rxtor1.NormedR1ToNormedR1
-
- sampleSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.rxtor1.NormedRdToNormedR1
-
- sampleSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.rxtor1.NormedRxToNormedR1
-
Retrieve the Sample Supremum Norm
- sampleSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.rxtord.NormedR1ToNormedRd
-
- sampleSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.rxtord.NormedRdToNormedRd
-
- sampleSupremumNorm(GeneralizedValidatedVector) - Method in class org.drip.spaces.rxtord.NormedRxToNormedRd
-
Retrieve the Sample Supremum Norm Array
- SangliMirajKhupwad - Class in org.drip.sample.bondmetrics
-
SangliMirajKhupwad demonstrates the Analytics Calculation/Reconciliation for the Bond SangliMirajKhupwad.
- SangliMirajKhupwad() - Constructor for class org.drip.sample.bondmetrics.SangliMirajKhupwad
-
- SARHoliday - Class in org.drip.analytics.holset
-
- SARHoliday() - Constructor for class org.drip.analytics.holset.SARHoliday
-
- Satara - Class in org.drip.sample.loan
-
Satara demonstrates the Analytics Calculation/Reconciliation for the Loan Satara.
- Satara() - Constructor for class org.drip.sample.loan.Satara
-
- SATURDAY - Static variable in class org.drip.analytics.date.DateUtil
-
Days of the week - Saturday
- sba() - Method in class org.drip.simm.margin.RiskMeasureAggregate
-
Retrieve the SBA Based Margin
- sba() - Method in class org.drip.simm.margin.RiskMeasureAggregateCR
-
Retrieve the SBA Based Margin
- sba() - Method in class org.drip.simm.margin.RiskMeasureAggregateIR
-
Retrieve the Total SBA Margin
- scale(double) - Method in class org.drip.quant.calculus.WengertJacobian
-
Scale the partial entries
- Scale(ComplexNumber, double) - Static method in class org.drip.quant.fourier.ComplexNumber
-
Scale the Complex Number with the factor
- Scale1D(double[], double) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Scale the Entries of the Input Vector by the Factor
- Scale2D(double[][], double) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Scale the Entries of the Input Matrix by the Factor
- scaledCoveringNumberBounds(DiagonalScalingOperator) - Method in class org.drip.learning.kernel.IntegralOperatorEigenContainer
-
Generate the Operator Class Covering Number Bounds of the RKHS Feature Space Bounds that result on the
Application of the Diagonal Scaling Operator
- scaledNonDimensionalTradeRate() - Method in class org.drip.execution.adaptive.CoordinatedVariationDynamic
-
Retrieve the Array of the Scaled Non Dimensional Trade Rate
- scaledPrincipalEigenvector() - Method in class org.drip.simm.foundation.RiskGroupPrincipalCovariance
-
Retrieve the Scaled Principal Eigen-vector
- scaler() - Method in class org.drip.learning.kernel.DiagonalScalingOperator
-
Retrieve the Diagonal Scaling Multiplier Array
- ScaleSensitiveCoveringBounds - Class in org.drip.spaces.cover
-
ScaleSensitiveCoveringBounds implements the Lower/Upper Bounds for the General Class of Functions in terms
of their scale-sensitive dimensions (i.e., the fat shattering coefficients).
- ScaleSensitiveCoveringBounds(R1ToR1, int) - Constructor for class org.drip.spaces.cover.ScaleSensitiveCoveringBounds
-
ScaleSensitiveCoveringBounds Constructor
- scaleSensitiveCoveringBounds(GeneralizedValidatedVector, R1ToR1) - Method in class org.drip.spaces.functionclass.NormedRxToNormedRxFinite
-
Retrieve the Scale-Sensitive Covering Number Upper/Lower Bounds given the Specified Sample for the
Function Class
- ScaleSensitiveFunction - Class in org.drip.sample.coveringnumber
-
ScaleSensitiveFunction demonstrates Computation of the Restricted Covers, Restricted Probability Bounds,
the Lower Bounds, and the Upper Bounds for Functions that are absolutely Bounded.
- ScaleSensitiveFunction() - Constructor for class org.drip.sample.coveringnumber.ScaleSensitiveFunction
-
- scalingNumeraire(String) - Method in class org.drip.exposure.evolver.DynamicsContainer
-
Retrieve the Scaling Numeraire
- ScalingNumeraire - Class in org.drip.exposure.evolver
-
ScalingNumeraire holds Parameters that guide the Diffusion of a Scaling Numeraire.
- ScalingNumeraire(DiffusionEvolver) - Constructor for class org.drip.exposure.evolver.ScalingNumeraire
-
ScalingNumeraire Constructor
- scalingNumeraireExists(String) - Method in class org.drip.exposure.evolver.DynamicsContainer
-
Indicate if the Scaling Numeraire Exists
- scalingNumeraireMap() - Method in class org.drip.exposure.evolver.DynamicsContainer
-
Retrieve the Scaling Numeraire Evolver Dynamics Settings Map
- scbcContinuousForwardIncrement() - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
-
Retrieve the Instantaneous Continuously Compounded Forward Rate Increment Segment Custom Builder
Control Instance
- scbcDiscountFactor() - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
-
Retrieve the Discount Factor Segment Custom Builder Control Instance
- scbcDiscountFactorIncrement() - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
-
Retrieve the Discount Factor Increment Segment Custom Builder Control Instance
- scbcInstantaneousEffectiveForward() - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
-
Retrieve the Instantaneous Effective Annual Forward Rate Increment Segment Custom Builder Control
Instance
- scbcInstantaneousNominalForward() - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
-
Retrieve the Instantaneous Nominal Annual Forward Rate Increment Segment Custom Builder Control
Instance
- scbcLIBOR() - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
-
Retrieve the LIBOR Curve Segment Custom Builder Control Instance
- scbcLIBORIncrement() - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
-
Retrieve the LIBOR Increment Segment Custom Builder Control Instance
- scbcSpotRateIncrement() - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
-
Retrieve the Spot Rate Increment Segment Custom Builder Control Instance
- sccq() - Method in class org.drip.optimization.constrained.RegularityConditions
-
Retrieve the SCCQ Constraint Qualifier
- ScenarioBasisCurveBuilder - Class in org.drip.state.creator
-
ScenarioBasisCurveBuilder implements the construction of the scenario basis curve using the input
instruments and their quotes.
- ScenarioBasisCurveBuilder() - Constructor for class org.drip.state.creator.ScenarioBasisCurveBuilder
-
- ScenarioCreditCurveBuilder - Class in org.drip.state.creator
-
ScenarioCreditCurveBuilder implements the construction of the custom Scenario based credit curves.
- ScenarioCreditCurveBuilder() - Constructor for class org.drip.state.creator.ScenarioCreditCurveBuilder
-
- scenarioCreditCurveMap() - Method in class org.drip.param.definition.ScenarioMarketParams
-
Retrieve the Map of ScenarioCreditCurve Instances
- scenarioCreditCurveMap() - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- ScenarioDeterministicVolatilityBuilder - Class in org.drip.state.creator
-
ScenarioDeterministicVolatilityBuilder implements the construction of the basis spline deterministic
volatility term structure using the input instruments and their quotes.
- ScenarioDeterministicVolatilityBuilder() - Constructor for class org.drip.state.creator.ScenarioDeterministicVolatilityBuilder
-
- ScenarioDiscountCurveBuilder - Class in org.drip.state.creator
-
ScenarioDiscountCurveBuilder implements the the construction of the scenario discount curve using the input
discount curve instruments, and a wide variety of custom builds.
- ScenarioDiscountCurveBuilder() - Constructor for class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
- scenarioDiscountCurveMap() - Method in class org.drip.param.definition.ScenarioMarketParams
-
Retrieve the Map of DiscountCurveScenarioContainer Instances
- scenarioDiscountCurveMap() - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- ScenarioForwardCurveBuilder - Class in org.drip.state.creator
-
ScenarioForwardCurveBuilder implements the the construction of the scenario Forward curve using the input
discount curve instruments, and a wide variety of custom builds.
- ScenarioForwardCurveBuilder() - Constructor for class org.drip.state.creator.ScenarioForwardCurveBuilder
-
- ScenarioFXCurveBuilder - Class in org.drip.state.creator
-
ScenarioFXCurveBuilder implements the construction of the scenario FX Curve using the input FX Curve
instruments.
- ScenarioFXCurveBuilder() - Constructor for class org.drip.state.creator.ScenarioFXCurveBuilder
-
- ScenarioGovvieCurveBuilder - Class in org.drip.state.creator
-
ScenarioGovvieCurveBuilder implements the Construction of the Scenario Govvie Curve using the Input Govvie
Curve Instruments.
- ScenarioGovvieCurveBuilder() - Constructor for class org.drip.state.creator.ScenarioGovvieCurveBuilder
-
- ScenarioLocalVolatilityBuilder - Class in org.drip.state.creator
-
ScenarioLocalVolatilityBuilder implements the construction of the Local Volatility surface using the input
option instruments, their Call Prices, and a wide variety of custom build schemes.
- ScenarioLocalVolatilityBuilder() - Constructor for class org.drip.state.creator.ScenarioLocalVolatilityBuilder
-
- ScenarioMarketParams - Class in org.drip.param.definition
-
ScenarioMarketParams is the place holder for the comprehensive suite of the market set of curves for the
given date.
- ScenarioMarketParams() - Constructor for class org.drip.param.definition.ScenarioMarketParams
-
- scenarioMarketParams(String) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Retrieve the Named Scenario Market Parameters
- scenarioMarketParams(Component, String) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Get the Market Parameters corresponding to the component and the scenario
- scenarioMarketParams(BasketProduct, String) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Get the Market Parameters for the given basket product and the scenario
- scenarioMarketParams(String) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- scenarioMarketParams(Component, String) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- scenarioMarketParams(BasketProduct, String) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- ScenarioMarketSurfaceBuilder - Class in org.drip.state.creator
-
ScenarioMarketSurfaceBuilder implements the construction of the scenario market Node surface using the
input option instruments, their quotes, and a wide variety of custom builds
- ScenarioMarketSurfaceBuilder() - Constructor for class org.drip.state.creator.ScenarioMarketSurfaceBuilder
-
- ScenarioRepoCurveBuilder - Class in org.drip.state.creator
-
ScenarioRepoCurveBuilder implements the Construction of the Scenario Repo Curve using the Input
Instruments and their Quotes.
- ScenarioRepoCurveBuilder() - Constructor for class org.drip.state.creator.ScenarioRepoCurveBuilder
-
- ScenarioTermStructureBuilder - Class in org.drip.state.creator
-
ScenarioTermStructureBuilder implements the construction of the basis spline term structure using the
input instruments and their quotes.
- ScenarioTermStructureBuilder() - Constructor for class org.drip.state.creator.ScenarioTermStructureBuilder
-
- scheme() - Method in class org.drip.execution.latent.OrnsteinUhlenbeckSequence
-
Retrieve the Ornstein-Uhlenbeck Generator Scheme Parameters
- scope() - Method in class org.drip.portfolioconstruction.optimizer.ConstraintTerm
-
Retrieve the Constraint Scope
- Scope - Class in org.drip.portfolioconstruction.optimizer
-
Scope holds the Applicability "Zone" for a given Constraint Term.
- Scope(int) - Constructor for class org.drip.portfolioconstruction.optimizer.Scope
-
Scope Constructor
- scopingDistribution() - Method in class org.drip.measure.bayesian.ScopingProjectionVariateDistribution
-
Retrieve the Scoping Distribution
- scopingLoading() - Method in class org.drip.measure.bayesian.ProjectionDistributionLoading
-
Retrieve the Matrix of the Scoping Loadings
- ScopingProjectionVariateDistribution - Class in org.drip.measure.bayesian
-
ScopingProjectionVariateContainer holds the Scoping Variate Distribution, the Projection Variate
Distributions, and the Projection Variate Loadings based off of the Scoping Variates.
- ScopingProjectionVariateDistribution(R1Multivariate) - Constructor for class org.drip.measure.bayesian.ScopingProjectionVariateDistribution
-
ScopingProjectionVariateDistribution Constructor
- score() - Method in class org.drip.assetbacked.borrower.OriginationFICO
-
Retrieve the Borrower's FICO Score at Origination
- SEARCH_HARD_BRACKETS - Static variable in class org.drip.function.r1tor1solver.InitializationHeuristics
-
Start search from Pre-specified Hard Search Brackets
- secondary() - Method in class org.drip.product.params.TreasuryBenchmarks
-
Return an Array of Secondary Treasury Benchmarks
- secondaryCode() - Method in class org.drip.product.credit.BondComponent
-
- secondaryCode() - Method in class org.drip.product.definition.CalibratableComponent
-
Get the component's secondary codes
- secondDate() - Method in class org.drip.historical.attribution.PositionChangeComponents
-
Retrieve the Second Date
- secondDate() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
-
Retrieve the Second Date of the Horizon Change
- secondMarketParameters() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
-
Retrieve the Second Date's Market Parameters
- sector() - Method in class org.drip.portfolioconstruction.core.Asset
-
Retrieve the Asset Sector
- sectorArray() - Method in class org.drip.simm.credit.CRBucket
-
Retrieve the SIMM 2.0 Sector Array
- sectorArray() - Method in class org.drip.simm.equity.EQBucket
-
Retrieve the Bucket Sector Array
- SectorSystemics - Class in org.drip.simm.credit
-
SectorSystemics contains the Systemic Settings that hold Sector-related Information.
- SectorSystemics() - Constructor for class org.drip.simm.credit.SectorSystemics
-
- secTreasurySpread(ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.credit.BondComponent
-
- secTreasurySpread(ValuationParams, CurveSurfaceQuoteContainer) - Method in class org.drip.product.definition.Bond
-
Retrieve the array of double for the bond's secondary treasury spreads from the Valuation
Parameters and the component market parameters
- SegmentBasisEvaluator - Class in org.drip.spline.segment
-
This Class implements the BasisEvaluator interface for the given set of the Segment Basis Evaluator
Functions.
- SegmentBasisEvaluator(FunctionSet, ResponseScalingShapeControl) - Constructor for class org.drip.spline.segment.SegmentBasisEvaluator
-
SegmentBasisEvaluator constructor
- SegmentBasisFlexureConstraint - Class in org.drip.spline.params
-
SegmentBasisFlexureConstraint holds the set of fields needed to characterize a single local linear
Constraint, expressed linearly as a combination of the local Predictor Ordinates and their corresponding
Response Basis Function Realizations.
- SegmentBasisFlexureConstraint(double[], double) - Constructor for class org.drip.spline.params.SegmentBasisFlexureConstraint
-
SegmentBasisFlexureConstraint constructor
- SegmentBasisFunction - Class in org.drip.spline.bspline
-
SegmentBasisFunction is the abstract class over which the local ordered envelope functions for the B Splines
are implemented.
- SegmentBasisFunction(int, double, double, double) - Constructor for class org.drip.spline.bspline.SegmentBasisFunction
-
- SegmentBasisFunctionGenerator - Class in org.drip.spline.bspline
-
SegmentBasisFunctionGenerator generates B Spline Functions of different order.
- SegmentBasisFunctionGenerator() - Constructor for class org.drip.spline.bspline.SegmentBasisFunctionGenerator
-
- SegmentBasisFunctionSet - Class in org.drip.spline.bspline
-
SegmentBasisFunctionSet class implements per-segment function set for B Splines and tension splines.
- SegmentBasisFunctionSet(int, double, R1ToR1[]) - Constructor for class org.drip.spline.bspline.SegmentBasisFunctionSet
-
SegmentBasisFunctionSet constructor
- SegmentBestFitResponse - Class in org.drip.spline.params
-
SegmentBestFitResponse implements basis per-segment Fitness Penalty Parameter Set.
- segmentBuilderControl() - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- segmentBuilderControl() - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Retrieve the Segment Builder Parameters
- segmentBuilderControl(String) - Method in class org.drip.state.estimator.SmoothingCurveStretchParams
-
Retrieve the Segment Builder Parameters
- SegmentCustomBuilderControl - Class in org.drip.spline.params
-
SegmentCustomBuilderControl holds the parameters the guide the creation/behavior of the segment.
- SegmentCustomBuilderControl(String, FunctionSetBuilderParams, SegmentInelasticDesignControl, ResponseScalingShapeControl, PreceedingManifestSensitivityControl) - Constructor for class org.drip.spline.params.SegmentCustomBuilderControl
-
SegmentCustomBuilderControl constructor
- segmentCustomBuilderControlArray() - Method in class org.drip.exposure.regression.LocalVolatilityGenerationControl
-
Retrieve the Custom Segment Builder Control Array
- SegmentFlexurePenaltyControl - Class in org.drip.spline.params
-
SegmentFlexurePenaltyControl implements basis per-segment Flexure Penalty Parameter Set.
- SegmentFlexurePenaltyControl(int, double) - Constructor for class org.drip.spline.params.SegmentFlexurePenaltyControl
-
SegmentFlexurePenaltyControl constructor
- SegmentInelasticDesignControl - Class in org.drip.spline.params
-
SegmentInelasticDesignControl implements basis per-segment inelastic parameter set.
- SegmentInelasticDesignControl(int, SegmentFlexurePenaltyControl, SegmentFlexurePenaltyControl) - Constructor for class org.drip.spline.params.SegmentInelasticDesignControl
-
Constructor for the Segment Inelastic Design Parameters given the desired Ck, the Segment Length and
the Roughness Penalty Order
- SegmentMonicBasisFunction - Class in org.drip.spline.bspline
-
SegmentMonicBasisFunction implements the local monic B Spline that envelopes the predictor ordinates, and
the corresponding set of ordinates/basis functions.
- SegmentMonicBasisFunction(TensionBasisHat, TensionBasisHat) - Constructor for class org.drip.spline.bspline.SegmentMonicBasisFunction
-
SegmentMonicBasisFunction constructor
- SegmentMulticBasisFunction - Class in org.drip.spline.bspline
-
SegmentMulticBasisFunction implements the local quadratic B Spline that envelopes the predictor ordinates,
and the corresponding set of ordinates/basis functions.
- SegmentMulticBasisFunction(SegmentBasisFunction, SegmentBasisFunction) - Constructor for class org.drip.spline.bspline.SegmentMulticBasisFunction
-
SegmentMulticBasisFunction constructor
- SegmentPredictorResponseDerivative - Class in org.drip.spline.params
-
SegmentPredictorResponseDerivative contains the segment local parameters used for the segment calibration.
- SegmentPredictorResponseDerivative(double, double[]) - Constructor for class org.drip.spline.params.SegmentPredictorResponseDerivative
-
SegmentPredictorResponseDerivative constructor
- SegmentResponseConstraintSet - Class in org.drip.spline.params
-
SegmentResponseConstraintSet holds the set of SegmentResponseValueConstraint (Base + One/more
Sensitivities) for the given Segment.
- SegmentResponseConstraintSet() - Constructor for class org.drip.spline.params.SegmentResponseConstraintSet
-
Empty SegmentResponseConstraintSet Constructor
- SegmentResponseValueConstraint - Class in org.drip.spline.params
-
SegmentResponseValueConstraint holds the following set of fields that characterize a single global
linear constraint between the predictor and the response variables within a single segment, expressed
linearly across the constituent nodes.
- SegmentResponseValueConstraint(double[], double[], double) - Constructor for class org.drip.spline.params.SegmentResponseValueConstraint
-
SegmentResponseValueConstraint constructor
- segments() - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- segments() - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Retrieve the Stretch Segments
- SegmentSequenceBuilder - Interface in org.drip.spline.stretch
-
SegmentSequenceBuilder is the interface that contains the stubs required for the construction of the
segment stretch.
- segmentSpec() - Method in class org.drip.state.inference.LatentStateStretchSpec
-
Retrieve the Array of the Latent State Segment Product/Manifest Measure Sequence
- SegmentStateCalibrationInputs - Class in org.drip.spline.params
-
SegmentStateCalibrationInputs implements basis per-segment Calibration Parameter Input Set.
- SegmentStateCalibrationInputs(double[], double[], double[], double[], SegmentBasisFlexureConstraint[], SegmentBestFitResponse) - Constructor for class org.drip.spline.params.SegmentStateCalibrationInputs
-
SegmentStateCalibrationInputs Constructor
- SEK - Class in org.drip.template.irs
-
SEK contains a Templated Pricing of the OTC Fix-Float SEK IRS Instrument.
- SEK() - Constructor for class org.drip.template.irs.SEK
-
- SEK3M6MUSD3M6M - Class in org.drip.sample.dual
-
SEK3M6MUSD3M6M demonstrates the setup and construction of the USD 3M Forward Curve from SEK3M6MUSD3M6M
CCBS, SEK 3M, SEK 6M, and USD 6M Quotes.
- SEK3M6MUSD3M6M() - Constructor for class org.drip.sample.dual.SEK3M6MUSD3M6M
-
- SEKHoliday - Class in org.drip.analytics.holset
-
- SEKHoliday() - Constructor for class org.drip.analytics.holset.SEKHoliday
-
- SEKIRSAttribution - Class in org.drip.sample.fixfloatpnl
-
SEKIRSAttribution generates the Historical PnL Attribution for SEK IRS.
- SEKIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.SEKIRSAttribution
-
- SEKOISSmoothReconstitutor - Class in org.drip.sample.overnightfeed
-
SEKOISSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the SEK Input OIS
Marks.
- SEKOISSmoothReconstitutor() - Constructor for class org.drip.sample.overnightfeed.SEKOISSmoothReconstitutor
-
- SEKShapePreserving1YForward - Class in org.drip.sample.fundinghistorical
-
SEKShapePreserving1YForward Generates the Historical SEK Shape Preserving Funding Curve Native 1Y
Compounded Forward Rate.
- SEKShapePreserving1YForward() - Constructor for class org.drip.sample.fundinghistorical.SEKShapePreserving1YForward
-
- SEKShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
-
SEKShapePreserving1YStart Generates the Historical SEK Shape Preserving Funding Curve Native Compounded
Forward Rate starting at 1Y Tenor.
- SEKShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.SEKShapePreserving1YStart
-
- SEKShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
-
SEKShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the
SEK Input Marks.
- SEKShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.SEKShapePreservingReconstitutor
-
- SEKSmooth1MForward - Class in org.drip.sample.overnighthistorical
-
SEKSmooth1MForward Generates the Historical SEK Smoothened Overnight Curve Native 1M Compounded Forward
Rate.
- SEKSmooth1MForward() - Constructor for class org.drip.sample.overnighthistorical.SEKSmooth1MForward
-
- SEKSmooth1YForward - Class in org.drip.sample.fundinghistorical
-
SEKSmooth1YForward Generates the Historical SEK Smoothened Funding Curve Native 1Y Compounded Forward
Rate.
- SEKSmooth1YForward() - Constructor for class org.drip.sample.fundinghistorical.SEKSmooth1YForward
-
- SEKSmoothReconstitutor - Class in org.drip.sample.fundingfeed
-
SEKSmoothReconstitutor Demonstrates the Cleansing and the Smooth Re-constitution of the SEK Input Marks.
- SEKSmoothReconstitutor() - Constructor for class org.drip.sample.fundingfeed.SEKSmoothReconstitutor
-
- SELECTION - Static variable in class org.drip.portfolioconstruction.optimizer.Scope
-
Applicable Scope Level - SELECTION
- SemiReplicationBaselProxy - Class in org.drip.sample.xvafixfloat
-
SemiReplicationBaselProxy simulates for various Latent States and Exposures for an Fix Float Swap and
computes the XVA Metrics using the Basel Proxy-Style Exposure Generator using Burgard Kjaer Semi
Replication Dual Bond Vertexes.
- SemiReplicationBaselProxy() - Constructor for class org.drip.sample.xvafixfloat.SemiReplicationBaselProxy
-
- SemiReplicationCollateralizedFunding - Class in org.drip.sample.burgard2013
-
SemiReplicationCollateralizedFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of
10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
- SemiReplicationCollateralizedFunding() - Constructor for class org.drip.sample.burgard2013.SemiReplicationCollateralizedFunding
-
- SemiReplicationCollateralizedFundingStochastic - Class in org.drip.sample.burgard2013
-
SemiReplicationCollateralizedFundingStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a
Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA
Schemes.
- SemiReplicationCollateralizedFundingStochastic() - Constructor for class org.drip.sample.burgard2013.SemiReplicationCollateralizedFundingStochastic
-
- SemiReplicationDualBond(JulianDate, double, double, double, MarketEdge, CloseOut) - Static method in class org.drip.xva.vertex.BurgardKjaerBuilder
-
Construct a Standard Instance of BurgardKjaerVertex using semi-replication with no Short-fall at own
Default using Two Bonds
- SemiReplicationUncollateralizedFunding - Class in org.drip.sample.burgard2013
-
PerfectReplicationUncollateralizedFunding examines the Basel BCBS 2012 OTC Accounting Impact to a
Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA
Schemes.
- SemiReplicationUncollateralizedFunding() - Constructor for class org.drip.sample.burgard2013.SemiReplicationUncollateralizedFunding
-
- SemiReplicationUncollateralizedFundingStochastic - Class in org.drip.sample.burgard2013
-
SemiReplicationUncollateralizedFundingStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a
Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA
Schemes.
- SemiReplicationUncollateralizedFundingStochastic() - Constructor for class org.drip.sample.burgard2013.SemiReplicationUncollateralizedFundingStochastic
-
- SemiReplicationZeroThresholdFunding - Class in org.drip.sample.burgard2013
-
SemiReplicationZeroThresholdFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of
10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
- SemiReplicationZeroThresholdFunding() - Constructor for class org.drip.sample.burgard2013.SemiReplicationZeroThresholdFunding
-
- SemiReplicationZeroThresholdFundingStochastic - Class in org.drip.sample.burgard2013
-
SemiReplicationZeroThresholdFundingStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a
Portfolio of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA
Schemes.
- SemiReplicationZeroThresholdFundingStochastic() - Constructor for class org.drip.sample.burgard2013.SemiReplicationZeroThresholdFundingStochastic
-
- Senior(double, double, double, double, double, MarketVertexEntity) - Static method in class org.drip.exposure.universe.MarketVertexEntity
-
Instance of Senior MarketVertexEntity
- Senior(double, double, double, double, double) - Static method in class org.drip.exposure.universe.MarketVertexEntity
-
Instance of Senior MarketVertexEntity
- Senior(String, String) - Static method in class org.drip.state.identifier.EntityFundingLabel
-
Make a Standard SENIOR Entity Funding Label from the Reference Entity
- Senior(String, String) - Static method in class org.drip.state.identifier.EntityRecoveryLabel
-
Make a Standard SENIOR Entity Recovery Label from the Reference Entity
- seniorFundingReplicator() - Method in class org.drip.exposure.universe.MarketVertexEntity
-
Retrieve the Realized Entity Senior Funding Replicator Vertex Latent State
- seniorFundingSpread() - Method in class org.drip.exposure.universe.MarketVertexEntity
-
Retrieve the Realized Entity Senior Funding Spread Vertex Latent State
- seniority() - Method in class org.drip.state.identifier.EntityCreditLabel
-
Retrieve the Seniority
- SENIORITY_SENIOR - Static variable in class org.drip.state.identifier.EntityCreditLabel
-
The "SENIOR" Seniority Setting
- SENIORITY_SUBORDINATE - Static variable in class org.drip.state.identifier.EntityCreditLabel
-
The "SUBORDINATE" Seniority Setting
- seniorNumeraireHoldings() - Method in class org.drip.xva.derivative.ReplicationPortfolioVertexDealer
-
Retrieve the Number of Dealer Senior Numeraire Holdings
- seniorRecoveryRate() - Method in class org.drip.exposure.universe.MarketVertexEntity
-
Retrieve the Realized Entity Senior Recovery Rate Vertex Latent State
- SeniorSubordinate(double, double, double, double, double, double, double, MarketVertexEntity) - Static method in class org.drip.exposure.universe.MarketVertexEntity
-
Instance of Senior + Subordinate MarketVertexEntity
- SeniorSubordinate(double, double, double, double, double, double, double) - Static method in class org.drip.exposure.universe.MarketVertexEntity
-
Instance of Senior + Subordinate MarketVertexEntity
- sensitivity(TrajectoryControlNodesGreek, TrajectoryControlNodesGreek) - Method in class org.drip.execution.risk.MeanVarianceObjectiveUtility
-
- sensitivity(TrajectoryControlNodesGreek, TrajectoryControlNodesGreek) - Method in interface org.drip.execution.risk.ObjectiveUtility
-
Generate the Objective Function Sensitivity given the Expectation and the Variance Control Node
Sensitivity
- sensitivity(TrajectoryControlNodesGreek, TrajectoryControlNodesGreek) - Method in class org.drip.execution.risk.PowerVarianceObjectiveUtility
-
- sensitivity() - Method in class org.drip.historical.attribution.PositionManifestMeasureSnap
-
Retrieve the Manifest Measure Sensitivity
- sensitivity(String) - Method in class org.drip.simm.product.RiskFactorTenorSensitivity
-
Retrieve the Sensitivity for the Bucket Tenor
- sensitivityAggregate() - Method in class org.drip.simm.margin.BucketAggregateCR
-
Retrieve the CR Sensitivity Aggregate
- sensitivityAggregate() - Method in class org.drip.simm.margin.BucketAggregateIR
-
Retrieve the IR Sensitivity Aggregate
- SensitivityAggregateCR - Class in org.drip.simm.margin
-
SensitivityAggregateCR holds the IM Margin Sensitivity Co-variances within a single Bucket for each of
the CR Component Risk Factors.
- SensitivityAggregateCR(Map<String, Double>, double) - Constructor for class org.drip.simm.margin.SensitivityAggregateCR
-
SensitivityAggregateCR Constructor
- SensitivityAggregateIR - Class in org.drip.simm.margin
-
SensitivityAggregateIR holds the IM Margin Sensitivity Co-variances within a single Currency for each of
the IR Risk Factors - OIS, LIBOR 1M, LIBOR 3M, LIBOR 6M LIBOR 12M, PRIME, and MUNICIPAL.
- SensitivityAggregateIR(double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double, double) - Constructor for class org.drip.simm.margin.SensitivityAggregateIR
-
SensitivityAggregateIR Constructor
- sensitivityConcentrationRiskFactor(double) - Method in class org.drip.simm.product.BucketSensitivityCR
-
Compute the Sensitivity Concentration Risk Factor
- sensitivityConcentrationRiskFactor(double) - Method in class org.drip.simm.product.BucketSensitivityIR
-
Compute the Sensitivity Concentration Risk Factor
- sensitivityKeys() - Method in class org.drip.state.estimator.PredictorResponseWeightConstraint
-
Return the Set of Available Sensitivities (if any)
- sensitivityMap() - Method in class org.drip.simm.product.RiskFactorTenorSensitivity
-
Retrieve the Map of Tenor Sensitivities
- sensitivityMargin() - Method in class org.drip.simm.margin.RiskFactorAggregate
-
Retrieve the Bucket Sensitivity Margin
- sensitivityMargin(Map<String, Double>) - Method in class org.drip.simm.product.RiskFactorTenorSensitivity
-
Generate the Tenor Sensitivity Margin Map
- sensitivityMarginVariance() - Method in class org.drip.simm.margin.BucketAggregate
-
Retrieve the Bucket's Sensitivity Margin Variance
- sensitivityMarginVariance() - Method in class org.drip.simm.margin.BucketAggregateCR
-
Retrieve the CR Bucket Sensitivity Margin Variance
- sensitivityMarginVariance() - Method in class org.drip.simm.margin.BucketAggregateIR
-
Retrieve the Bucket's Sensitivity Margin Variance
- sensitivityShiftFactor() - Method in class org.drip.xva.definition.PDEEvolutionControl
-
Retrieve the Factor needed to evaluate Sensitivity Shifts
- SeparableMultivariateRandom - Interface in org.drip.sequence.functional
-
SeparableMultivariateRandom exposes the Variance of the Objective Function dependent on Multivariate
Random Variables where the Multivariate Function is a Linear Combination of Bounded Univariate Functions
acting on each Random Variate.
- separableUnivariateRandom() - Method in class org.drip.sequence.custom.GlivenkoCantelliFunctionSupremum
-
Retrieve the Supremum Univariate Random Function
- separableUnivariateRandom() - Method in class org.drip.sequence.custom.GlivenkoCantelliUniformDeviation
-
Retrieve the Separable Bounded Idempotent Univariate Random Function
- separableVarianceUpperBound() - Method in class org.drip.sequence.functional.EfronSteinMetrics
-
Compute the Multivariate Variance Upper Bound using the Separable Variance Bound
- SEPTEMBER - Static variable in class org.drip.analytics.date.DateUtil
-
Integer Month - September
- sequence() - Method in class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Retrieve the Input Sequence
- sequence(int, R1) - Method in class org.drip.sequence.random.Bounded
-
- sequence(int, R1) - Method in class org.drip.sequence.random.BoundedUniformInteger
-
- sequence(int, R1) - Method in class org.drip.sequence.random.Poisson
-
- sequence(int) - Method in class org.drip.sequence.random.UnivariateSequenceGenerator
-
Generate a Random Sequence
- sequence(int, R1) - Method in class org.drip.sequence.random.UnivariateSequenceGenerator
-
Generate a Random Sequence along with its Metrics
- sequence(int) - Method in class org.drip.state.sequence.PathRd
-
Generate the Sequence of Path Realizations
- SequenceGenerator - Class in org.drip.measure.discrete
-
SequenceGenerator generates the specified Univariate Sequence of the Given Distribution Type.
- SequenceGenerator() - Constructor for class org.drip.measure.discrete.SequenceGenerator
-
- SequenceIndexIterator - Class in org.drip.spaces.iterator
-
SequenceIndexIterator contains the Functionality to iterate through a List of Sequence Indexes.
- SequenceIndexIterator(int[], boolean) - Constructor for class org.drip.spaces.iterator.SequenceIndexIterator
-
IndexIterator Constructor
- sequenceMetrics() - Method in class org.drip.sequence.functional.EfronSteinMetrics
-
Retrieve the Array of the Single Sequence Agnostic Metrics
- sequenceMetrics(double[], double[]) - Method in class org.drip.sequence.functional.FunctionSupremumUnivariateRandom
-
Generate the Function Metrics for the specified Variate Sequence and its corresponding Weight
- sequenceMetrics(double[]) - Method in class org.drip.sequence.functional.FunctionSupremumUnivariateRandom
-
Generate the Function Metrics for the specified Variate Sequence
- sequenceMetrics() - Method in class org.drip.sequence.functional.FunctionSupremumUnivariateRandom
-
Generate the Function Metrics using the Underlying Variate Distribution
- sequenceMetrics(double[], double[]) - Method in class org.drip.sequence.functional.IdempotentUnivariateRandom
-
Generate the Function Metrics for the specified Variate Sequence and its corresponding Weight
- sequenceMetrics(double[]) - Method in class org.drip.sequence.functional.IdempotentUnivariateRandom
-
Generate the Function Metrics for the specified Variate Sequence
- sequenceMetrics() - Method in class org.drip.sequence.functional.IdempotentUnivariateRandom
-
Generate the Function Metrics using the Underlying Variate Distribution
- serialCorrelation() - Method in class org.drip.execution.parameters.ArithmeticPriceDynamicsSettings
-
Retrieve the Asset Serial Correlation
- serialCorrelationAdjustment(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
-
Estimate the Optimal Adjustment Attributable to the Serial Correlation
- serialCorrelationAdjustment(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
-
Estimate the Optimal Adjustment Attributable to the Serial Correlation
- seriesName() - Method in class org.drip.market.otc.CreditIndexConvention
-
Retrieve the Series Name
- set(String, double) - Method in class org.drip.product.calib.ProductQuoteSet
-
Set the named Manifest Measure Quote Value
- set(String, String) - Method in class org.drip.regression.core.RegressionRunDetail
-
Set the Key Value Map Entry
- setAccrued(double) - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Set the Accrued
- setAlphaGroup(AlphaGroup) - Method in class org.drip.portfolioconstruction.core.Account
-
Set the Alpha Group
- setAlphaUncertaintyGroup(AlphaUncertaintyGroup) - Method in class org.drip.portfolioconstruction.core.Account
-
Set the Alpha Uncertainty Group
- setAnnounce(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set the Bond Announce
- setAnnounce(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Announce Date
- setASP(AssetStatisticalProperties) - Method in class org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
-
Set the ASP Instance
- setBaseMeasures(CaseInsensitiveTreeMap<Double>) - Method in class org.drip.analytics.output.ComponentMeasures
-
Set the Base Measures Map
- setBaseRate(double) - Method in class org.drip.product.calib.CompositePeriodQuoteSet
-
Set the Base Rate
- setBasis(double) - Method in class org.drip.product.calib.CompositePeriodQuoteSet
-
Set the Basis
- setBasis(double) - Method in class org.drip.product.calib.StreamQuoteSet
-
Set the Basis
- setBBGID(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Bloomberg ID
- setBBGParent(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Bloomberg Parent
- setBBGTicker(String) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Index BBG Ticker
- setBBGUniqueID(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Unique Bloomberg ID
- setC1(String, String) - Method in class org.drip.historical.attribution.PositionMarketSnap
-
Set the Custom C^1 Entry corresponding to the Specified Key
- setC1(String, String) - Method in class org.drip.historical.sensitivity.TenorDurationNodeMetrics
-
Set the Custom C^1 Entry corresponding to the Specified Key
- setCalcTime(double) - Method in class org.drip.analytics.output.ComponentMeasures
-
Set the Calculation Time
- setCalculationType(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set the Bond Calculation Type
- setCalculationType(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Calculation Type
- setCCIS(CurveConstructionInputSet) - Method in interface org.drip.analytics.definition.Curve
-
Set the Curve Construction Input Set Parameters
- setCCIS(CurveConstructionInputSet) - Method in class org.drip.analytics.definition.MarketSurface
-
- setCCIS(CurveConstructionInputSet) - Method in class org.drip.analytics.definition.NodeStructure
-
- setCCIS(CurveConstructionInputSet) - Method in class org.drip.state.basis.BasisCurve
-
- setCCIS(CurveConstructionInputSet) - Method in class org.drip.state.credit.CreditCurve
-
- setCCIS(CurveConstructionInputSet) - Method in class org.drip.state.curve.DerivedZeroRate
-
- setCCIS(CurveConstructionInputSet) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
-
- setCCIS(CurveConstructionInputSet) - Method in class org.drip.state.discount.ExplicitBootDiscountCurve
-
- setCCIS(CurveConstructionInputSet) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
- setCCIS(CurveConstructionInputSet) - Method in class org.drip.state.forward.ForwardCurve
-
- setCCIS(CurveConstructionInputSet) - Method in class org.drip.state.fx.FXCurve
-
- setCCIS(CurveConstructionInputSet) - Method in class org.drip.state.govvie.ExplicitBootGovvieCurve
-
- setCCIS(CurveConstructionInputSet) - Method in class org.drip.state.govvie.GovvieCurve
-
- setCCIS(CurveConstructionInputSet) - Method in class org.drip.state.repo.RepoCurve
-
- setCDRCountryCode(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the CDR Country Code
- setCDRSettleCode(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the CDR Settle Code
- setCleanDV01(double) - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Set the Clean DV01
- setCleanExpiryPrice(double) - Method in class org.drip.historical.attribution.TreasuryFuturesMarketSnap
-
Set the Clean Expiry Price
- setCollateralCollateralCorrelation(String, String, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified Collateral Currency Pair
- setCollateralCredit(double) - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Set the Collateral/Credit Convexity Adjustment
- setCollateralCreditCorrelation(String, EntityCDSLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Collateral and the Credit Latent States
- setCollateralCustomCorrelation(String, CustomLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Collateral and the Custom Metric Latent States
- setCollateralEquityCorrelation(String, EntityEquityLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Collateral and the Equity Latent States
- setCollateralForward(double) - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Set the Collateral/Forward Convexity Adjustment
- setCollateralForwardCorrelation(String, ForwardLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Collateral and the Forward Latent States
- setCollateralFunding(double) - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Set the Collateral/Funding Convexity Adjustment
- setCollateralFundingCorrelation(String, FundingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Collateral and the Funding Latent States
- setCollateralFX(double) - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Set the Collateral/FX Convexity Adjustment
- setCollateralFXCorrelation(String, FXLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified Collateral and FX Latent States
- setCollateralGovvieCorrelation(String, GovvieLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified Collateral and Govvie Latent State Labels
- setCollateralGroupPath(CollateralGroupPath) - Method in class org.drip.exposure.holdings.PositionGroup
-
Set the Collateral Group Path
- setCollateralGroupPath(int, CollateralGroupPath) - Method in class org.drip.exposure.holdings.PositionGroupContainer
-
Set the Specific Position Group's Collateral Group Path
- setCollateralOvernightCorrelation(String, OvernightLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Collateral and the Overnight Latent States
- setCollateralPaydownCorrelation(String, PaydownLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified Collateral and Pay-down Latent State Labels
- setCollateralRatingCorrelation(String, RatingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified Collateral and Rating Latent State Labels
- setCollateralRecoveryCorrelation(String, EntityRecoveryLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified Collateral and Recovery Latent State Labels
- setCollateralRepoCorrelation(String, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified Collateral and Repo Latent State Labels
- setCollateralType(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Collateral Type
- setCollateralVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Volatility Curve for the specified Collateral Label
- setComponentCreditDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.BasketMeasures
-
Set the Component Credit Delta Double Measures Map
- setComponentCreditGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.BasketMeasures
-
Set the Component Credit Gamma Double Measures Map
- setComponentCustomMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.BasketMeasures
-
Set the Component Custom Double Measures Map
- setComponentIRDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.BasketMeasures
-
Set the Component IR Delta Double Measures Map
- setComponentIRGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.BasketMeasures
-
Set the Component IR Gamma Double Measures Map
- setComponentRRDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.BasketMeasures
-
Set the Component RR Delta Double Measures Map
- setComponentRRGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.BasketMeasures
-
Set the Component RR Gamma Double Measures Map
- setComponentTenorCreditDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>>) - Method in class org.drip.analytics.output.BasketMeasures
-
Set the Component/Tenor Credit Delta Triple Measures Map
- setComponentTenorCreditGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>>) - Method in class org.drip.analytics.output.BasketMeasures
-
Set the Component/Tenor Credit Gamma Triple Measures Map
- setComponentTenorIRDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>>) - Method in class org.drip.analytics.output.BasketMeasures
-
Set the Component/Tenor IR Delta Triple Measures Map
- setComponentTenorIRGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>>) - Method in class org.drip.analytics.output.BasketMeasures
-
Set the Component/Tenor IR Gamma Triple Measures Map
- setConstructionString() - Method in class org.drip.product.params.CDXRefDataParams
-
Return the stringified set of parameters in a java call that can be statically used to re-construct
the index.
- setContainingInelastics(LatentStateInelastic) - Method in interface org.drip.spline.segment.BasisEvaluator
-
Set the Inelastics that provides the enveloping Context the Basis Evaluation
- setContainingInelastics(LatentStateInelastic) - Method in class org.drip.spline.segment.SegmentBasisEvaluator
-
- setConversionFactor(double) - Method in class org.drip.historical.attribution.TreasuryFuturesMarketSnap
-
Set the CTD Conversion Factor at Expiry
- setCorrelation(String, String, double) - Method in class org.drip.portfolioconstruction.params.AssetUniverseStatisticalProperties
-
Set the Correlation Between the Specified Assets
- setCountryOfDomicile(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Country Of Domicile
- setCountryOfGuarantor(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Country Of Guarantor
- setCountryOfIncorporation(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Country Of Incorporation
- setCoupon(double) - Method in class org.drip.product.calib.FixedStreamQuoteSet
-
Set the Coupon
- setCoupon(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set the Bond Coupon
- setCoupon(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the coupon
- setCoupon(double) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Index Coupon
- setCouponBasis(double) - Method in class org.drip.product.calib.FixedStreamQuoteSet
-
Set the Coupon Basis
- setCouponCurrency(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set The Coupon Currency
- setCouponCurrency(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Coupon Currency
- setCouponFreq(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set the Bond Coupon Frequency
- setCouponPV(double) - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Set the Coupon PV
- setCouponSetting(CouponSetting) - Method in class org.drip.product.credit.BondComponent
-
- setCouponSetting(CouponSetting) - Method in interface org.drip.product.definition.BondProduct
-
Set the bond coupon setting
- setCouponSpread(double) - Method in class org.drip.product.calib.StreamQuoteSet
-
Set the Coupon/Spread
- setCouponType(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set the Bond Coupon Type
- setCouponType(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Coupon Type
- setCreditCreditCorrelation(EntityCDSLabel, EntityCDSLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Pair of Credit Latent States
- setCreditCustomCorrelation(EntityCDSLabel, CustomLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Credit and the Custom Metric Latent States
- setCreditEquityCorrelation(EntityCDSLabel, EntityEquityLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Credit and the Equity Latent States
- setCreditForward(double) - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Set the Credit/Forward Convexity Adjustment
- setCreditForwardCorrelation(EntityCDSLabel, ForwardLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Credit and the Forward Latent States
- setCreditFunding(double) - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Set the Credit/Funding Convexity Adjustment
- setCreditFundingCorrelation(EntityCDSLabel, FundingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Credit and the Funding Latent States
- setCreditFX(double) - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Set the Credit/FX Convexity Adjustment
- setCreditFXCorrelation(EntityCDSLabel, FXLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Credit and the FX Latent States
- setCreditGovvieCorrelation(EntityCDSLabel, GovvieLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Credit and the Govvie Latent States
- setCreditLabel(String) - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Set the Credit Label
- setCreditOvernightCorrelation(EntityCDSLabel, OvernightLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Credit and the Overnight Latent States
- setCreditPaydownCorrelation(EntityCDSLabel, PaydownLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Credit and the Pay-down Latent States
- setCreditRatingCorrelation(EntityCDSLabel, RatingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Credit and the Rating Latent States
- setCreditRecoveryCorrelation(EntityCDSLabel, EntityRecoveryLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Credit and the Recovery Latent States
- setCreditRepoCorrelation(EntityCDSLabel, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Credit and the Repo Latent States
- setCreditSetting(CreditSetting) - Method in class org.drip.product.credit.BondComponent
-
- setCreditSetting(CreditSetting) - Method in interface org.drip.product.definition.BondProduct
-
Set the bond Credit Setting
- setCreditState(CreditCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Credit State
- setCreditVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Volatility Curve for the Credit Latent State
- setCTDName(String) - Method in class org.drip.historical.attribution.TreasuryFuturesMarketSnap
-
Set the CTD Bond Name
- setCumulativeCouponAmount(double) - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Set the Cumulative Coupon Amount
- setCumulativeCouponAmount(double) - Method in class org.drip.historical.attribution.PositionMarketSnap
-
Set the Cumulative Coupon Amount
- setCurrency(String) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Index Currency
- setCurrentCoupon(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set the bond's Current Coupon
- setCurrentCoupon(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Current Coupon
- setCurrentFairPremium(double) - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Set the Current Fair Premium
- setCurveID(String) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Index Curve ID
- setCurveName(String) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Index Curve Name
- setCurvyCurveID(String) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Index Composite Curve ID
- setCUSIP(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set the Bond CUSIP
- setCUSIP(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the CUSIP
- setCustomCustomCorrelation(CustomLabel, CustomLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Custom Metric Latent State Pair
- setCustomEquityCorrelation(CustomLabel, EntityEquityLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Custom Metric and the Equity Latent States
- setCustomForwardCorrelation(CustomLabel, ForwardLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Custom Metric and the Forward Latent States
- setCustomFundingCorrelation(CustomLabel, FundingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Custom Metric and the Funding Latent States
- setCustomFXCorrelation(CustomLabel, FXLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Custom Metric and the FX Latent States
- setCustomGovvieCorrelation(CustomLabel, GovvieLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Custom Metric and the Govvie Latent States
- setCustomMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.ComponentMeasures
-
Set the Custom Double Measures Map
- setCustomOvernightCorrelation(CustomLabel, OvernightLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Custom Metric and the Overnight Latent States
- setCustomPaydownCorrelation(CustomLabel, PaydownLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Custom Metric and the Pay-down Latent States
- setCustomRatingCorrelation(CustomLabel, RatingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Custom Metric and the Rating Latent States
- setCustomRecoveryCorrelation(CustomLabel, EntityRecoveryLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Custom Metric and the Recovery Latent States
- setCustomRepoCorrelation(CustomLabel, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Custom Metric and the Repo Latent States
- setCustomVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Custom Metric Volatility Curve
- setDate(String, JulianDate) - Method in class org.drip.historical.attribution.PositionMarketSnap
-
Set the Custom Date Entry corresponding to the Specified Key
- setDate(String, JulianDate) - Method in class org.drip.historical.sensitivity.TenorDurationNodeMetrics
-
Set the Custom Date Entry corresponding to the Specified Key
- setDayCount(String) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Index Day Count
- setDayCountCode(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set the Bond Day Count Code
- setDayCountCode(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Day Count Code
- setDBasisCoeffDLocalManifest(double[]) - Method in class org.drip.spline.segment.LatentStateManifestSensitivity
-
Set the Array containing the Sensitivities of the Basis Coefficients to the Local Manifest Measure
- setDBasisCoeffDPreceedingManifest(double[]) - Method in class org.drip.spline.segment.LatentStateManifestSensitivity
-
Set the Array containing the Sensitivities of the Basis Coefficients to the Preceeding Manifest
Measure
- setDefaultedComponentCount(int) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Number of Defaulted Components in the Index
- setDeliveryMonths(int[]) - Method in class org.drip.product.govvie.TreasuryFutures
-
Set the Delivery Months
- setDerivedParBasisSpread(double) - Method in class org.drip.product.calib.FixFloatQuoteSet
-
Set the Derived Par Basis Spread
- setDerivedParBasisSpread(double) - Method in class org.drip.product.calib.FloatFloatQuoteSet
-
Set the Derived Par Basis Spread
- setDescription(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Description
- setDirection(int) - Method in class org.drip.quant.fourier.RotationCountPhaseTracker
-
Set the Direction on which the rotation count is to be applied
- setDResponseDPreceedingManifest(double) - Method in class org.drip.spline.segment.LatentStateManifestSensitivity
-
Set the Sensitivity of the Segment Response to the Preceeding Manifest Measure
- setEffectiveDate(JulianDate) - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Set the Effective Date
- setEmbeddedCallSchedule(EmbeddedOptionSchedule) - Method in class org.drip.product.credit.BondComponent
-
- setEmbeddedCallSchedule(EmbeddedOptionSchedule) - Method in interface org.drip.product.definition.BondProduct
-
Set the bond's embedded call schedule
- setEmbeddedPutSchedule(EmbeddedOptionSchedule) - Method in class org.drip.product.credit.BondComponent
-
- setEmbeddedPutSchedule(EmbeddedOptionSchedule) - Method in interface org.drip.product.definition.BondProduct
-
Set the bond's embedded put schedule
- setEquityEquityCorrelation(EntityEquityLabel, EntityEquityLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Pair of Equity Latent States
- setEquityForwardCorrelation(EntityEquityLabel, ForwardLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Equity and the Forward Latent States
- setEquityFundingCorrelation(EntityEquityLabel, FundingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Equity and the Funding Latent States
- setEquityFXCorrelation(EntityEquityLabel, FXLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Equity and the FX Latent States
- setEquityGovvieCorrelation(EntityEquityLabel, GovvieLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Equity and the Govvie Latent States
- setEquityOvernightCorrelation(EntityEquityLabel, OvernightLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Equity and the Overnight Latent States
- setEquityPaydownCorrelation(EntityEquityLabel, PaydownLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Equity and the Pay-down Latent States
- setEquityRatingCorrelation(EntityEquityLabel, RatingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Equity and the Rating Latent States
- setEquityRecoveryCorrelation(EntityEquityLabel, EntityRecoveryLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Equity and the Recovery Latent States
- setEquityRepoCorrelation(EntityEquityLabel, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Equity and the Repo Latent States
- setEquityState(EntityEquityLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Equity State for the specified Equity Latent State Label
- setEquityVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Volatility Curve for the Equity Latent State
- setErrorType(int) - Method in exception org.drip.json.parser.ParseException
-
- setExchangeCode(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Exchange Code
- setExpiry(JulianDate) - Method in class org.drip.product.govvie.TreasuryFutures
-
Set the Futures Expiration Date
- setExpiryDate(JulianDate) - Method in class org.drip.historical.attribution.TreasuryFuturesMarketSnap
-
Set the Expiry Date
- setFairPremiumMarketFactor(double, double, double) - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Set the Fair Premium and Position Sensitivity
- setFinalMaturity(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set the final maturity of the bond
- setFinalMaturity(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Final Maturity
- setFirstCoupon(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set the Bond First Coupon Date
- setFirstCoupon(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the First Coupon
- setFirstSettle(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set the Bond First Settle
- setFirstSettle(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the First Settle
- setFitch(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Fitch Rating
- setFixedCoupon(double) - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Set the Fixed Coupon
- setFixing(JulianDate, LatentStateLabel, double) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Set the Fixing corresponding to the Date/Label Pair
- setFixing(int, LatentStateLabel, double) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Set the Fixing corresponding to the Date/Label Pair
- setFixings(LatentStateFixingsContainer) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Set the Latent State Fixings Container Instance
- setFlatCreditDeltaMeasures(CaseInsensitiveTreeMap<Double>) - Method in class org.drip.analytics.output.ComponentMeasures
-
Set the Flat Credit Delta Measures Map
- setFlatCreditGammaMeasures(CaseInsensitiveTreeMap<Double>) - Method in class org.drip.analytics.output.ComponentMeasures
-
Set the Flat Credit Gamma Measures Map
- setFlatIRDeltaMeasures(CaseInsensitiveTreeMap<Double>) - Method in class org.drip.analytics.output.ComponentMeasures
-
Set the Flat IR Delta Measures Map
- setFlatIRGammaMeasures(CaseInsensitiveTreeMap<Double>) - Method in class org.drip.analytics.output.ComponentMeasures
-
Set the Flat IR Gamma Measures Map
- setFlatRRDeltaMeasures(CaseInsensitiveTreeMap<Double>) - Method in class org.drip.analytics.output.ComponentMeasures
-
Set the Flat RR Delta Measures Map
- setFlatRRGammaMeasures(CaseInsensitiveTreeMap<Double>) - Method in class org.drip.analytics.output.ComponentMeasures
-
Set the Flat RR Gamma Measures Map
- setFlatValue(double) - Method in interface org.drip.analytics.definition.ExplicitBootCurve
-
Set the flat value across all the nodes
- setFlatValue(double) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
-
- setFlatValue(double) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
-
- setFlatValue(double) - Method in class org.drip.state.nonlinear.FlatForwardFXCurve
-
- setFlatValue(double) - Method in class org.drip.state.nonlinear.FlatForwardGovvieCurve
-
- setFlatValue(double) - Method in class org.drip.state.nonlinear.FlatForwardRepoCurve
-
- setFlatValue(double) - Method in class org.drip.state.nonlinear.FlatForwardVolatilityCurve
-
- setFlatValue(double) - Method in class org.drip.state.nonlinear.FlatYieldGovvieCurve
-
- setFlatValue(double) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
-
- setFloatCouponConvention(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set the bond's Float Coupon Convention
- setFloatCouponConvention(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Float Coupon Convention
- setFloaterSetting(FloaterSetting) - Method in class org.drip.product.credit.BondComponent
-
- setFloaterSetting(FloaterSetting) - Method in interface org.drip.product.definition.BondProduct
-
Set the bond floater setting
- setFloatSpread(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set the bond's floating rate spread
- setFloatSpread(ScenarioMarketParams) - Method in class org.drip.product.creator.BondProductBuilder
-
Set the bond's floating rate spread from the MPC
- setFloatSpread(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Float Spread
- setForwardForwardCorrelation(ForwardLabel, ForwardLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Pair of Forward Latent States
- setForwardFunding(double) - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Set the Forward/Funding Convexity Adjustment
- setForwardFundingCorrelation(ForwardLabel, FundingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Forward and the Funding Latent States
- setForwardFX(double) - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Set the Forward/FX Convexity Adjustment
- setForwardFXCorrelation(ForwardLabel, FXLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Forward and the FX Latent State Labels
- setForwardGovvieCorrelation(ForwardLabel, GovvieLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Forward and the Govvie Latent States
- setForwardOvernightCorrelation(ForwardLabel, OvernightLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Forward and the Overnight Latent States
- setForwardPaydownCorrelation(ForwardLabel, PaydownLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Forward and the Pay-down Latent States
- setForwardRate(double) - Method in class org.drip.product.calib.DepositComponentQuoteSet
-
Set the Forward Rate
- setForwardRate(double) - Method in class org.drip.product.calib.FloatingStreamQuoteSet
-
Set the Forward Rate
- setForwardRatingCorrelation(ForwardLabel, RatingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Forward and the Rating Latent States
- setForwardRecoveryCorrelation(ForwardLabel, EntityRecoveryLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Forward and the Recovery Latent States
- setForwardRepoCorrelation(ForwardLabel, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Forward and the Repo Latent States
- setForwardState(ForwardCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Forward State
- setForwardVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Volatility Curve for the specified Forward Latent State Label
- setFRARate(double) - Method in class org.drip.product.calib.FRAComponentQuoteSet
-
Set the FRA Rate
- setFrequency(int) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Index Coupon Frequency
- setFullFirstStub(boolean) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the flag indicating whether the Index has a Full First Stub
- setFundingFundingCorrelation(FundingLabel, FundingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Pair of Funding Latent States
- setFundingFX(double) - Method in class org.drip.analytics.output.ConvexityAdjustment
-
Set the Funding/FX Convexity Adjustment
- setFundingFXCorrelation(FundingLabel, FXLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Funding and the FX Latent States
- setFundingGovvieCorrelation(FundingLabel, GovvieLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Funding and the Govvie Latent States
- setFundingOvernightCorrelation(FundingLabel, OvernightLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Funding and the Overnight Latent States
- setFundingPaydownCorrelation(FundingLabel, PaydownLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Funding and the Pay-down Latent States
- setFundingRecoveryCorrelation(FundingLabel, RatingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Funding and the Rating Latent States
- setFundingRecoveryCorrelation(FundingLabel, EntityRecoveryLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Funding and the Recovery Latent States
- setFundingRepoCorrelation(FundingLabel, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Funding and the Repo Latent States
- setFundingState(MergedDiscountForwardCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Funding State
- setFundingVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Volatility Curve for the Funding Latent State Label
- setFXFXCorrelation(FXLabel, FXLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified FX Latent State Label Set
- setFXGovvieCorrelation(FXLabel, GovvieLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified FX and the Govvie Latent States
- setFXOvernightCorrelation(FXLabel, OvernightLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified FX and the Overnight Latent States
- setFXPaydownCorrelation(FXLabel, PaydownLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified FX and the Pay-down Latent States
- setFXRatingCorrelation(FXLabel, RatingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified FX and the Rating Latent States
- setFXRecoveryCorrelation(FXLabel, EntityRecoveryLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified FX and the Recovery Latent States
- setFXRepoCorrelation(FXLabel, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified FX and the Repo Latent States
- setFXState(FXCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the FX State for the specified FX Latent State Label
- setFXVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Volatility Curve for the specified FX Latent State
- setGovvieGovvieCorrelation(GovvieLabel, GovvieLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the Govvie Latent State Pair
- setGovvieOvernightCorrelation(GovvieLabel, OvernightLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified Govvie and the Overnight Latent States
- setGovviePaydownCorrelation(GovvieLabel, PaydownLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified Govvie and the Pay-down Latent States
- setGovvieRatingCorrelation(GovvieLabel, RatingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified Govvie and the Rating Latent States
- setGovvieRecoveryCorrelation(GovvieLabel, EntityRecoveryLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified Govvie and the Recovery Latent States
- setGovvieRepoCorrelation(GovvieLabel, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified Govvie and the Repo Latent States
- setGovvieState(GovvieCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Govvie State Curve
- setGovvieVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Volatility Curve for the Govvie Latent State
- setHasBeenCalled(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set whether the bond Has Been Called
- setHasBeenCalled(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Flag indicating If bond has been called
- setHeader(String[]) - Method in class org.drip.feed.loader.CSVGrid
-
Set the Column Headers
- setIdentifierSet(IdentifierSet) - Method in class org.drip.product.credit.BondComponent
-
- setIdentifierSet(IdentifierSet) - Method in interface org.drip.product.definition.BondProduct
-
Set the bond identifier set
- setIndexClass(String) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Index Class
- setIndexFactor(double) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Index Factor
- setIndexGroupName(String) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Index Group Name
- setIndexLabel(String) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Index Label
- setIndexLifeSpan(int) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Index Life Span
- setIndexName(String) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Index Name
- setIndexSeries(int) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Index Series
- setIndexShortGroupName(String) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Index Short Group Name
- setIndexShortName(String) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Index Short Name
- setIndexVersion(int) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Index Version
- setIndustryGroup(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Industry Group
- setIndustrySector(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Industry Sector
- setIndustrySubgroup(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Industry Subgroup
- setInitialFairPremium(double) - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Set the Initial Fair Premium
- setInstrCalibInputs(ValuationParams, boolean, MergedDiscountForwardCurve, GovvieCurve, CreditPricerParams, CalibratableComponent[], double[], String[], LatentStateFixingsContainer, ValuationCustomizationParams) - Method in class org.drip.state.credit.CreditCurve
-
Set the calibration inputs for the CreditCurve
- setInterestAccrualStart(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set the Bond Interest Accrual Start Date
- setInterestAccrualStart(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Interest Accrual Start Date
- setIsBearer(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Flag indicating Bearer Bond
- setIsCallable(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set whether the Bond Is Callable
- setIsCallable(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set whether is Callable
- setIsDefaulted(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set whether the bond is defaulted or not
- setIsDefaulted(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Defaulted Flag
- setIsFloater(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set whether the bond is a floater or not
- setIsFloater(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Floater Flag
- setISIN(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set the Bond ISIN
- setISIN(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the ISIN
- setIsPerpetual(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set whether the bond is perpetual or not
- setIsPerpetual(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Perpetual Flag
- setIsPrivatePlacement(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Private Placement Flag
- setIsPutable(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set whether the Bond Is Putable
- setIsPutable(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set whether is Putable
- setIsRegistered(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Flag Registered
- setIsReversibleConvertible(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Flag indicating Reverse Convertible
- setIsSinkable(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set whether the Bond Is Sinkable
- setIsSinkable(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set whether is Sinkable
- setIsStructuredNote(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Flag indicating Structured Note
- setIssue(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set the Bond Issue Date
- setIssue(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Issue Date
- setIssueAmount(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Issue Amount
- setIssueCountry(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Issue Country
- setIssueCountryCode(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Issue Country Code
- setIssueDate(JulianDate) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Index Issue Date
- setIssuePrice(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set Issue Price
- setIssuer(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Issuer
- setIssuerCategory(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Issuer Category
- setIssuerIndustry(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Issuer Industry
- setIssuerSPN(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set the bond's Issuer SPN
- setIssuerSPN(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set Issuer SPN
- setIsUnitTraded(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Flag indicating Unit Traded
- setKnockOutOnDefault(boolean) - Method in class org.drip.product.params.CDXRefDataParams
-
Set if the Index knocks out on Default
- setLastTradingDayLag(int) - Method in class org.drip.product.govvie.TreasuryFutures
-
Set the Last Trading Day Lag
- setLDTS(String, LastTradingDateSetting[]) - Method in class org.drip.market.exchange.FuturesOptions
-
Add a Named Exchange LTDS Array Map Entry
- setLeadManager(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Lead Manager
- setLeftNode(double, double, double, StretchBestFitResponse) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- setLeftNode(double, double, double, StretchBestFitResponse) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Set the Slope at the left Edge of the Stretch
- setLocation(String) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Index Location
- setLongCompanyName(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Long Company Name
- setLossPV(double) - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Set the Loss PV
- setMarketConvention(QuoteConvention) - Method in class org.drip.product.credit.BondComponent
-
- setMarketConvention(QuoteConvention) - Method in interface org.drip.product.definition.BondProduct
-
Set the Bond's Market Convention
- setMarketIssueType(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Market Issue Type
- setMarketMeasureName(String) - Method in class org.drip.historical.attribution.PositionMarketSnap
-
Set the Market Measure Name
- setMarketMeasureValue(double) - Method in class org.drip.historical.attribution.PositionMarketSnap
-
Set the Market Measure Value
- setMarketQuote(String, Quote) - Method in class org.drip.param.definition.ProductQuote
-
Set the market quote for the component
- setMarketQuote(String, Quote) - Method in class org.drip.param.quote.ProductMultiMeasure
-
- setMaturity(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set the Bond Maturity
- setMaturity(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the maturity
- setMaturityDate(JulianDate) - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Set the Maturity Date
- setMaturityDate(JulianDate) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Index Maturity Date
- setMaturityType(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set the Bond Maturity Type
- setMaturityType(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Maturity Type
- setMaximumMaturity(String) - Method in class org.drip.product.govvie.TreasuryFutures
-
Retrieve the Deliverable Grade Maximum Maturity
- setMinimumIncrement(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Minimum Increment
- setMinimumMaturity(String) - Method in class org.drip.product.govvie.TreasuryFutures
-
Retrieve the Deliverable Grade Minimum Maturity
- setMinimumPiece(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Minimum Piece
- setMinimumPriceMovement(double) - Method in class org.drip.product.govvie.TreasuryFutures
-
Retrieve the Minimum Price Movement
- setMoody(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Moodys Rating
- setName(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Issuer Name
- setName(String) - Method in class org.drip.product.credit.CDSComponent
-
- setNextCouponDate(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Next Coupon Date
- setNodeValue(int, double) - Method in interface org.drip.analytics.definition.ExplicitBootCurve
-
Set the Value/Slope at the Node specified by the Index
- setNodeValue(int, double) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
-
- setNodeValue(int, double) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
-
- setNodeValue(int, double) - Method in class org.drip.state.nonlinear.FlatForwardFXCurve
-
- setNodeValue(int, double) - Method in class org.drip.state.nonlinear.FlatForwardGovvieCurve
-
- setNodeValue(int, double) - Method in class org.drip.state.nonlinear.FlatForwardRepoCurve
-
- setNodeValue(int, double) - Method in class org.drip.state.nonlinear.FlatForwardVolatilityCurve
-
- setNodeValue(int, double) - Method in class org.drip.state.nonlinear.FlatYieldGovvieCurve
-
- setNodeValue(int, double) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
-
- setNotionalSetting(NotionalSetting) - Method in class org.drip.product.credit.BondComponent
-
- setNotionalSetting(NotionalSetting) - Method in interface org.drip.product.definition.BondProduct
-
Set the bond notional Setting
- setNotionalValue(double) - Method in class org.drip.product.govvie.TreasuryFutures
-
Retrieve the Notional Value
- setObjectiveBenchmark(Benchmark) - Method in class org.drip.portfolioconstruction.core.Account
-
Set the Objective Benchmark Instance
- setOF(double) - Method in class org.drip.function.r1tor1solver.IteratedVariate
-
Set the Objective Function Value
- SetOff(JulianDate, double, double, double, MarketEdge) - Static method in class org.drip.xva.vertex.BurgardKjaerBuilder
-
Construct a Standard Instance of BurgardKjaerVertex using the "Set Off" Legal Agreement Scheme
- SetOffBaselProxy - Class in org.drip.sample.xvafixfloat
-
SetOffBaselProxy simulates for various Latent States and Exposures for an Fix Float Swap and computes
the XVA Metrics using the Basel Proxy-Style Exposure Generator using Burgard Kjaer Set Off CSA Vertexes.
- SetOffBaselProxy() - Constructor for class org.drip.sample.xvafixfloat.SetOffBaselProxy
-
- SetOffCollateralizedFunding - Class in org.drip.sample.burgard2013
-
SetOffCollateralizedFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps
resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
- SetOffCollateralizedFunding() - Constructor for class org.drip.sample.burgard2013.SetOffCollateralizedFunding
-
- SetOffCollateralizedFundingStochastic - Class in org.drip.sample.burgard2013
-
SetOffCollateralizedFundingStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of
10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
- SetOffCollateralizedFundingStochastic() - Constructor for class org.drip.sample.burgard2013.SetOffCollateralizedFundingStochastic
-
- SetOffUncollateralizedFunding - Class in org.drip.sample.burgard2013
-
SetOffUncollateralizedFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10
Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
- SetOffUncollateralizedFunding() - Constructor for class org.drip.sample.burgard2013.SetOffUncollateralizedFunding
-
- SetOffUncollateralizedFundingStochastic - Class in org.drip.sample.burgard2013
-
SetOffUncollateralizedFundingStochastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio
of 10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
- SetOffUncollateralizedFundingStochastic() - Constructor for class org.drip.sample.burgard2013.SetOffUncollateralizedFundingStochastic
-
- SetOffZeroThresholdFunding - Class in org.drip.sample.burgard2013
-
SetOffZeroThresholdFunding examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of 10 Swaps
resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
- SetOffZeroThresholdFunding() - Constructor for class org.drip.sample.burgard2013.SetOffZeroThresholdFunding
-
- SetOffZeroThresholdFundingStochastic - Class in org.drip.sample.burgard2013
-
SetOffZeroThresholdFundingStohastic examines the Basel BCBS 2012 OTC Accounting Impact to a Portfolio of
10 Swaps resulting from the Addition of a New Swap - Comparison via both FVA/FDA and FCA/FBA Schemes.
- SetOffZeroThresholdFundingStochastic() - Constructor for class org.drip.sample.burgard2013.SetOffZeroThresholdFundingStochastic
-
- setOFLeft(double) - Method in class org.drip.function.r1tor1solver.IteratedBracket
-
Set the left objective function value
- setOFRight(double) - Method in class org.drip.function.r1tor1solver.IteratedBracket
-
Set the right objective function value
- setOptionPV(double) - Method in class org.drip.product.calib.VolatilityProductQuoteSet
-
Set the PV of an Option on the Product
- setOriginalComponentCount(int) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Number of Original Components in the Index
- setOutright(double) - Method in class org.drip.product.calib.FXForwardQuoteSet
-
Set the Terminal FX Forward Outright
- setOutstandingAmount(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Outstanding Amount
- setOvernightOvernightCorrelation(OvernightLabel, OvernightLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Pair of Overnight Latent States
- setOvernightPaydownCorrelation(OvernightLabel, PaydownLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified Overnight and the Pay-down Latent States
- setOvernightRatingCorrelation(OvernightLabel, RatingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified Overnight and the Rating Latent States
- setOvernightRecoveryCorrelation(OvernightLabel, EntityRecoveryLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified Overnight and the Recovery Latent States
- setOvernightRepoCorrelation(OvernightLabel, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified Overnight and the Repo Latent States
- setOvernightState(MergedDiscountForwardCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Overnight State
- setOvernightVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Volatility Curve for the Overnight Latent State Label
- setParAmount(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Par Amount
- setParForwardRate(double) - Method in class org.drip.product.calib.FRAComponentQuoteSet
-
Set the Par Forward Rate
- setPayAccrued(boolean) - Method in class org.drip.product.params.CDXRefDataParams
-
Set if the Index pays accrued on termination
- setPayCurrencyCollateralCurrencyCurve(String, String, MergedDiscountForwardCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
Set the Discount Curve associated with the Pay Cash-flow Collateralized using a different
Collateral Currency Numeraire
- setPaydownCurve(PaydownLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Pay-down State for the specified Pay-down Latent State Label
- setPaydownPaydownCorrelation(PaydownLabel, PaydownLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the Pay-down Latent State Pair
- setPaydownRatingCorrelation(PaydownLabel, RatingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified Pay-down and the Rating Latent States
- setPaydownRecoveryCorrelation(PaydownLabel, EntityRecoveryLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified Pay-down and the Recovery Latent States
- setPaydownRepoCorrelation(PaydownLabel, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified Pay-down and the Repo Latent States
- setPaydownVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Volatility Curve for the Pay-down Latent State
- setPenultimateCouponDate(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Penultimate Coupon Date
- setPIP(double) - Method in class org.drip.product.calib.FXForwardQuoteSet
-
Set the Terminal FX Forward PIP
- setPosition(int) - Method in exception org.drip.json.parser.ParseException
-
- setPreceeding(String) - Method in class org.drip.spaces.graph.ShortestPathVertex
-
Set the Preceeding Traversal Vertex
- setPreceedingManifestSensitivityControl(String, PreceedingManifestSensitivityControl) - Method in class org.drip.spline.segment.LatentStateResponseModel
-
Set the Preceeding Manifest Sensitivity Control Parameters for the specified Manifest Measure
- setPrevCouponDate(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Previous Coupon Date
- setPreviousPhase(double) - Method in class org.drip.quant.fourier.RotationCountPhaseTracker
-
Set the Previous Phase
- setPrice(double) - Method in class org.drip.product.calib.FuturesComponentQuoteSet
-
Set the Price
- setPrimaryCode(String) - Method in class org.drip.product.credit.BondComponent
-
- setPrimaryCode(String) - Method in class org.drip.product.credit.CDSComponent
-
- setPrimaryCode(String) - Method in class org.drip.product.definition.CalibratableComponent
-
Set the component's primary code
- setPrimaryCode(String) - Method in class org.drip.product.fx.DomesticCollateralizedForeignForward
-
- setPrimaryCode(String) - Method in class org.drip.product.fx.ForeignCollateralizedDomesticForward
-
- setPrimaryCode(String) - Method in class org.drip.product.fx.FXForwardComponent
-
- setPrimaryCode(String) - Method in class org.drip.product.option.OptionComponent
-
- setPrimaryCode(String) - Method in class org.drip.product.rates.FixFloatComponent
-
- setPrimaryCode(String) - Method in class org.drip.product.rates.FloatFloatComponent
-
- setPrimaryCode(String) - Method in class org.drip.product.rates.RatesBasket
-
- setPrimaryCode(String) - Method in class org.drip.product.rates.SingleStreamComponent
-
- setProductQuote(String, ProductQuote) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Product Quote
- setPV(double) - Method in class org.drip.product.calib.DepositComponentQuoteSet
-
Set the PV
- setPV(double) - Method in class org.drip.product.calib.FixedStreamQuoteSet
-
Set the PV
- setPV(double) - Method in class org.drip.product.calib.FixFloatQuoteSet
-
Set the PV
- setPV(double) - Method in class org.drip.product.calib.FloatFloatQuoteSet
-
Set the PV
- setPV(double) - Method in class org.drip.product.calib.FloatingStreamQuoteSet
-
Set the PV
- setPV(double) - Method in class org.drip.product.calib.StreamQuoteSet
-
Set the PV
- setQM(LatentStateLabel, String, double) - Method in class org.drip.dynamics.evolution.LSQMPointRecord
-
Set the LSQM Value
- setQMCurve(String, Curve) - Method in class org.drip.dynamics.evolution.LSQMCurveSnapshot
-
Set the LSQM Curve
- setQMSpan(LatentStateLabel, String, Span) - Method in class org.drip.dynamics.evolution.LSQMCurveIncrement
-
Set the LSQM Increment Span
- setQuoteAsCDS(boolean) - Method in class org.drip.product.params.CDXRefDataParams
-
Set whether the quote is marked as a CDS
- setQuoteMap(CaseInsensitiveTreeMap<ProductQuote>) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Map of Quote
- setR1(String, double, boolean) - Method in class org.drip.historical.attribution.PositionMarketSnap
-
Set the Custom R^1 Entry corresponding to the Specified Key
- setR1(String, double) - Method in class org.drip.historical.attribution.PositionMarketSnap
-
Set the Custom R^1 Entry corresponding to the Specified Key
- setR1(String, double) - Method in class org.drip.historical.sensitivity.TenorDurationNodeMetrics
-
Set the Custom R^1 Entry corresponding to the Specified Key
- setRate(double) - Method in class org.drip.product.calib.DepositComponentQuoteSet
-
Set the Rate
- setRate(double) - Method in class org.drip.product.calib.FixFloatQuoteSet
-
Set the Rate
- setRate(double) - Method in class org.drip.product.calib.FuturesComponentQuoteSet
-
Set the Rate
- setRateIndex(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set the bond's Rate Index
- setRateIndex(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Rate Index
- setRatingCurve(RatingLabel, MergedDiscountForwardCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Rating State for the specified Rating Latent State Label
- setRatingRatingCorrelation(RatingLabel, RatingLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified Pair of Rating Latent States
- setRatingRecoveryCorrelation(RatingLabel, EntityRecoveryLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified Rating and Recovery Latent States
- setRatingRepoCorrelation(RatingLabel, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified Rating and Repo Latent States
- setRatingVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Volatility Curve for the Rating Latent State
- setRecovery(double) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Index Recovery
- setRecoveryRate(double) - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Set the Recovery Rate
- setRecoveryRecoveryCorrelation(EntityRecoveryLabel, EntityRecoveryLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the Recovery Latent State Pair
- setRecoveryRepoCorrelation(EntityRecoveryLabel, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface for the specified Recovery and the Repo Latent States
- setRecoveryState(CreditCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Recovery State for the specified Recovery Latent State Label
- setRecoveryVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Volatility Curve for the Recovery Latent State
- setRedemptionCurrency(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set The redemption Currency
- setRedemptionCurrency(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Redemption Currency
- setRedemptionValue(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set the Bond Redemption Value
- setRedemptionValue(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Redemption Value
- setRedID(String) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Index Red ID
- setReferenceCoupon(double) - Method in class org.drip.product.govvie.TreasuryFutures
-
Set the Reference Coupon Rate
- setReferenceParBasisSpread(double) - Method in class org.drip.product.calib.FixFloatQuoteSet
-
Set the Reference Par Basis Spread
- setReferenceParBasisSpread(double) - Method in class org.drip.product.calib.FloatFloatQuoteSet
-
Set the Reference Par Basis Spread
- setRepoRepoCorrelation(RepoLabel, RepoLabel, R1ToR1) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Correlation Surface between the Pair of Repo Latent States
- setRepoState(RepoCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Repo State
- setRepoVolatility(VolatilityCurve) - Method in class org.drip.param.market.CurveSurfaceQuoteContainer
-
(Re)-set the Volatility Curve for the Repo Latent State Label
- setRiskModel(AssetCovariance) - Method in class org.drip.portfolioconstruction.core.Account
-
Set the Risk Model
- setRollDownFairPremium(double) - Method in class org.drip.historical.attribution.CDSMarketSnap
-
Set the Roll Down Fair Premium
- setRoot(double) - Method in class org.drip.function.r1tor1solver.FixedPointFinderOutput
-
Set the Root
- setSecurityType(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Security Type
- setSeries(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Issuer Series
- setShortName(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Issuer Short Name
- setShortName(String) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the index short name
- setSide(String, double, double) - Method in class org.drip.param.definition.Quote
-
Set the quote for the specified side
- setSide(String, double, double) - Method in class org.drip.param.quote.MultiSided
-
- setSnP(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the SnP Rating
- setSnrSub(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set Senior or Sub-ordinate
- setSoftConstraint(SoftConstraint) - Method in class org.drip.portfolioconstruction.optimizer.ConstraintTerm
-
Set the Soft Constraint
- setSP(String) - Method in class org.drip.json.simple.ItemList
-
- setSpecificDefault(int) - Method in class org.drip.state.credit.CreditCurve
-
Set the Specific Default Date
- setSPN(String) - Method in class org.drip.product.params.CDXRefDataParams
-
Set the Index SPN
- setSpread(double) - Method in class org.drip.product.calib.FloatingStreamQuoteSet
-
Set the Spread
- setStartingVariate(double) - Method in class org.drip.function.r1tor1solver.ExecutionInitializationOutput
-
Set the Starting Variate
- setStateIndexCursor(int[]) - Method in class org.drip.spaces.iterator.RdSpanningStateSpaceScan
-
- setStream(BondStream) - Method in class org.drip.product.credit.BondComponent
-
- setStream(BondStream) - Method in interface org.drip.product.definition.BondProduct
-
Set the bond Stream
- setStretch(MultiSegmentSequence) - Method in class org.drip.spline.stretch.CkSegmentSequenceBuilder
-
- setStretch(MultiSegmentSequence) - Method in interface org.drip.spline.stretch.SegmentSequenceBuilder
-
Set the Stretch whose Segments are to be calibrated
- setStretch(MultiSegmentSequence) - Method in class org.drip.state.inference.LatentStateSequenceBuilder
-
- setStretchSegmentBuilderControl(String, SegmentCustomBuilderControl) - Method in class org.drip.state.estimator.SmoothingCurveStretchParams
-
Set the Stretch's Segment Builder Control
- setSwapRate(double) - Method in class org.drip.product.calib.FixFloatQuoteSet
-
Set the Swap Rate
- setTenorCreditDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.ComponentMeasures
-
Set the Tenor Credit Delta Double Measures Map
- setTenorCreditGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.ComponentMeasures
-
Set the Tenor Credit Gamma Double Measures Map
- setTenorIRDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.ComponentMeasures
-
Set the Tenor IR Delta Double Measures Map
- setTenorIRGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.ComponentMeasures
-
Set the Tenor IR Gamma Double Measures Map
- setTenorRRDeltaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.ComponentMeasures
-
Set the Tenor RR Delta Double Measures Map
- setTenorRRGammaMeasures(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>) - Method in class org.drip.analytics.output.ComponentMeasures
-
Set the Tenor RR Gamma Double Measures Map
- setTerminationSetting(TerminationSetting) - Method in class org.drip.product.credit.BondComponent
-
- setTerminationSetting(TerminationSetting) - Method in interface org.drip.product.definition.BondProduct
-
Set the bond termination setting
- setTerminationStatus(boolean) - Method in class org.drip.regression.core.RegressionRunOutput
-
Set the termination status for the regression output
- setTicker(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set the Bond Ticker
- setTicker(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Issuer Ticker
- setTickValue(double) - Method in class org.drip.product.govvie.TreasuryFutures
-
Retrieve the Tick Value
- settle() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
-
Retrieve the Treasury Futures Settle Settings
- SETTLE_TYPE_CASH - Static variable in class org.drip.market.exchange.TreasuryFuturesSettle
-
Cash Settled Futures
- SETTLE_TYPE_PHYSICAL_DELIVERY - Static variable in class org.drip.market.exchange.TreasuryFuturesSettle
-
Physically Settled Futures
- settleDate(ValuationParams) - Method in class org.drip.product.params.QuoteConvention
-
- settleDate() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Settle Date
- settleLag() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
-
Retrieve the Component Settle Lag
- settleLag() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Settle Lag
- SETTLEMENT_QUOTE_EXACT_CURVE - Static variable in class org.drip.market.otc.SwapOptionSettlement
-
Swap Option Cash Settlement Quote Method - Exact Curve
- SETTLEMENT_QUOTE_IRR - Static variable in class org.drip.market.otc.SwapOptionSettlement
-
Swap Option Cash Settlement Quote Method - Internal Rate of Return
- SETTLEMENT_TYPE_CASH_SETTLED - Static variable in class org.drip.market.otc.SwapOptionSettlement
-
Swap Option Settlement Type - Cash Settled
- SETTLEMENT_TYPE_PHYSICAL_DELIVERY - Static variable in class org.drip.market.otc.SwapOptionSettlement
-
Swap Option Settlement Type - Physical Delivery
- settlementQuote() - Method in class org.drip.market.otc.SwapOptionSettlement
-
Retrieve the Settlement Quote
- settlementType() - Method in class org.drip.market.otc.SwapOptionSettlement
-
Retrieve the Settlement Type
- settleQuoteStyle() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
-
Retrieve the Settle Quote Style
- settleType() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
-
Retrieve the Settle Type
- setTrackingBenchmark(Benchmark) - Method in class org.drip.portfolioconstruction.core.Account
-
Set the Tracking Benchmark Instance
- setTradeCurrency(String) - Method in class org.drip.product.creator.BondProductBuilder
-
Set The Trade Currency
- setTradeCurrency(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set the Trade Currency
- setTradeStatus(String) - Method in class org.drip.product.creator.BondRefDataBuilder
-
Set Trade Status
- setTransactionCostGroup(TransactionChargeGroup) - Method in class org.drip.portfolioconstruction.core.Account
-
Set the Transaction Cost Group
- setTransitionProbability(TrinomialTreeNodeMetrics, TrinomialTreeNodeMetrics, double) - Method in class org.drip.dynamics.hullwhite.TrinomialTreeSequenceMetrics
-
Set the Transition Probability for the specified Pair of Nodes
- setTreasuryBenchmark(TreasuryBenchmarks) - Method in class org.drip.product.credit.BondComponent
-
- setTreasuryBenchmark(TreasuryBenchmarks) - Method in interface org.drip.product.definition.BondProduct
-
Set the bond treasury benchmark Set
- setTSYQuotes(CaseInsensitiveTreeMap<ProductQuote>) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Set the full set of named Treasury Quote Map
- setTSYQuotes(CaseInsensitiveTreeMap<ProductQuote>) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- setTurns(TurnListDiscountFactor) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
Set the Discount Curve Turns'
- setType(String) - Method in class org.drip.product.govvie.TreasuryFutures
-
Set the Futures Type
- setUnexpectedObject(Object) - Method in exception org.drip.json.parser.ParseException
-
- Setup() - Static method in class org.drip.service.env.InvocationManager
-
Setup the Invocation Manager
- setup(boolean) - Method in class org.drip.service.env.InvocationRecord
-
Retrieve the Setup Time
- setup(String) - Method in class org.drip.spaces.graph.BellmanFordScheme
-
Initialize the Bellman Ford Scheme
- setup(String) - Method in class org.drip.spaces.graph.DijkstraScheme
-
Initialize the Dijsktra Scheme
- setup(SegmentSequenceBuilder, int) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- setup(SegmentResponseValueConstraint, SegmentResponseValueConstraint[], StretchBestFitResponse, BoundarySettings, int) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- setup(double, SegmentResponseValueConstraint[], StretchBestFitResponse, BoundarySettings, int) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- setup(double, double[], StretchBestFitResponse, BoundarySettings, int) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- setup(SegmentSequenceBuilder, int) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Set up (i.e., calibrate) the individual Segments in the Stretch to the Stretch Edge, the Target
Constraints, and the custom segment sequence builder.
- setup(SegmentResponseValueConstraint, SegmentResponseValueConstraint[], StretchBestFitResponse, BoundarySettings, int) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Set up (i.e., calibrate) the individual Segments in the Stretch to the Stretch Left Edge and the Target
Constraints.
- setup(double, SegmentResponseValueConstraint[], StretchBestFitResponse, BoundarySettings, int) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Set up (i.e., calibrate) the individual Segments in the Stretch to the Stretch Left Edge Response and
the Target Constraints.
- setup(double, double[], StretchBestFitResponse, BoundarySettings, int) - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
-
- setup(double, double[], StretchBestFitResponse, BoundarySettings, int) - Method in interface org.drip.spline.stretch.SingleSegmentSequence
-
Set up (i.e., calibrate) the individual Segments in the Stretch to the Response Values corresponding
to each Segment Predictor right Ordinate.
- setupHermite(SegmentPredictorResponseDerivative[], SegmentPredictorResponseDerivative[], SegmentResponseValueConstraint[][], StretchBestFitResponse, int) - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- setupHermite(SegmentPredictorResponseDerivative[], SegmentPredictorResponseDerivative[], SegmentResponseValueConstraint[][], StretchBestFitResponse, int) - Method in interface org.drip.spline.stretch.MultiSegmentSequence
-
Set up (i.e., calibrate) the individual Segment in the Stretch to the Target Segment Edge Values and
Constraints.
- setupRegressors() - Method in interface org.drip.regression.core.RegressorSet
-
Set up the list of Regressors in the set
- setupRegressors() - Method in class org.drip.regression.curve.CreditCurveRegressor
-
- setupRegressors() - Method in class org.drip.regression.curve.DiscountCurveRegressor
-
- setupRegressors() - Method in class org.drip.regression.curve.ZeroCurveRegressor
-
- setupRegressors() - Method in class org.drip.regression.curvejacobian.CashJacobianRegressorSet
-
- setupRegressors() - Method in class org.drip.regression.curvejacobian.DiscountCurveJacobianRegressorSet
-
- setupRegressors() - Method in class org.drip.regression.curvejacobian.EDFJacobianRegressorSet
-
- setupRegressors() - Method in class org.drip.regression.curvejacobian.IRSJacobianRegressorSet
-
- setupRegressors() - Method in class org.drip.regression.fixedpointfinder.BracketingRegressorSet
-
- setupRegressors() - Method in class org.drip.regression.fixedpointfinder.CompoundBracketingRegressorSet
-
- setupRegressors() - Method in class org.drip.regression.fixedpointfinder.OpenRegressorSet
-
- setupRegressors() - Method in class org.drip.regression.spline.BasisSplineRegressorSet
-
- setupSnap() - Method in class org.drip.service.env.InvocationRecord
-
Retrieve the Setup Snapshot
- setVariate(double) - Method in class org.drip.function.r1tor1solver.IteratedVariate
-
Set the variate
- setVariateLeft(double) - Method in class org.drip.function.r1tor1solver.IteratedBracket
-
Set the left variate
- setVariateRight(double) - Method in class org.drip.function.r1tor1solver.IteratedBracket
-
Set the right variate
- setVisited(boolean) - Method in class org.drip.spaces.graph.ShortestPathVertex
-
Set the Visitation Status of the Vertex
- setWeightFromSource(double) - Method in class org.drip.spaces.graph.ShortestPathVertex
-
Set the Weight From Source
- setWengert(int, double) - Method in class org.drip.quant.calculus.WengertJacobian
-
Set the Value for the Wengert variable
- setYield(double) - Method in class org.drip.product.calib.TreasuryBondQuoteSet
-
Set the Yield
- setYieldMarketFactor(double, double, double) - Method in class org.drip.historical.attribution.BondMarketSnap
-
Set the Yield Level and Position Sensitivity
- setYieldMarketFactor(double, double, double) - Method in class org.drip.historical.attribution.TreasuryFuturesMarketSnap
-
Set the Yield Level and Position Sensitivity
- sfva() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
-
Retrieve the Expected SFVA
- sfva() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
-
Retrieve the Univariate Thin Statistics for SFVA
- SGBBenchmarkAttribution - Class in org.drip.sample.treasurypnl
-
SGBBenchmarkAttribution demonstrates the Computation of the PnL Time Series Metrics for the SGB Benchmark
Bond Series.
- SGBBenchmarkAttribution() - Constructor for class org.drip.sample.treasurypnl.SGBBenchmarkAttribution
-
- SGBReconstitutor - Class in org.drip.sample.treasuryfeed
-
SGBReconstitutor demonstrates the Cleansing and Re-constitution of the SGB Yield Marks obtained from
Historical Yield Curve Prints.
- SGBReconstitutor() - Constructor for class org.drip.sample.treasuryfeed.SGBReconstitutor
-
- SGD - Class in org.drip.template.irs
-
SGD contains a Templated Pricing of the OTC Fix-Float SGD IRS Instrument.
- SGD() - Constructor for class org.drip.template.irs.SGD
-
- SGDHoliday - Class in org.drip.analytics.holset
-
- SGDHoliday() - Constructor for class org.drip.analytics.holset.SGDHoliday
-
- SGDIRSAttribution - Class in org.drip.sample.fixfloatpnl
-
SGDIRSAttribution generates the Historical PnL Attribution for SGD IRS.
- SGDIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.SGDIRSAttribution
-
- SGDShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
-
SGDShapePreserving1YStart Generates the Historical SGD Shape Preserving Funding Curve Native Compounded
Forward Rate starting at 1Y Tenor.
- SGDShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.SGDShapePreserving1YStart
-
- SGDShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
-
SGDShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the
SGD Input Marks.
- SGDShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.SGDShapePreservingReconstitutor
-
- ShadowScopingProjection(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
-
Compute the Shadow of the Scoping on Projection
- ShadowScopingProjectionTranspose(ScopingProjectionVariateDistribution, String) - Static method in class org.drip.measure.bayesian.TheilMixedEstimationModel
-
Compute the Shadow of the Scoping on Projection Transpose
- Shahjahanpur - Class in org.drip.sample.loan
-
Shahjahanpur demonstrates the Analytics Calculation/Reconciliation for the Loan Shahjahanpur.
- Shahjahanpur() - Constructor for class org.drip.sample.loan.Shahjahanpur
-
- Shanghai - Class in org.drip.sample.bondeos
-
Shanghai demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Shanghai.
- Shanghai() - Constructor for class org.drip.sample.bondeos.Shanghai
-
- Shantou - Class in org.drip.sample.bondeos
-
Shantou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Shantou.
- Shantou() - Constructor for class org.drip.sample.bondeos.Shantou
-
- Shaoxing - Class in org.drip.sample.bondeos
-
Shaoxing demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Shaoxing.
- Shaoxing() - Constructor for class org.drip.sample.bondeos.Shaoxing
-
- Shaoyang - Class in org.drip.sample.bondeos
-
Shaoyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Shaoyang.
- Shaoyang() - Constructor for class org.drip.sample.bondeos.Shaoyang
-
- SHAPE_CONTROL_RATIONAL_EXPONENTIAL - Static variable in class org.drip.spline.bspline.BasisHatShapeControl
-
Cubic Polynomial with Rational Exponential Shape Controller
- SHAPE_CONTROL_RATIONAL_LINEAR - Static variable in class org.drip.spline.bspline.BasisHatShapeControl
-
Cubic Polynomial with Rational Linear Shape Controller
- SHAPE_CONTROL_RATIONAL_QUADRATIC - Static variable in class org.drip.spline.bspline.BasisHatShapeControl
-
Cubic Polynomial with Rational Quadratic Shape Controller
- SHAPE_PRESERVING - Static variable in class org.drip.service.template.LatentMarketStateBuilder
-
Shape Preserving Latent State
- shapeControl() - Method in class org.drip.spline.basis.BSplineSequenceParams
-
Retrieve the Shape Control Type
- shapeController() - Method in class org.drip.spline.params.ResponseScalingShapeControl
-
Retrieve the Shape Control Univariate Function
- shapeController() - Method in class org.drip.spline.params.SegmentCustomBuilderControl
-
Retrieve the Segment Shape Controller
- shapeControlType() - Method in class org.drip.spline.bspline.BasisHatShapeControl
-
Retrieve the Type of the Shape Controller
- shapedBasisFunctionDerivative(double, int, int) - Method in interface org.drip.spline.segment.BasisEvaluator
-
Compute the Ordered Derivative of the Response Value off of the indexed Basis Function at the
specified Predictor Ordinate
- shapedBasisFunctionDerivative(double, int, int) - Method in class org.drip.spline.segment.SegmentBasisEvaluator
-
- shapedBasisFunctionResponse(double, int) - Method in interface org.drip.spline.segment.BasisEvaluator
-
Compute the Response Value of the indexed Basis Function at the specified Predictor Ordinate
- shapedBasisFunctionResponse(double, int) - Method in class org.drip.spline.segment.SegmentBasisEvaluator
-
- ShapeOvernightZeroLocalSmooth - Class in org.drip.sample.overnight
-
ShapeOvernightZeroLocalSmooth demonstrates the usage of different local smoothing techniques involved in
the Overnight curve creation.
- ShapeOvernightZeroLocalSmooth() - Constructor for class org.drip.sample.overnight.ShapeOvernightZeroLocalSmooth
-
- ShapePreservingDFBuild(String, LinearLatentStateCalibrator, LatentStateStretchSpec[], ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
Build the Shape Preserving Discount Curve using the Custom Parameters
- ShapePreservingForwardCurve(JulianDate, ForwardLabel, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, MergedDiscountForwardCurve, ForwardCurve) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Instance of the Shape Preserving Forward Curve off of Exchange/OTC Market Instruments
- ShapePreservingForwardCurve(LinearLatentStateCalibrator, LatentStateStretchSpec[], ForwardLabel, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Static method in class org.drip.state.creator.ScenarioForwardCurveBuilder
-
Build the Shape Preserving Forward Curve using the Custom Parameters
- ShapePreservingForwardCurve(String, ForwardLabel, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, String, FunctionSetBuilderParams, CalibratableComponent[], String, double[], double) - Static method in class org.drip.state.creator.ScenarioForwardCurveBuilder
-
Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set
builder parameters.
- ShapePreservingFundingCurve(JulianDate, String, String[], double[], String, double[], String, String[], double[], String) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Shape Preserving Funding Curve Based off of the Input Exchange/OTC Market Instruments
- ShapePreservingFXCurve(JulianDate, CurrencyPair, String[], double[], String, double) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Shape Preserving FX Curve from the FX Forward Instruments
- ShapePreservingFXCurve(LinearLatentStateCalibrator, LatentStateStretchSpec[], CurrencyPair, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Static method in class org.drip.state.creator.ScenarioFXCurveBuilder
-
Build the Shape Preserving FX Curve using the Custom Parameters
- ShapePreservingFXCurve(String, CurrencyPair, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, CalibratableComponent[], String, double[], double, SegmentCustomBuilderControl) - Static method in class org.drip.state.creator.ScenarioFXCurveBuilder
-
Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set
builder parameters.
- ShapePreservingFXCurve(String, CurrencyPair, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, String, FunctionSetBuilderParams, CalibratableComponent[], String, double[], double) - Static method in class org.drip.state.creator.ScenarioFXCurveBuilder
-
Construct an instance of the Shape Preserver of the desired basis type, using the specified basis set
builder parameters.
- ShapePreservingGovvieCurve(String, JulianDate, JulianDate[], JulianDate[], double[], double[], String) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Shape Preserving Govvie Curve from the Treasury Instruments
- ShapePreservingGovvieCurve(LinearLatentStateCalibrator, LatentStateStretchSpec[], String, String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
-
Build the Shape Preserving Govvie Curve using the Custom Parameters
- ShapePreservingGovvieCurve(String, String, String, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, String, FunctionSetBuilderParams, SegmentInelasticDesignControl, CalibratableComponent[], String, double[]) - Static method in class org.drip.state.creator.ScenarioGovvieCurveBuilder
-
Construct an Instance of the Shape Preserver of the desired Basis Spline Type, using the specified
Basis Spline Set Builder Parameters.
- shapePreservingLLSC() - Method in class org.drip.analytics.input.LatentStateShapePreservingCCIS
-
Retrieve the Shape Preserving Linear Latent State Calibrator
- ShapePreservingOvernightCurve(JulianDate, String, String[], double[], String, String[], double[], String, String[], String[], double[], String, String[], double[], String) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Shape Preserving Overnight Curve from Overnight Exchange/OTC Market Instruments
- ShapePreservingOvernightZeroSmooth - Class in org.drip.sample.overnight
-
ShapePreservingOvernightZeroSmooth demonstrates the usage of different shape preserving and smoothing
techniques involved in the Overnight curve creation.
- ShapePreservingOvernightZeroSmooth() - Constructor for class org.drip.sample.overnight.ShapePreservingOvernightZeroSmooth
-
- ShapePreservingRegularization(String, String) - Static method in class org.drip.feed.transformer.FundingFixFloatMarksReconstitutor
-
Re-constitute the Horizon Quote Marks Using a Shape Preserving Re-constructor
- ShapePreservingRegularization(String, String) - Static method in class org.drip.feed.transformer.OvernightIndexMarksReconstitutor
-
Re-constitute the Horizon Quote Marks Using a Shape Preserving Re-constructor
- ShapePreservingZeroSmooth - Class in org.drip.sample.funding
-
ShapePreservingZeroSmooth demonstrates the usage of different shape preserving and smoothing techniques
involved in the funding curve creation.
- ShapePreservingZeroSmooth() - Constructor for class org.drip.sample.funding.ShapePreservingZeroSmooth
-
- ShapeZeroLocalSmooth - Class in org.drip.sample.funding
-
ShapeZeroLocalSmooth demonstrates the usage of different local smoothing techniques involved in the
funding curve creation.
- ShapeZeroLocalSmooth() - Constructor for class org.drip.sample.funding.ShapeZeroLocalSmooth
-
- sharpeRatio() - Method in class org.drip.portfolioconstruction.asset.PortfolioMetrics
-
Retrieve the Portfolio Sharpe Ratio
- Shenyang - Class in org.drip.sample.bondeos
-
Shenyang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Shenyang.
- Shenyang() - Constructor for class org.drip.sample.bondeos.Shenyang
-
- Shenzhen - Class in org.drip.sample.bondeos
-
Shenzhen demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Shenzhen.
- Shenzhen() - Constructor for class org.drip.sample.bondeos.Shenzhen
-
- shiftedLIBORForwardIncrement(int, int, int, double, int) - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
-
Compute the Shifted LIBOR Forward Rate Increment given the Spot Date, the View Date, the Target Date,
the Current Shifted LIBOR Forward Rate, and the View Time Increment
- shiftedLIBORForwardRate() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
-
Retrieve the Shifted LIBOR Forward Rate
- shiftedLIBORForwardRateIncrement() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
-
Retrieve the Shifted LIBOR Forward Rate Increment
- shiftEnd(double) - Method in class org.drip.state.representation.LatentStateMergeSubStretch
-
Shift/Adjust the End Date
- shiftManifestMeasure(int, String, double) - Method in class org.drip.analytics.definition.MarketSurface
-
- shiftManifestMeasure(int, String, double) - Method in class org.drip.analytics.definition.NodeStructure
-
- shiftManifestMeasure(int, String, double) - Method in class org.drip.state.basis.BasisCurve
-
- shiftManifestMeasure(int, String, double) - Method in class org.drip.state.curve.DerivedZeroRate
-
- shiftManifestMeasure(int, String, double) - Method in class org.drip.state.curve.DeterministicCollateralChoiceDiscountCurve
-
- shiftManifestMeasure(int, String, double) - Method in class org.drip.state.curve.DiscountFactorDiscountCurve
-
- shiftManifestMeasure(int, String, double) - Method in class org.drip.state.curve.ForeignCollateralizedDiscountCurve
-
- shiftManifestMeasure(int, String, double) - Method in class org.drip.state.curve.ZeroRateDiscountCurve
-
- shiftManifestMeasure(int, String, double) - Method in class org.drip.state.forward.ForwardCurve
-
- shiftManifestMeasure(int, String, double) - Method in class org.drip.state.fx.FXCurve
-
- shiftManifestMeasure(int, String, double) - Method in class org.drip.state.govvie.GovvieCurve
-
- shiftManifestMeasure(int, String, double) - Method in class org.drip.state.nonlinear.FlatForwardDiscountCurve
-
- shiftManifestMeasure(int, String, double) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
-
- shiftManifestMeasure(int, String, double) - Method in class org.drip.state.repo.RepoCurve
-
- shiftManifestMeasure(int, String, double) - Method in interface org.drip.state.representation.LatentState
-
Create a LatentState Instance from the Shift of the Specified Manifest Measure
- ShiftRegisterDouble - Class in org.drip.sample.rng
-
ShiftRegisterDouble demonstrates the Construction and Invocation of Shift Register Generator based Random
Number Double's.
- ShiftRegisterDouble() - Constructor for class org.drip.sample.rng.ShiftRegisterDouble
-
- ShiftRegisterGenerator - Class in org.drip.measure.crng
-
ShiftRegisterGenerator implements a RNG based on the Shift Register Generation Scheme.
- ShiftRegisterGenerator(boolean[], boolean[]) - Constructor for class org.drip.measure.crng.ShiftRegisterGenerator
-
ShiftRegisterGenerator Constructor
- ShiftRegisterLong - Class in org.drip.sample.rng
-
ShiftRegisterLong demonstrates the Construction and Invocation of Shift Register Generator based Random
Number Long's.
- ShiftRegisterLong() - Constructor for class org.drip.sample.rng.ShiftRegisterLong
-
- shiftStart(double) - Method in class org.drip.state.representation.LatentStateMergeSubStretch
-
Shift/Adjust the Start Date
- ShijiaZhuang - Class in org.drip.sample.bondeos
-
ShijiaZhuang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
ShijiaZhuang.
- ShijiaZhuang() - Constructor for class org.drip.sample.bondeos.ShijiaZhuang
-
- Shivamogga - Class in org.drip.sample.loan
-
Shivamogga demonstrates the Analytics Calculation/Reconciliation for the Loan Shivamogga.
- Shivamogga() - Constructor for class org.drip.sample.loan.Shivamogga
-
- SHORT_STUB - Static variable in class org.drip.analytics.support.CompositePeriodBuilder
-
Period Set Generation Customization - Short Stub (i.e., No adjustment on either end)
- shortestMaturity() - Method in class org.drip.market.definition.IBORIndex
-
Retrieve the Index Shortest Maturity
- ShortestPathFirstWengert - Class in org.drip.spaces.graph
-
ShortestPathFirstWengert maintains the Intermediate Wengert Objects generated during a Single Sequence of
the Scheme Run.
- ShortestPathFirstWengert(ShortestPathTree) - Constructor for class org.drip.spaces.graph.ShortestPathFirstWengert
-
ShortestPathFirstWengert Constructor
- ShortestPathTree - Class in org.drip.spaces.graph
-
ShortestPathTree holds the Map of Vertex Peripheries by Weight and Vertex Name.
- ShortestPathTree() - Constructor for class org.drip.spaces.graph.ShortestPathTree
-
Empty ShortestPathTree Constructor
- shortestPathVertex(String) - Method in class org.drip.spaces.graph.ShortestPathTree
-
Retrieve the Vertex Periphery by Name
- ShortestPathVertex - Class in org.drip.spaces.graph
-
ShortestPathVertex holds the given Vertex's Previous Traversal Vertex and the Weight from the Source.
- ShortestPathVertex(String) - Constructor for class org.drip.spaces.graph.ShortestPathVertex
-
ShortestPathVertex Constructor
- shortfallExpectation() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
-
Generate the Expected Short-fall
- ShortfallIncrement - Class in org.drip.execution.discrete
-
ShortfallIncrement generates the Realized Incremental Stochastic Trading/Execution Short-fall and the
corresponding Implementation Short-fall corresponding to the Trajectory of a Holdings Block that is to be
executed over Time.
- ShortfallIncrementDistribution - Class in org.drip.execution.discrete
-
ShortfallIncrementDistribution holds the Parameters of the R^1 Normal Short fall Increment Distribution.
- ShortfallIncrementDistribution(double, double, double, double, double, double) - Constructor for class org.drip.execution.discrete.ShortfallIncrementDistribution
-
ShortfallIncrementDistribution Constructor
- shortfallVariance() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
-
Generate the Short-fall Variance
- ShortFixedAggressiveTimeline - Class in org.drip.sample.mporstream
-
ShortFixedAggressiveTimeline displays the MPoR-related Exposure Metrics Suite for the given Short Fixed
Coupon Stream on a Daily Grid using the "Aggressive" CSA Timeline Scheme of Andersen, Pykhtin, and Sokol
(2017).
- ShortFixedAggressiveTimeline() - Constructor for class org.drip.sample.mporstream.ShortFixedAggressiveTimeline
-
- ShortFixedClassicalMinusTimeline - Class in org.drip.sample.mporstream
-
ShortFixedClassicalMinusTimeline displays the MPoR-related Exposure Metrics Suite for the given Short
Fixed Coupon Stream on a Daily Grid using the "Classical-" CSA Timeline Scheme of Andersen, Pykhtin, and
Sokol (2017).
- ShortFixedClassicalMinusTimeline() - Constructor for class org.drip.sample.mporstream.ShortFixedClassicalMinusTimeline
-
- ShortFixedClassicalPlusTimeline - Class in org.drip.sample.mporstream
-
ShortFixedClassicalPlusTimeline displays the MPoR-related Exposure Metrics Suite for the given Short Fixed
Coupon Stream on a Daily Grid using the "Classical+" CSA Timeline Scheme of Andersen, Pykhtin, and Sokol
(2017).
- ShortFixedClassicalPlusTimeline() - Constructor for class org.drip.sample.mporstream.ShortFixedClassicalPlusTimeline
-
- ShortFixedConservativeTimeline - Class in org.drip.sample.mporstream
-
ShortFixedConservativeTimeline displays the MPoR-related Exposure Metrics Suite for the given Short Fixed
Coupon Stream on a Daily Grid using the "Conservative" CSA Timeline Scheme of Andersen, Pykhtin, and
Sokol (2017).
- ShortFixedConservativeTimeline() - Constructor for class org.drip.sample.mporstream.ShortFixedConservativeTimeline
-
- ShortFloatAggressiveTimeline - Class in org.drip.sample.mporstream
-
ShortFloatAggressiveTimeline displays the MPoR-related Exposure Metrics Suite for the given Short Float
Coupon Stream on a Daily Grid using the "Aggressive" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
- ShortFloatAggressiveTimeline() - Constructor for class org.drip.sample.mporstream.ShortFloatAggressiveTimeline
-
- ShortFloatClassicalMinusTimeline - Class in org.drip.sample.mporstream
-
ShortFloatClassicalMinusTimeline displays the MPoR-related Exposure Metrics Suite for the given Short
Float Coupon Stream on a Daily Grid using the "Classical-" CSA Timeline of Andersen, Pykhtin, and Sokol
(2017).
- ShortFloatClassicalMinusTimeline() - Constructor for class org.drip.sample.mporstream.ShortFloatClassicalMinusTimeline
-
- ShortFloatClassicalPlusTimeline - Class in org.drip.sample.mporstream
-
ShortFloatClassicalPlusTimeline displays the MPoR-related Exposure Metrics Suite for the given Short Float
Coupon Stream on a Daily Grid using the "Classical+" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
- ShortFloatClassicalPlusTimeline() - Constructor for class org.drip.sample.mporstream.ShortFloatClassicalPlusTimeline
-
- ShortFloatConservativeTimeline - Class in org.drip.sample.mporstream
-
ShortFloatConservativeTimeline displays the MPoR-related Exposure Metrics Suite for the given Short Float
Coupon Stream on a Daily Grid using the "Conservative" CSA Timeline of Andersen, Pykhtin, and Sokol
(2017).
- ShortFloatConservativeTimeline() - Constructor for class org.drip.sample.mporstream.ShortFloatConservativeTimeline
-
- ShortForwardRateUpdate - Class in org.drip.dynamics.hjm
-
ShortForwardRateUpdate contains the Instantaneous Snapshot of the Evolving Discount Latent State
Quantification Metrics.
- shortRate() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
-
Retrieve the Short Rate
- shortRate() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics
-
Retrieve the Node's Short Rate
- ShortRateDynamics - Class in org.drip.sample.hullwhite
-
ShortRateDynamics demonstrates the Construction and Usage of the Hull-White 1F Model Dynamics for the
Evolution of the Short Rate.
- ShortRateDynamics() - Constructor for class org.drip.sample.hullwhite.ShortRateDynamics
-
- shortRateIncrement(int, int, int) - Method in class org.drip.dynamics.hjm.MultiFactorStateEvolver
-
Compute the Short Rate Increment given the Spot Date, the View Date, and the View Time Increment
- shortRateIncrement() - Method in class org.drip.dynamics.hjm.ShortForwardRateUpdate
-
Retrieve the Short Rate Increment
- shortRateIncrement() - Method in class org.drip.dynamics.hullwhite.ShortRateUpdate
-
Retrieve the Short Rate Increment
- shortRateIncrement(int, int, double, int) - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
-
Calculate the Short Rate Increment
- ShortRateProcess - Class in org.drip.dynamics.lmm
-
ShortRateProcess implements the Short Rate Process defined in the LIBOR Market Model.
- ShortRateProcess(int, R1R1ToR1) - Constructor for class org.drip.dynamics.lmm.ShortRateProcess
-
ShortRateProcess Constructor
- ShortRateUpdate - Class in org.drip.dynamics.hullwhite
-
ShortRateUpdate records the Metrics associated with the Evolution of the Instantaneous Short Rate from a
Starting to the Terminal Date.
- ShortSellChargeTerm - Class in org.drip.portfolioconstruction.objective
-
ShortSellChargeTerm implements the Objective Term that optimizes the Charge incurred by Short Sell Trades
in the Target Portfolio from the Starting Allocation.
- ShortSellChargeTerm(String, double[], TransactionCharge[]) - Constructor for class org.drip.portfolioconstruction.objective.ShortSellChargeTerm
-
ShortSellChargeTerm Conastructor
- ShortTenorSwap - Class in org.drip.sample.fixfloat
-
ShortTenorSwap demonstrates the Construction and Valuation of In-Advance and In-Arrears Short Tenor Swap.
- ShortTenorSwap() - Constructor for class org.drip.sample.fixfloat.ShortTenorSwap
-
- shortTermDays() - Method in class org.drip.portfolioconstruction.core.TaxAccountingScheme
-
Retrieve the Short Term Days
- ShortTermFutures - Class in org.drip.market.exchange
-
ShortTermFutures contains the details of the exchange-traded Short-Term Futures Contracts.
- ShortTermFutures(String[], double) - Constructor for class org.drip.market.exchange.ShortTermFutures
-
ShortTermFutures constructor
- ShortTermFuturesContainer - Class in org.drip.market.exchange
-
ShortTermFuturesContainer holds the short term futures contracts.
- ShortTermFuturesContainer() - Constructor for class org.drip.market.exchange.ShortTermFuturesContainer
-
- ShortTermFuturesDefinition - Class in org.drip.sample.forwardratefutures
-
ShortTermFuturesDefinition illustrates the Construction and Usage of the Short Term Futures Exchange
Details.
- ShortTermFuturesDefinition() - Constructor for class org.drip.sample.forwardratefutures.ShortTermFuturesDefinition
-
- shortTermTaxRate() - Method in class org.drip.portfolioconstruction.core.TaxAccountingScheme
-
Retrieve the Short Term Tax Rate
- ShortTiltTerm - Class in org.drip.portfolioconstruction.objective
-
ShortTiltTerm holds the Details of Short Tilt Unit Objective Term.
- ShortTiltTerm(String, double[], double[], double[]) - Constructor for class org.drip.portfolioconstruction.objective.ShortTiltTerm
-
ShortTiltTerm Constructor
- Shouguang - Class in org.drip.sample.bondeos
-
Shouguang demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Shouguang.
- Shouguang() - Constructor for class org.drip.sample.bondeos.Shouguang
-
- showPeriods() - Method in class org.drip.product.credit.BondComponent
-
- showPeriods() - Method in class org.drip.product.definition.Bond
-
Display all the coupon periods onto stdout
- sigma() - Method in class org.drip.dynamics.hjm.G2PlusPlus
-
Retrieve Sigma
- sigma() - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
-
Retrieve Sigma
- sigma() - Method in class org.drip.param.pricer.HestonOptionPricerParams
-
Retrieve Sigma
- Siliguri - Class in org.drip.sample.bondmetrics
-
Siliguri demonstrates the Analytics Calculation/Reconciliation for the Bond Siliguri.
- Siliguri() - Constructor for class org.drip.sample.bondmetrics.Siliguri
-
- SimpleBalanceSheet - Class in org.drip.xva.definition
-
SimpleBalanceSheet implements a Simple Dealer Balance Sheet Model as specified in Burgard and Kjaer
(2012).
- SimpleBalanceSheet(double, double) - Constructor for class org.drip.xva.definition.SimpleBalanceSheet
-
SimpleBalanceSheet Constructor
- Simpson(R1ToR1, double, double) - Static method in class org.drip.quant.calculus.R1ToR1Integrator
-
Compute the function's integral within the specified limits using the Simpson rule.
- Simpson38(R1ToR1, double, double) - Static method in class org.drip.quant.calculus.R1ToR1Integrator
-
Compute the function's integral within the specified limits using the Simpson 3/8 rule.
- simulate(List<LatentStateLabel>, MarketVertex, CorrelatedPathVertexDimension) - Method in class org.drip.xva.dynamics.PathSimulator
-
Simulate the Realized State/Entity Values and their Aggregates over the Paths
- simulatePrincipalMetric(int, int, int, int, LSQMCurveUpdate, int) - Method in interface org.drip.dynamics.evolution.CurveStateEvolver
-
Simulate the Principal Metric from the Start to the End Date
- simulatePrincipalMetric(int, int, int, int, LSQMCurveUpdate, int) - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
-
- simulateTerminalLatentState(int, int, int, int, LSQMCurveUpdate, int) - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
-
Construct an Array of Forward Curves that Result from the Simulation
- SINGLE_CURRENCY_BASIS_SWAP_SPREAD_INFLATION_CORRELATION - Static variable in class org.drip.simm.rates.IRSystemics20
-
Single Currency Basis Swap Spread Inflation Correlation
- SINGLE_CURRENCY_BASIS_SWAP_SPREAD_INFLATION_CORRELATION - Static variable in class org.drip.simm.rates.IRSystemics21
-
Single Currency Basis Swap Spread Inflation Correlation
- SINGLE_CURRENCY_CROSS_CURVE_CORRELATION - Static variable in class org.drip.simm.rates.IRSystemics20
-
Single Currency Cross-Curve Correlation
- SINGLE_CURRENCY_CROSS_CURVE_CORRELATION - Static variable in class org.drip.simm.rates.IRSystemics21
-
Single Currency Cross-Curve Correlation
- SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_CORRELATION - Static variable in class org.drip.simm.rates.IRSystemics20
-
Single Currency Curve Basis Swap Spread Correlation
- SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_CORRELATION - Static variable in class org.drip.simm.rates.IRSystemics21
-
Single Currency Curve Basis Swap Spread Correlation
- SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_RISK_WEIGHT - Static variable in class org.drip.simm.rates.IRSystemics20
-
Single Currency Single Curve Basis Swap Spread
- SINGLE_CURRENCY_CURVE_BASIS_SWAP_SPREAD_RISK_WEIGHT - Static variable in class org.drip.simm.rates.IRSystemics21
-
Single Currency Single Curve Basis Swap Spread
- SINGLE_CURRENCY_CURVE_INFLATION_CORRELATION - Static variable in class org.drip.simm.rates.IRSystemics20
-
Single Currency Curve Inflation Correlation
- SINGLE_CURRENCY_CURVE_INFLATION_CORRELATION - Static variable in class org.drip.simm.rates.IRSystemics21
-
Single Currency Curve Inflation Correlation
- SINGLE_CURRENCY_CURVE_INFLATION_RISK_WEIGHT - Static variable in class org.drip.simm.rates.IRSystemics20
-
Same Currency Curve Inflation Rate Risk Weight
- SINGLE_CURRENCY_CURVE_INFLATION_RISK_WEIGHT - Static variable in class org.drip.simm.rates.IRSystemics21
-
Same Currency Curve Inflation Rate Risk Weight
- SINGLE_CURRENCY_CURVE_VOLATILITY_INFLATION_VOLATILITY_CORRELATION - Static variable in class org.drip.simm.rates.IRSystemics20
-
Single Currency Curve Volatility Inflation Volatility Correlation
- SINGLE_CURRENCY_CURVE_VOLATILITY_INFLATION_VOLATILITY_CORRELATION - Static variable in class org.drip.simm.rates.IRSystemics21
-
Single Currency Curve Volatility Inflation Volatility Correlation
- SingleCurveTenorCorrelation() - Static method in class org.drip.simm.rates.IRSettingsContainer20
-
Retrieve the Interest Rate Single Curve Tenor Correlation Instance
- SingleCurveTenorCorrelation() - Static method in class org.drip.simm.rates.IRSettingsContainer21
-
Retrieve the Interest Rate Single Curve Tenor Correlation Instance
- SingleFactorStateEvolver - Class in org.drip.dynamics.hullwhite
-
SingleFactorStateEvolver provides the Hull-White One-Factor Gaussian HJM Short Rate Dynamics
Implementation.
- SingleFactorStateEvolver(FundingLabel, double, double, R1ToR1, UnivariateSequenceGenerator) - Constructor for class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
-
SingleFactorStateEvolver Constructor
- SingleInterval(OrderSpecification) - Static method in class org.drip.execution.strategy.DiscreteTradingTrajectoryControl
-
Create a Single Interval DiscreteTradingTrajectoryControl Instance from the Order Specification
- SingleJumpEvaluator - Class in org.drip.measure.dynamics
-
SingleJumpEvaluator implements the Single Point Jump Event Indication Evaluator that guides the One Factor
Jump Random Process Variable Evolution.
- SingleJumpEvaluator(LocalEvaluator, LocalEvaluator) - Constructor for class org.drip.measure.dynamics.SingleJumpEvaluator
-
SingleJumpEvaluator Constructor
- singleNodeCalib() - Method in class org.drip.param.definition.CreditManifestMeasureTweak
-
Single Node Calibration Flag
- SinglePeriodStreamDecompose(Stream, int) - Static method in class org.drip.analytics.support.ForwardDecompositionUtil
-
Decompose the Stream into an Array of Single Forward Period Floating Streams
- SingleRandomSequenceBound - Class in org.drip.sample.sequence
-
SingleRandomSequenceBound demonstrates the Computation of the Probabilistic Bounds for a Sample Random
Sequence.
- SingleRandomSequenceBound() - Constructor for class org.drip.sample.sequence.SingleRandomSequenceBound
-
- SingleSegmentLagrangePolynomial - Class in org.drip.spline.stretch
-
SingleSegmentLagrangePolynomial implements the SingleSegmentSequence Stretch interface using the Lagrange
Polynomial Estimator.
- SingleSegmentLagrangePolynomial(double[]) - Constructor for class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
-
SingleSegmentLagrangePolynomial constructor
- SingleSegmentSequence - Interface in org.drip.spline.stretch
-
SingleSegmentSequence is the interface that exposes functionality that spans multiple segments.
- SingleSequenceAgnosticMetrics - Class in org.drip.sequence.metrics
-
SingleSequenceAgnosticMetrics contains the Sample Distribution Metrics and Agnostic Bounds related to the
specified Sequence.
- SingleSequenceAgnosticMetrics(double[], R1) - Constructor for class org.drip.sequence.metrics.SingleSequenceAgnosticMetrics
-
Build out the Sequence and their Metrics
- SingleStreamComponent - Class in org.drip.product.rates
-
SingleStreamComponent implements fixed income component that is based off of a single stream.
- SingleStreamComponent(String, Stream, CashSettleParams) - Constructor for class org.drip.product.rates.SingleStreamComponent
-
SingleStreamComponent constructor
- SingleStreamComponentBuilder - Class in org.drip.product.creator
-
IRFutureBuilder contains the suite of helper functions for creating the Futures product and product pack
from the parameters/codes/byte array streams.
- SingleStreamComponentBuilder() - Constructor for class org.drip.product.creator.SingleStreamComponentBuilder
-
- SingleStreamOptionBuilder - Class in org.drip.product.creator
-
SingleStreamOptionBuilder contains the suite of helper functions for creating the Options Product Instance
off of a single stream underlying.
- SingleStreamOptionBuilder() - Constructor for class org.drip.product.creator.SingleStreamOptionBuilder
-
- SingleStretchCurveBuilder - Class in org.drip.sample.overnight
-
SingleStretchCurveBuilder contains a sample of the construction and usage of the Overnight Curve built
using the Overnight Indexed Swap Product Instruments inside a single stretch.
- SingleStretchCurveBuilder() - Constructor for class org.drip.sample.overnight.SingleStretchCurveBuilder
-
- SingleStretchFundingCurve(JulianDate, String, String[], double[], String, double[], String, String[], double[], String, SegmentCustomBuilderControl) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments Using
the specified Spline
- SingleStretchFundingCurve(JulianDate, String, String[], double[], String, double[], String, String[], double[], String, int) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments
- SingleStretchShapePreservingFundingCurve(JulianDate, String, String[], double[], String, double[], String, String[], double[], String) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Shape Preserving Single Stretch Funding Curve Based off of the Input Exchange/OTC Market
Instruments
- SingleStretchSmoothFundingCurve(JulianDate, String, String[], double[], String, double[], String, String[], double[], String) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Smooth Single Stretch Funding Curve Based off of the Input Exchange/OTC Market Instruments
- singleTrajectory(MarketVertex, LatentStateWeiner) - Method in class org.drip.xva.dynamics.PathSimulator
-
Generate a Single Trajectory from the Specified Initial Market Vertex and the Evolver Sequence
- SinglyLinkedNode - Class in org.drip.spaces.graph
-
SinglyLinkedNode implements the Node behind a Singly Linked List.
- SinglyLinkedNode(double, SinglyLinkedNode) - Constructor for class org.drip.spaces.graph.SinglyLinkedNode
-
SinglyLinkedNode Constructor
- SINGULAR_URGENCY_THRESHOLD - Static variable in class org.drip.execution.hjb.NonDimensionalCostEvolver
-
- SINH - Static variable in class org.drip.function.r1tor1.HyperbolicTension
-
Hyperbolic Tension Function Type - sinh
- sinkable() - Method in class org.drip.product.credit.BondComponent
-
- sinkable() - Method in class org.drip.product.definition.Bond
-
Indicate if the bond is sinkable
- SITHoliday - Class in org.drip.analytics.holset
-
- SITHoliday() - Constructor for class org.drip.analytics.holset.SITHoliday
-
- size() - Method in class org.drip.execution.strategy.OrderSpecification
-
Retrieve the Order Size
- size() - Method in class org.drip.feed.loader.CSVGrid
-
Retrieve the Size of the Sample Set
- size() - Method in class org.drip.json.simple.ItemList
-
- size(String) - Method in class org.drip.param.definition.Quote
-
Get the quote size for the given side
- size(String) - Method in class org.drip.param.quote.MultiSided
-
- size() - Method in class org.drip.portfolioconstruction.constraint.LimitHoldingsTerm
-
Retrieve the Size of the Holdings
- size() - Method in class org.drip.quant.linearalgebra.MatrixComplementTransform
-
Retrieve the Dimension Length
- size() - Method in class org.drip.simm.equity.EQBucket
-
Retrieve the Bucket Size
- size() - Method in class org.drip.spaces.iterator.SequenceIndexIterator
-
Retrieve the Size of the Iterator
- SizedVector - Class in org.drip.function.definition
-
SizedVector holds the R^d Unit Direction Vector along with its Magnitude.
- SizedVector(UnitVector, double) - Constructor for class org.drip.function.definition.SizedVector
-
SizedVector Constructor
- sizeToSegment(LatentStateInelastic) - Method in class org.drip.spline.params.StretchBestFitResponse
-
Generate the Segment Local Best Fit Weighted Response contained within the specified Segment
- SkipAhead(RandomNumberGenerator, int, int) - Static method in class org.drip.measure.crng.MultiStreamGenerator
-
Generate Multiple Independent Streams using the Skip Ahead Technique
- SkipAhead(int, int) - Static method in class org.drip.measure.crng.MultiStreamGenerator
-
Generate Multiple Independent Streams using the Skip Ahead Technique from the Default Random Number
Generator
- SKKHoliday - Class in org.drip.analytics.holset
-
- SKKHoliday() - Constructor for class org.drip.analytics.holset.SKKHoliday
-
- Slice - Class in org.drip.execution.discrete
-
Slice implements the Arithmetic Dynamics of the Price/Cost Movements exhibited by an Asset owing to the
Volatility and the Market Impact Factors on a Trajectory Slice.
- Slice(double, double, double) - Constructor for class org.drip.execution.discrete.Slice
-
Slice Constructor
- sliceGreeks() - Method in class org.drip.execution.sensitivity.TrajectoryControlNodesGreek
-
Retrieve the List of the Slice Control Nodes Greek
- slope() - Method in class org.drip.execution.athl.PermanentImpactNoArbitrage
-
- slope() - Method in class org.drip.execution.impact.ParticipationRateLinear
-
Retrieve the Linear Market Impact Slope Parameter
- slope() - Method in class org.drip.execution.impact.TransactionFunctionLinear
-
Retrieve the Slope Market Impact Parameter
- SlopeOnly(double) - Static method in class org.drip.execution.impact.ParticipationRateLinear
-
Construct a Vanilla Slope-Only ParticipationRateLinear Instance
- SMALL - Static variable in class org.drip.simm.equity.MarketCapitalizationSystemics
-
The "Small" Market Capitalization
- SMOOTH - Static variable in class org.drip.service.template.LatentMarketStateBuilder
-
Smoothened Latent State
- smootheningQuantificationMetric() - Method in class org.drip.state.estimator.SmoothingCurveStretchParams
-
Retrieve the Curve Smoothening Quantification Metric
- SmoothForwardCurve(JulianDate, ForwardLabel, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, String[], double[], String, MergedDiscountForwardCurve, ForwardCurve) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Instance of Smooth Forward Curve off of Exchange/OTC Market Instruments
- SmoothFundingCurve(JulianDate, String, String[], double[], String, double[], String, String[], double[], String) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Smooth Funding Curve Based off of the Input Exchange/OTC Market Instruments
- SmoothFXCurve(JulianDate, CurrencyPair, String[], double[], String, double) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Smooth FX Curve from the FX Forward Instruments
- SmoothGovvieCurve(String, JulianDate, JulianDate[], JulianDate[], double[], double[], String) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Smooth Govvie Curve from the Treasury Instruments
- SmoothingCurveStretchParams - Class in org.drip.state.estimator
-
SmoothingCurveStretchParams contains the Parameters needed to hold the Stretch.
- SmoothingCurveStretchParams(String, SegmentCustomBuilderControl, int, StretchBestFitResponse, StretchBestFitResponse) - Constructor for class org.drip.state.estimator.SmoothingCurveStretchParams
-
SmoothingCurveStretchParams constructor
- SmoothingGlobalControlBuild(MergedDiscountForwardCurve, LinearLatentStateCalibrator, GlobalControlCurveParams, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
Build a Globally Smoothed Instance of the Discount Curve using the Custom Parameters
- SmoothingLocalControlBuild(MergedDiscountForwardCurve, LinearLatentStateCalibrator, LocalControlCurveParams, ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams) - Static method in class org.drip.state.creator.ScenarioDiscountCurveBuilder
-
Build a Locally Smoothed Instance of the Discount Curve using the Custom Parameters
- smoothingParameter() - Method in class org.drip.sequence.custom.KernelDensityEstimationL1
-
Retrieve the Smoothing Parameter
- SmoothOvernightCurve(JulianDate, String, String[], double[], String, String[], double[], String, String[], String[], double[], String, String[], double[], String) - Static method in class org.drip.service.template.LatentMarketStateBuilder
-
Construct a Smooth Overnight Curve from Overnight Exchange/OTC Market Instruments
- SmoothRegularization(String, String) - Static method in class org.drip.feed.transformer.FundingFixFloatMarksReconstitutor
-
Re-constitute the Horizon Quote Marks Using a Smooth Re-constructor
- SmoothRegularization(String, String) - Static method in class org.drip.feed.transformer.OvernightIndexMarksReconstitutor
-
Re-constitute the Horizon Quote Marks Using a Smooth Re-constructor
- SNAC_CDS - Static variable in class org.drip.param.quoting.QuotedSpreadInterpreter
-
SNAC CDS Contract
- snapDate() - Method in class org.drip.historical.attribution.PositionMarketSnap
-
Retrieve the Date of the Snap
- snapFirstMarketValue() - Method in class org.drip.historical.engine.FixFloatExplainProcessor
-
- snapFirstMarketValue() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
-
Generate and Snap Relevant Fields from the First Market Valuation Parameters
- snapFirstMarketValue() - Method in class org.drip.historical.engine.TreasuryBondExplainProcessor
-
- snapSecondMarketValue() - Method in class org.drip.historical.engine.FixFloatExplainProcessor
-
- snapSecondMarketValue() - Method in class org.drip.historical.engine.HorizonChangeExplainProcessor
-
Generate and Snap Relevant Fields from the Second Market Valuation Parameters
- snapSecondMarketValue() - Method in class org.drip.historical.engine.TreasuryBondExplainProcessor
-
- snapshot() - Method in class org.drip.dynamics.evolution.LSQMCurveUpdate
-
Retrieve the LSQM Curve Snapshot
- snapshot() - Method in class org.drip.dynamics.evolution.LSQMPointUpdate
-
Retrieve the LSQM Point Snapshot
- SoftConstraint - Class in org.drip.portfolioconstruction.optimizer
-
SoftConstraint holds the Details of a Soft Constraint.
- SoftConstraint(String, double, double) - Constructor for class org.drip.portfolioconstruction.optimizer.SoftConstraint
-
SoftConstraint Constructor
- softContraint() - Method in class org.drip.portfolioconstruction.optimizer.ConstraintTerm
-
Retrieve the Soft Constraint
- Solapur - Class in org.drip.sample.bondeos
-
Solapur demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Solapur.
- Solapur() - Constructor for class org.drip.sample.bondeos.Solapur
-
- Solo(PositionGroup) - Static method in class org.drip.exposure.holdings.PositionGroupContainer
-
Generate a PositionGroupContainer Instance with a Solo Group
- solve(double[]) - Method in class org.drip.function.rdtor1solver.BarrierFixedPointFinder
-
Solve for the Optimal Variate-Inequality Constraint Multiplier Tuple using the Barrier Iteration
Parameters provided by the IPBC Instance
- SolveUsingGaussianElimination(double[][], double[]) - Static method in class org.drip.quant.linearalgebra.LinearSystemSolver
-
Solve the Linear System using Gaussian Elimination from the Set of Values in the Array
- SolveUsingGaussSeidel(double[][], double[]) - Static method in class org.drip.quant.linearalgebra.LinearSystemSolver
-
Solve the Linear System using the Gauss-Seidel algorithm from the Set of Values in the Array
- SolveUsingMatrixInversion(double[][], double[]) - Static method in class org.drip.quant.linearalgebra.LinearSystemSolver
-
Solve the Linear System using Matrix Inversion from the Set of Values in the Array
- Soontornkit2010 - Class in org.drip.sample.blacklitterman
-
Soontornkit2010 reconciles the Outputs of the Black-Litterman Model Process.
- Soontornkit2010() - Constructor for class org.drip.sample.blacklitterman.Soontornkit2010
-
- sosc() - Method in class org.drip.optimization.constrained.NecessarySufficientConditions
-
Retrieve the Second Order Sufficiency Condition
- source() - Method in class org.drip.param.quote.ProductTick
-
Retrieve the Quote Source
- source() - Method in class org.drip.spaces.graph.Edge
-
Retrieve the Source Vertex
- sourceTargetTransitionProbability(TrinomialTreeNodeMetrics, TrinomialTreeNodeMetrics) - Method in class org.drip.dynamics.hullwhite.TrinomialTreeSequenceMetrics
-
Retrieve the Source-To-Target Transition Probability
- sourceTargetTransitionProbability() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeSequenceMetrics
-
Retrieve the FULL Source-Target Transition Probability Map
- SovereignFixedBullet - Class in org.drip.sample.sovereign
-
SovereignFixedBullet demonstrates Non-EOS Fixed Coupon Sovereign Bond Pricing and Relative Value Measure
Generation Functionality.
- SovereignFixedBullet() - Constructor for class org.drip.sample.sovereign.SovereignFixedBullet
-
- SOVEREIGNS - Static variable in class org.drip.simm.credit.SectorSystemics
-
The Sovereigns Sector
- span(LatentStateLabel, String) - Method in class org.drip.dynamics.evolution.LSQMCurveIncrement
-
Retrieve the specified Latent State Quantification Metric Span Increment
- Span - Interface in org.drip.spline.grid
-
Span is the interface that exposes the functionality behind the collection of Stretches that may be
overlapping or non-overlapping.
- spanTenor() - Method in class org.drip.dynamics.lmm.LognormalLIBORCurveEvolver
-
Retrieve the Number of Forward Tenors comprising the Span Tenor
- sparseDateArray() - Method in class org.drip.exposure.regression.AndersenPykhtinSokolStretch
-
Retrieve the Sparse Exposure Date Array
- sparseExposureArray() - Method in class org.drip.exposure.regression.AndersenPykhtinSokolStretch
-
Retrieve the Sparse Exposure Array
- sparseExposureDateArray() - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble
-
Retrieve the Array of Sparse Exposure Dates
- sparseExposureDateCount() - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolEnsemble
-
Retrieve the Number of Sparse Exposure Dates
- sparseLocalVolatilityArray() - Method in class org.drip.exposure.regression.AndersenPykhtinSokolStretch
-
Retrieve the Sparse Local Volatility R1 To R1 Array
- sparseVertexExposureTrajectory() - Method in class org.drip.exposure.regression.PykhtinBrownianBridgeStretch
-
Retrieve the Path Sparse Vertex Exposure Trajectory
- specificDayInMonth() - Method in class org.drip.analytics.eventday.DateInMonth
-
Retrieve the Specific Day in Month
- specificMarketRealizationChange(String) - Method in class org.drip.historical.attribution.PositionChangeComponents
-
Retrieve the Specific Manifest Measure Market Realization Position Change
- specificMarketRollDownChange(String) - Method in class org.drip.historical.attribution.PositionChangeComponents
-
Retrieve the Specific Manifest Measure Market Roll-down Position Change
- specificMarketSensitivityChange(String) - Method in class org.drip.historical.attribution.PositionChangeComponents
-
Retrieve the Specific Manifest Measure Market Sensitivity Position Change
- specificRisk() - Method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
-
Retrieve the Asset Specific Attribute
- speed() - Method in class org.drip.pricer.option.Greeks
-
The Option Speed
- spf(String) - Method in class org.drip.spaces.graph.BellmanFordScheme
-
Run the Bellman Ford SPF Algorithm
- spf(String) - Method in class org.drip.spaces.graph.DijkstraScheme
-
Run the Dijsktra SPF Algorithm
- SPGB(JulianDate, JulianDate, double) - Static method in class org.drip.service.template.TreasuryBuilder
-
Construct an Instance of the Spanish Treasury EUR SPGB Bond
- spin() - Method in class org.drip.service.engine.ComputeServer
-
Spin on the Listener Loop
- SplineGovvieCurve - Class in org.drip.sample.govvie
-
SplineGovvieCurve demonstrates the Construction and Usage of the Spline-based Govvie Curve.
- SplineGovvieCurve() - Constructor for class org.drip.sample.govvie.SplineGovvieCurve
-
- split(String, String, List, boolean) - Method in class org.drip.json.simple.ItemList
-
- split(String, String, List) - Method in class org.drip.json.simple.ItemList
-
- Split(String, String) - Static method in class org.drip.quant.common.StringUtil
-
Parse and Split the Input Phrase into a String Array using the specified Delimiter
- SPLITS_CONSTRAINT - Static variable in class org.drip.spline.params.SegmentResponseValueConstraint
-
Indicator specifying that the knot splits the constraint ordinates
- spot() - Method in class org.drip.exposure.csatimeline.LastFlowDates
-
Retrieve the Spot Date
- Spot(JulianDate, int, String, int) - Static method in class org.drip.param.valuation.ValuationParams
-
Create the valuation parameters object instance from the valuation date, the cash settle lag, and the
settle calendar.
- Spot(int) - Static method in class org.drip.param.valuation.ValuationParams
-
Create the spot valuation parameters for the given valuation date (uses the T+0 settle)
- spot() - Method in class org.drip.state.sequence.GovvieBuilderSettings
-
Retrieve the Spot Date
- spotDate() - Method in class org.drip.dynamics.lmm.ContinuouslyCompoundedForwardProcess
-
Retrieve the Spot Date
- spotDate() - Method in class org.drip.dynamics.lmm.LognormalLIBORVolatility
-
Retrieve the Spot Date
- spotDate() - Method in class org.drip.dynamics.lmm.ShortRateProcess
-
Retrieve the Spot Date
- spotDate() - Method in class org.drip.exposure.universe.MarketVertexGenerator
-
Retrieve the Spot Date
- spotDate() - Method in class org.drip.service.api.FixFloatFundingInstrument
-
Retrieve the Spot Date
- SpotDateArray(JulianDate, int) - Static method in class org.drip.analytics.support.Helper
-
Generate an Array of Repeated Spot Dates
- SpotDatePeriodTenor(int, String, int) - Static method in class org.drip.analytics.support.VertexDateBuilder
-
Construct an Array of Vertex Dates from the Spot Date, Tenor Spacing Width, and the Vertex Count
- SpotDateVertexTenor(int, String[]) - Static method in class org.drip.analytics.support.VertexDateBuilder
-
Construct an Array of Dates from the Spot Date and the Vertex Tenor Array
- spotHoldings() - Method in class org.drip.execution.cost.LinearTemporaryImpact
-
Retrieve the Spot Holdings
- spotLag() - Method in class org.drip.market.definition.FloaterIndex
-
Retrieve the Index Spot Lag
- spotLag() - Method in class org.drip.market.definition.IBORIndex
-
- spotLag() - Method in class org.drip.market.definition.OvernightIndex
-
- spotLag() - Method in class org.drip.market.otc.CrossFloatSwapConvention
-
Retrieve the Spot Lag
- spotLag() - Method in class org.drip.market.otc.FixedFloatSwapConvention
-
Retrieve the Spot Lag
- spotLag() - Method in class org.drip.market.otc.FloatFloatSwapConvention
-
Retrieve the Spot Lag
- spotLagDAPBackward() - Method in class org.drip.market.definition.FloaterIndex
-
Retrieve the Spot Lag DAP with Date Roll Previous
- spotLagDAPForward() - Method in class org.drip.market.definition.FloaterIndex
-
Retrieve the Spot Lag DAP with Date Roll Following
- spotRate() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
-
Retrieve the Spot Rate
- spotRate() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateUpdate
-
Retrieve the Spot Rate
- spotRateIncrement() - Method in class org.drip.dynamics.lmm.BGMCurveUpdate
-
Retrieve the Spot Rate Discount Curve Increment
- spotRateIncrement() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
-
Retrieve the Spot Rate Increment
- spotRateIncrement() - Method in class org.drip.dynamics.lmm.BGMPointUpdate
-
Retrieve the Spot Rate Increment
- spotRateIncrement() - Method in class org.drip.dynamics.lmm.ContinuousForwardRateUpdate
-
Retrieve the Spot Rate Increment
- spotRateIncrements() - Method in class org.drip.dynamics.lmm.BGMTenorNodeSequence
-
Retrieve the Array of Tenor Spot Rate Increments
- SpotStandard(JulianDate, AndersenPykhtinSokolLag, String) - Static method in class org.drip.exposure.csatimeline.LastFlowDates
-
Generate a LastFlowDates Instance from the Spot Date and the AndersenPykhtinSokolLag
- spotTime() - Method in class org.drip.execution.cost.LinearTemporaryImpact
-
Retrieve the Spot Time
- spread() - Method in class org.drip.analytics.definition.Turn
-
Retrieve the Spread
- spread() - Method in class org.drip.param.period.ComposableFloatingUnitSetting
-
Retrieve the Floating Unit Spread
- spread() - Method in class org.drip.product.calib.FloatingStreamQuoteSet
-
Retrieve the Spread
- spread() - Method in class org.drip.product.params.FloaterSetting
-
Retrieve the Floating Spread
- SpreadCalibOP(double, CreditCurve) - Constructor for class org.drip.product.credit.CDSComponent.SpreadCalibOP
-
- SpreadCalibrator(CreditDefaultSwap, int) - Constructor for class org.drip.product.credit.CDSComponent.SpreadCalibrator
-
Constructor: Construct the SpreadCalibrator from the CDS parent, and whether the calibration is
off of a single node
- spreadDurationMultiplier() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Spread Duration Multiplier
- spreadQuoted() - Method in class org.drip.param.valuation.ValuationCustomizationParams
-
Indicate if spread Quoted
- Square(ComplexNumber) - Static method in class org.drip.quant.fourier.ComplexNumber
-
Square the Complex Number
- SQUARE_ROOT_OF_TIME - Static variable in class org.drip.xva.settings.BrokenDateScheme
-
Square Root of Time Based Broken Date Interpolation Scheme
- SquareRoot(ComplexNumber) - Static method in class org.drip.quant.fourier.ComplexNumber
-
Compute the Square Root of the Complex Number
- SquareSubMatrixList(double[][], int, int) - Static method in class org.drip.spaces.big.SubMatrixSetExtractor
-
Generate the List of all the sub-matrices contained within a specified Square Matrix starting from the
given Row and Column
- Srinagar - Class in org.drip.sample.bondeos
-
Srinagar demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Srinagar.
- Srinagar() - Constructor for class org.drip.sample.bondeos.Srinagar
-
- Standard(int, int, FloaterLabel) - Static method in class org.drip.analytics.cashflow.ReferenceIndexPeriod
-
Standard Instance of ReferenceIndexPeriod
- Standard(JulianDate) - Static method in class org.drip.assetbacked.loan.Vintage
-
Construct a Vintage Instance from the Origination Date
- Standard(double, double, double, PriorConditionalCombiner, double, TransactionFunctionLinear) - Static method in class org.drip.execution.cost.ConstrainedLinearTemporaryImpact
-
Generate a ConstrainedLinearTemporaryImpact Instance
- Standard(PriceIncrement, double, double) - Static method in class org.drip.execution.discrete.ShortfallIncrement
-
Generate a Standard ShortfallIncrement Instance
- Standard(MarketImpactComponent, MarketImpactComponent) - Static method in class org.drip.execution.evolution.MarketImpactComposite
-
Construct a Standard Instance of MarketImpactComposite
- Standard(OrnsteinUhlenbeck) - Static method in class org.drip.execution.hjb.NonDimensionalCostEvolverSystemic
-
Construct a Standard NonDimensionalCostEvolverSystemic Instance
- Standard(double, double, LinearPermanentExpectationParameters, double) - Static method in class org.drip.execution.nonadaptive.ContinuousAlmgrenChriss
-
Create the Standard ContinuousAlmgrenChriss Instance
- Standard(double, double, ArithmeticPriceEvolutionParameters, double) - Static method in class org.drip.execution.nonadaptive.ContinuousConstantTradingEnhanced
-
Create the Standard ContinuousConstantTradingEnhanced Instance
- Standard(double, double, ArithmeticPriceEvolutionParameters, double) - Static method in class org.drip.execution.nonadaptive.ContinuousCoordinatedVariationDeterministic
-
Create the Standard ContinuousCoordinatedVariationDeterministic Instance
- Standard(double, double, ArithmeticPriceEvolutionParameters, double) - Static method in class org.drip.execution.nonadaptive.ContinuousCoordinatedVariationStochastic
-
Create the Standard ContinuousCoordinatedVariationStochastic Instance
- Standard(double, double, LinearPermanentExpectationParameters, double) - Static method in class org.drip.execution.nonadaptive.ContinuousHighUrgencyAsymptote
-
Create the Standard ContinuousHighUrgencyAsymptote Instance
- Standard(double, double, LinearPermanentExpectationParameters, double) - Static method in class org.drip.execution.nonadaptive.ContinuousLowUrgencyAsymptote
-
Create the Standard ContinuousLowUrgencyAsymptote Instance
- Standard(double, double, LinearPermanentExpectationParameters, double) - Static method in class org.drip.execution.nonadaptive.ContinuousPowerImpact
-
Create the Standard ContinuousPowerImpact Instance
- Standard(double, double, int, LinearPermanentExpectationParameters, double) - Static method in class org.drip.execution.nonadaptive.DiscreteAlmgrenChriss
-
Create the Standard DiscreteAlmgrenChriss Instance
- Standard(double, double, int, LinearPermanentExpectationParameters, double) - Static method in class org.drip.execution.nonadaptive.DiscreteAlmgrenChrissDrift
-
Create the Standard DiscreteAlmgrenChrissDrift Instance
- Standard(double, double, int, ArithmeticPriceEvolutionParameters, double) - Static method in class org.drip.execution.nonadaptive.DiscreteLinearTradingEnhanced
-
Create the Standard DiscreteLinearTradingEnhanced Instance
- Standard(double[], double[], ArithmeticPriceEvolutionParameters) - Static method in class org.drip.execution.optimum.EfficientTradingTrajectoryDiscrete
-
Construct a Standard EfficientTradingTrajectoryDiscrete Instance
- Standard(double, double, double, double, double, double, double, R1ToR1, R1ToR1, R1ToR1) - Static method in class org.drip.execution.optimum.PowerImpactContinuous
-
Construct the Standard PowerImpactContinuous Instance
- Standard(DiscreteTradingTrajectory, ArithmeticPriceEvolutionParameters, double, double) - Static method in class org.drip.execution.optimum.TradingEnhancedDiscrete
-
Construct a Standard TradingEnhancedDiscrete Instance
- Standard(double, R1ToR1, R1ToR1, R1ToR1) - Static method in class org.drip.execution.strategy.ContinuousTradingTrajectory
-
Construct a Standard Instance of ContinuousTradingTrajectory
- Standard(double[], double[]) - Static method in class org.drip.execution.strategy.DiscreteTradingTrajectory
-
Construct a Standard DiscreteTradingTrajectory Instance
- Standard(double, double, double, double, int) - Static method in class org.drip.execution.strategy.MinimumImpactTradingTrajectory
-
Create a MinimumImpactTradingTrajectory Instance from Equal Intervals
- Standard() - Static method in class org.drip.exposure.mpor.MarginPeriodOfRisk
-
Construct a Standard Instance of MarginPeriodOfRisk
- Standard(int[], String, VariationMarginTradePaymentVertex, MarketPath, AndersenPykhtinSokolLag) - Static method in class org.drip.exposure.mpor.PathVariationMarginTrajectoryEstimator
-
Generate a Standard Instance of PathVariationMarginTrajectoryEstimator
- Standard(double) - Static method in class org.drip.exposure.mpor.TradePayment
-
Construct a "Standard" TradePayment Instance
- Standard(int) - Static method in class org.drip.exposure.regression.LocalVolatilityGenerationControl
-
Construct a Standard Instance of LocalVolatilityGenerationControl
- Standard(double[]) - Static method in class org.drip.exposure.regression.PykhtinPillarDynamics
-
Construct an Instance of PykhtinPillarDynamics from the Exposure Array
- Standard(double[]) - Static method in class org.drip.function.definition.SizedVector
-
Construct an Instance of the Sized Vector from the Input Array
- Standard(double[]) - Static method in class org.drip.function.definition.UnitVector
-
Construct an Instance of the Unit Vector from the Input Vector
- Standard() - Static method in class org.drip.function.r1tor1.ISDABucketCurvatureTenorScaler
-
Construct the Standard ISDA Bucket Curvature Tenor Scaler
- Standard() - Static method in class org.drip.function.rdtor1solver.ConvergenceControl
-
Construct a Standard ConvergenceControl Instance
- Standard() - Static method in class org.drip.function.rdtor1solver.InteriorPointBarrierControl
-
Construct a Standard InteriorPointBarrierControl Instance
- Standard(int) - Static method in class org.drip.measure.crng.ShiftRegisterGenerator
-
Construct a Standard Instance of ShiftRegisterGenerator from the Specified Period Power
- Standard(double, double) - Static method in class org.drip.measure.dynamics.DiffusionEvaluatorLinear
-
Generate a Standard Instance of DiffusionEvaluatorLinear
- Standard(double, double) - Static method in class org.drip.measure.dynamics.DiffusionEvaluatorLogarithmic
-
Generate a Standard Instance of DiffusionEvaluatorLogarithmic
- Standard(double, double, double) - Static method in class org.drip.measure.dynamics.DiffusionEvaluatorMeanReversion
-
Generate a Standard Instance of DiffusionEvaluatorMeanReversion
- Standard(double, double, double) - Static method in class org.drip.measure.dynamics.DiffusionEvaluatorOrnsteinUhlenbeck
-
Construct a Standard Instance of DiffusionEvaluatorOrnsteinUhlenbeck
- Standard(double, double) - Static method in class org.drip.measure.dynamics.HazardJumpEvaluator
-
Generate a Standard Instance of HazardJumpEvaluator
- Standard(MultivariateMeta, double[], double[][]) - Static method in class org.drip.measure.gaussian.R1MultivariateNormal
-
Construct a Standard R1MultivariateNormal Instance
- Standard(String[], double[], double[][]) - Static method in class org.drip.measure.gaussian.R1MultivariateNormal
-
Construct a Standard R1MultivariateNormal Instance
- Standard() - Static method in class org.drip.measure.gaussian.R1UnivariateNormal
-
Generate a N (0, 1) distribution
- Standard(double, double, double[], double[], double) - Static method in class org.drip.measure.lebesgue.R1PiecewiseDisplaced
-
Calibrate an R1PiecewiseDisplaced Lebesgue Instance
- Standard(double, double, double[], double[]) - Static method in class org.drip.measure.lebesgue.R1PiecewiseLinear
-
Calibrate an R1PiecewiseLinear Lebesgue Instance
- Standard(double, double, double, boolean, double, double, double, double, double, double) - Static method in class org.drip.measure.realization.JumpDiffusionEdge
-
Construct the Standard JumpDiffusionEdge Instance
- Standard(double, double, double, StochasticEdgeJump, JumpDiffusionEdgeUnit) - Static method in class org.drip.measure.realization.JumpDiffusionEdge
-
Construct the Standard JumpDiffusionEdge Instance
- Standard(String[], double[][]) - Static method in class org.drip.measure.statistics.MultivariateMoments
-
Generate the MultivariateMetrics Instance from the Series Realizations provided
- Standard(String[], double[], double[][]) - Static method in class org.drip.measure.statistics.MultivariateMoments
-
Generate the MultivariateMetrics Instance from the Specified Mean and Co-variance Inputs
- Standard(String, double[], int[]) - Static method in class org.drip.measure.statistics.UnivariateMoments
-
Construct a UnivariateMoments Instance for the specified Series
- Standard(String, double[]) - Static method in class org.drip.measure.statistics.UnivariateMoments
-
Construct a UnivariateMoments Instance for the specified Series
- Standard(double[], FritzJohnMultipliers, boolean, boolean, boolean, boolean, boolean, boolean) - Static method in class org.drip.optimization.constrained.NecessarySufficientConditions
-
Create a Standard Instance of NecessarySufficientConditions
- Standard(double[], FritzJohnMultipliers, boolean, boolean, boolean, boolean, boolean, boolean, boolean) - Static method in class org.drip.optimization.constrained.RegularityConditions
-
Construct a Standard Instance of RegularityConditions
- Standard() - Static method in class org.drip.param.definition.CalibrationParams
-
Create a standard calibration parameter instance around the price measure and base type
- Standard() - Static method in class org.drip.param.pricer.CreditPricerParams
-
Create the standard Credit pricer parameters object instance
- Standard(JulianDate, String) - Static method in class org.drip.param.valuation.ValuationParams
-
Create the standard T+2B settle parameters for the given valuation date and calendar
- Standard(Portfolio, double, double[][], double[]) - Static method in class org.drip.portfolioconstruction.allocator.ForwardReverseOptimizationOutput
-
Construct a Standard Instance of ForwardReverseOptimizationOutput
- Standard(String[], double[]) - Static method in class org.drip.portfolioconstruction.asset.Portfolio
-
Construct a Portfolio Instance from the Array of Asset ID's and their Amounts
- Standard(String, String, String, Holdings) - Static method in class org.drip.portfolioconstruction.composite.Benchmark
-
Construct a Standard Benchmark Instance Without Cash
- Standard(String, Scope, Unit, double, double, double[], TransactionCharge[]) - Static method in class org.drip.portfolioconstruction.constraint.LimitChargeTermIssuer
-
Construct a Static Instance of LimitChargeTermIssuer
- Standard(String) - Static method in class org.drip.portfolioconstruction.core.Block
-
Construct a Standard Instance of a Block
- Standard(String, String, String, String[], String[], double[][], double[][], double[]) - Static method in class org.drip.portfolioconstruction.risk.AttributeJointFactor
-
Generate a Standard Instance of AttributeJointFactor
- Standard(String, JulianDate, String, int, String, int, double, double, double, double) - Static method in class org.drip.product.creator.ConstantPaymentBondBuilder
-
Construct an Instance of the Constant Payment Bond
- Standard() - Static method in class org.drip.service.engine.ComputeClient
-
Construct Standard LocalHost-based Instance of the ComputeClient
- Standard() - Static method in class org.drip.service.engine.ComputeServer
-
Create a Standard Instance of the ComputeServer
- Standard(BondComponent, ValuationParams, CurveSurfaceQuoteContainer, GovvieBuilderSettings, double, double) - Static method in class org.drip.service.scenario.EOSMetricsReplicator
-
Standard Static EOSMetricsReplicator Creator
- Standard(double, Map<String, Double>) - Static method in class org.drip.simm.estimator.AdditionalInitialMargin
-
Construct a Standard Instance of AdditionalInitialMargin
- Standard() - Static method in class org.drip.simm.foundation.CurvatureResponseCornishFischer
-
Construct the Standard Instance of CurvatureResponseCornishFischer
- Standard(double[][], double) - Static method in class org.drip.simm.foundation.RiskGroupPrincipalCovariance
-
Construct the Standard RiskGroupPrincipalCovariance Instance from the Bucket Correlation Matrix and
the Cross Correlation Entry
- Standard(Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>, Map<String, Double>) - Static method in class org.drip.simm.product.BucketSensitivityIR
-
Generate a Standard Instance of BucketSensitivityIR from the Tenor Sensitivity Maps
- Standard(R1CombinatorialVector[]) - Static method in class org.drip.spaces.iterator.RdSpanningCombinatorialIterator
-
Retrieve the RdSpanningCombinatorialIterator Instance associated with the Underlying Vector Space
- Standard(int, int) - Static method in class org.drip.spaces.iterator.SequenceIndexIterator
-
Create a Standard Sequence/Index Iterator
- Standard(List<Double>, R1, int) - Static method in class org.drip.spaces.metric.R1Combinatorial
-
Construct the Standard l^p R^1 Combinatorial Space Instance
- Standard(double, double, R1, int) - Static method in class org.drip.spaces.metric.R1Continuous
-
Construct the Standard l^p R^1 Continuous Space Instance
- Standard() - Static method in class org.drip.spaces.tensor.BinaryBooleanVector
-
Construct the Standard Binary Boolean Vector Space
- Standard() - Static method in class org.drip.spaces.tensor.R1ContinuousVector
-
Create the Standard R^1 Continuous Vector Space
- Standard(int) - Static method in class org.drip.spaces.tensor.RdContinuousVector
-
Construct the RdContinuousVector Instance
- Standard(String, ValuationParams, CalibratableComponent[], double[], String[], double, boolean, MergedDiscountForwardCurve, GovvieCurve, LatentStateFixingsContainer, ValuationCustomizationParams, CalibrationParams) - Static method in class org.drip.state.boot.CreditCurveScenario
-
Calibrate a Credit Curve
- Standard(ValuationParams, CalibratableComponent[], double[], String[], double, GovvieCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Static method in class org.drip.state.boot.DiscountCurveScenario
-
Calibrate a discount curve
- Standard(String, ValuationParams, LatentStateLabel, FRAStandardCapFloor[], double[], String[], boolean, MergedDiscountForwardCurve, ForwardCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Static method in class org.drip.state.boot.VolatilityCurveScenario
-
Calibrate a Volatility Curve
- Standard(String) - Static method in class org.drip.state.identifier.CollateralLabel
-
Make a Standard Collateral Label from the Collateral Currency
- Standard(String) - Static method in class org.drip.state.identifier.CustomLabel
-
Make a Standard Custom Metric Label Instance
- Standard(String, String) - Static method in class org.drip.state.identifier.EntityCDSLabel
-
Make a Standard SENIOR Entity Credit Label from the Reference Entity
- Standard(String, String) - Static method in class org.drip.state.identifier.EntityEquityLabel
-
Make a Standard Equity Entity Label from the Reference Entity Name
- Standard(String, String) - Static method in class org.drip.state.identifier.EntityHazardLabel
-
Make a Standard Entity Hazard Label from the Reference Entity Name
- Standard(String) - Static method in class org.drip.state.identifier.ForwardLabel
-
Construct a ForwardLabel from the corresponding Fully Qualified Name
- Standard(String) - Static method in class org.drip.state.identifier.FundingLabel
-
Make a Standard Funding Label from the Funding Currency
- Standard(CurrencyPair) - Static method in class org.drip.state.identifier.FXLabel
-
Make a Standard FX Label from the Currency Pair Instance
- Standard(String) - Static method in class org.drip.state.identifier.FXLabel
-
Make a Standard FX Label from the Currency Pair Code
- Standard(String) - Static method in class org.drip.state.identifier.GovvieLabel
-
Make a Standard Govvie Label from the Treasury Code
- Standard(String) - Static method in class org.drip.state.identifier.OTCFixFloatLabel
-
Construct a OTCFixFloatLabel from the corresponding Fully Qualified Name
- Standard(String) - Static method in class org.drip.state.identifier.PaydownLabel
-
Make a Standard Pay-down Label from the Reference Entity Name
- Standard(String, String) - Static method in class org.drip.state.identifier.RatingLabel
-
Make a Standard Rating Label from the Rating Agency and the Rated Code.
- Standard(String) - Static method in class org.drip.state.identifier.RepoLabel
-
Make a Standard Repo Label from the Product Code
- Standard(LatentStateLabel) - Static method in class org.drip.state.identifier.VolatilityLabel
-
Make a Standard Volatility Latent State Label from the Underlying Latent State Label
- Standard(GovvieBuilderSettings, CorrelatedPathVertexDimension, DiffusionEvolver) - Static method in class org.drip.state.sequence.PathVertexGovvie
-
Generate a Standard Instance of PathVertexGovvie
- Standard(CorrelatedPathVertexDimension, DiffusionEvolver) - Static method in class org.drip.state.sequence.PathVertexRd
-
Generate a Standard Instance of PathVertexRd
- Standard(double, double, double, double) - Static method in class org.drip.xva.derivative.ReplicationPortfolioVertex
-
Construct a ReplicationPortfolioVertex Instance without the Zero Recovery Dealer Numeraire
- Standard(double) - Static method in class org.drip.xva.derivative.ReplicationPortfolioVertexDealer
-
Construct a ReplicationPortfolioVertexDealer Instance from the Senior Dealer Numeraire alone
- Standard(CloseOut, double, double) - Static method in class org.drip.xva.hypothecation.CollateralGroupVertexCloseOut
-
Construct a Static Instance of CollateralGroupVertexCloseOut
- Standard(String, String, EntityHazardLabel, EntityHazardLabel, EntityRecoveryLabel, EntityRecoveryLabel, EntityRecoveryLabel) - Static method in class org.drip.xva.proto.CreditDebtGroupSpecification
-
Generate a Standard Instance of CreditDebtGroupSpecification
- StandardBanach(int, Rd, int) - Static method in class org.drip.spaces.metric.RdContinuousBanach
-
Construct the Standard l^p R^d Continuous Banach Space Instance
- StandardCDXManager - Class in org.drip.service.env
-
StandardCDXManager implements the creation and the static details of the all the NA, EU, SovX, EMEA, and
ASIA standardized CDS indices.
- StandardCDXManager() - Constructor for class org.drip.service.env.StandardCDXManager
-
- StandardCDXParams - Class in org.drip.product.params
-
StandardCDXParams implements the parameters used to create the standard CDX - the coupon, the number of
components, and the currency.
- StandardCDXParams(int, String, double) - Constructor for class org.drip.product.params.StandardCDXParams
-
Create the Standard CDX Parameters object using the components, the currency, and the coupon
- standardDeviation() - Method in class org.drip.measure.statistics.MultivariateDiscrete
-
Retrieve the Multivariate Standard Deviation
- StandardDeviationTerm - Class in org.drip.portfolioconstruction.objective
-
StandardDeviationTerm holds the Details of the Portfolio Risk (Standard Deviation) Objective Term.
- StandardDeviationTerm(String, double[], double[][], double[]) - Constructor for class org.drip.portfolioconstruction.objective.StandardDeviationTerm
-
StandardDeviationTerm Constructor
- StandardHestonPricingMeasures - Class in org.drip.sample.stochasticvolatility
-
StandardHestonPricingMeasures contains an illustration of the Stochastic Volatility based Pricing
Algorithm of an European Call Using the Heston Algorithm.
- StandardHestonPricingMeasures() - Constructor for class org.drip.sample.stochasticvolatility.StandardHestonPricingMeasures
-
- StandardHilbert(int, Rd) - Static method in class org.drip.spaces.metric.RdContinuousHilbert
-
Construct the Standard l^2 R^d Hilbert Space Instance
- StandardizedExposureGeneratorScheme - Class in org.drip.xva.settings
-
StandardizedExposureGeneratorScheme holds the Fields for the Generation of the Conservative Exposure
Measures generated using the Standardized Basel Scheme.
- StandardizedExposureGeneratorScheme(double, int, SegmentCustomBuilderControl, SegmentCustomBuilderControl) - Constructor for class org.drip.xva.settings.StandardizedExposureGeneratorScheme
-
StandardizedExposureGeneratorScheme Constructor
- standardMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, WorkoutInfo, double) - Method in class org.drip.product.credit.BondComponent
-
- standardMeasures(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, WorkoutInfo, double) - Method in class org.drip.product.definition.Bond
-
Calculate the full set of Bond RV Measures from the Price Input
- standardNetTaxGainUS(double[], double[]) - Method in interface org.drip.portfolioconstruction.objective.TaxationScheme
-
Compute the Standard Net US Tax Gain
- StandardWeekend() - Static method in class org.drip.analytics.eventday.Weekend
-
Create a Weekend Instance with SATURDAY and SUNDAY
- start() - Method in class org.drip.exposure.universe.MarketEdge
-
Retrieve the Market State Vertex Start
- start() - Method in class org.drip.measure.discrete.BoundedUniformIntegerDistribution
-
Retrieve the Start
- start() - Method in class org.drip.measure.realization.JumpDiffusionEdge
-
Retrieve the Start Realization
- start() - Method in class org.drip.sequence.random.BoundedUniformInteger
-
Retrieve the Start
- start() - Method in class org.drip.state.representation.LatentStateMergeSubStretch
-
Retrieve the Merge Stretch Start Date
- startArray() - Method in interface org.drip.json.parser.ContentHandler
-
Receive notification of the beginning of a JSON array.
- startDate() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
-
Retrieve the Accrual Start Date
- startDate() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Retrieve the Period Start Date
- startDate() - Method in class org.drip.analytics.cashflow.LossQuadratureMetrics
-
Period Start Date
- startDate() - Method in class org.drip.analytics.cashflow.ReferenceIndexPeriod
-
Reference Period Start Date
- startDate() - Method in class org.drip.analytics.definition.Turn
-
Retrieve the Start Date
- startDate() - Method in class org.drip.analytics.output.UnitPeriodConvexityMetrics
-
Retrieve the Start Date
- startHoldings() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectoryControl
-
Retrieve the Initial Holdings, i.e., the Starting Number of Units to the Executed
- startJSON() - Method in interface org.drip.json.parser.ContentHandler
-
Receive notification of the beginning of JSON processing.
- startObject() - Method in interface org.drip.json.parser.ContentHandler
-
Receive notification of the beginning of a JSON object.
- startObjectEntry(String) - Method in interface org.drip.json.parser.ContentHandler
-
Receive notification of the beginning of a JSON object entry.
- startSnap() - Method in class org.drip.service.env.InvocationRecord
-
Retrieve the Begin Snapshot
- startSurvival() - Method in class org.drip.analytics.cashflow.LossQuadratureMetrics
-
Survival Probability at the Period Beginning
- stateCount() - Method in class org.drip.exposure.universe.LatentStateWeiner
-
Retrieve the Count of the Latent States Available
- stateIndexCursor() - Method in class org.drip.spaces.iterator.RdSpanningStateSpaceScan
-
Retrieve the State Index Cursor
- Static - Class in org.drip.analytics.eventday
-
Static implements a complete date as a specific holiday.
- Static(JulianDate, String) - Constructor for class org.drip.analytics.eventday.Static
-
Construct a static holiday from the date and the description
- StaticContinuousOptimalTrajectory - Class in org.drip.sample.almgren2009
-
StaticContinuousOptimalTrajectory demonstrates the Generation and Usage of Continuous Version of the
Discrete Trading Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of
No-Drift.
- StaticContinuousOptimalTrajectory() - Constructor for class org.drip.sample.almgren2009.StaticContinuousOptimalTrajectory
-
- staticDate() - Method in class org.drip.param.period.FixingSetting
-
Retrieve the Static Fixing Date
- StaticOptimalScheme - Class in org.drip.execution.nonadaptive
-
StaticOptimalScheme generates the Trade/Holdings List of Static Optimal Execution Schedule based on the
Discrete/Continuous Trade Trajectory Control, the Price Walk Parameters, and the Objective Utility
Function.
- StaticOptimalScheme(ArithmeticPriceEvolutionParameters, ObjectiveUtility) - Constructor for class org.drip.execution.nonadaptive.StaticOptimalScheme
-
- StaticOptimalSchemeContinuous - Class in org.drip.execution.nonadaptive
-
StaticOptimalSchemeContinuous generates the Trade/Holdings List of Static Optimal Execution Schedule based
on the Continuous Trade Trajectory Control, the Price Walk Parameters, and the Objective Utility
Function.
- StaticOptimalSchemeContinuous(OrderSpecification, ArithmeticPriceEvolutionParameters, ObjectiveUtility) - Constructor for class org.drip.execution.nonadaptive.StaticOptimalSchemeContinuous
-
StaticOptimalSchemeContinuous Constructor
- StaticOptimalSchemeDiscrete - Class in org.drip.execution.nonadaptive
-
StaticOptimalSchemeDiscrete generates the Trade/Holdings List of Static Optimal Execution Schedule based
on the Discrete Trade Trajectory Control, the Price Walk Parameters, and the Objective Utility Function.
- StaticOptimalSchemeDiscrete(DiscreteTradingTrajectoryControl, ArithmeticPriceEvolutionParameters, ObjectiveUtility) - Constructor for class org.drip.execution.nonadaptive.StaticOptimalSchemeDiscrete
-
StaticOptimalSchemeDiscrete Constructor
- StaticOptimalTrajectoryHoldings - Class in org.drip.sample.almgren2012
-
StaticOptimalTrajectoryHoldings simulates the Outstanding Holdings from the Sample Realization of the
Static Cost Strategy extracted using the Mean Market State that follows the Zero Mean Ornstein-Uhlenbeck
Evolution Dynamics.
- StaticOptimalTrajectoryHoldings() - Constructor for class org.drip.sample.almgren2012.StaticOptimalTrajectoryHoldings
-
- StaticOptimalTrajectoryTradeRate - Class in org.drip.sample.almgren2012
-
StaticOptimalTrajectoryTradeRate simulates the Trade Rate from the Sample Realization of the Static Cost
Strategy extracted using the Mean Market State that follows the Zero Mean Ornstein-Uhlenbeck Evolution
Dynamics.
- StaticOptimalTrajectoryTradeRate() - Constructor for class org.drip.sample.almgren2012.StaticOptimalTrajectoryTradeRate
-
- staticTransactionCost() - Method in class org.drip.execution.cost.LinearTemporaryImpact
-
Estimate of the Static Transaction Cost
- stayNodeMetrics() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
-
Retrieve the "Stay" Node Metrics
- stdDev() - Method in class org.drip.measure.statistics.UnivariateMoments
-
Retrieve the Series Standard Deviation
- STEM_CDS - Static variable in class org.drip.param.quoting.QuotedSpreadInterpreter
-
STEM CDS Contract
- stepLength() - Method in class org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics
-
Retrieve the Step Length
- StepUpStepDown - Class in org.drip.sample.fixfloat
-
StepUpStepDown demonstrates the construction and Valuation of in-advance step-up and step-down swaps.
- StepUpStepDown() - Constructor for class org.drip.sample.fixfloat.StepUpStepDown
-
- stochastic() - Method in class org.drip.execution.evolution.MarketImpactComposite
-
Retrieve the Stochastic Impact Component Instance
- stochasticDiffusionEdge() - Method in class org.drip.measure.realization.JumpDiffusionEdge
-
Retrieve the Stochastic Diffusion Edge Instance
- StochasticEdgeDiffusion - Class in org.drip.measure.realization
-
StochasticEdgeDiffusion holds the Edge of the Diffusion Stochastic Evaluator Outcome.
- StochasticEdgeDiffusion(double) - Constructor for class org.drip.measure.realization.StochasticEdgeDiffusion
-
StochasticEdgeDiffusion Constructor
- StochasticEdgeJump - Class in org.drip.measure.realization
-
StochasticEdgeJump holds the Edge of the Jump Stochastic Evaluator Outcome.
- StochasticEdgeJump(boolean, double, double, double) - Constructor for class org.drip.measure.realization.StochasticEdgeJump
-
StochasticEdgeJump Constructor
- stochasticForwardRateFunction() - Method in class org.drip.dynamics.lmm.ContinuouslyCompoundedForwardProcess
-
Retrieve the Stochastic Forward Rate Function
- stochasticJumpEdge() - Method in class org.drip.measure.realization.JumpDiffusionEdge
-
Retrieve the Stochastic Jump Edge Instance
- stochasticShortRateFunction() - Method in class org.drip.dynamics.lmm.ShortRateProcess
-
Retrieve the Stochastic Short Rate Function
- StochasticVolatilityStateEvolver - Class in org.drip.dynamics.sabr
-
StochasticVolatilityStateEvolver provides the SABR Stochastic Volatility Evolution Dynamics.
- StochasticVolatilityStateEvolver(ForwardLabel, double, double, double, UnivariateSequenceGenerator, UnivariateSequenceGenerator) - Constructor for class org.drip.dynamics.sabr.StochasticVolatilityStateEvolver
-
StochasticVolatilityStateEvolver Constructor
- straightMultiPathVertexRd() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
-
Generate Straight Multi-Path R^d Vertex Realizations Array
- straightPathVertexRd() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
-
Generate a Single Straight Path R^d Vertex Realization
- straightVertexRealization() - Method in class org.drip.measure.discrete.CorrelatedPathVertexDimension
-
Generate a Straight Single R^d Vertex Realization
- strategy() - Method in class org.drip.portfolioconstruction.optimizer.Rebalancer
-
Retrieve the Strategy Instance
- Strategy - Class in org.drip.portfolioconstruction.optimizer
-
Strategy holds the Details of a given Strategy.
- Strategy(String, String, String, ObjectiveFunction, ConstraintHierarchy, boolean, boolean, boolean) - Constructor for class org.drip.portfolioconstruction.optimizer.Strategy
-
Strategy Constructor
- stream() - Method in class org.drip.exposure.generator.StreamMPoR
-
Retrieve the Underlying Stream Instance
- stream() - Method in class org.drip.product.credit.BondComponent
-
- stream() - Method in interface org.drip.product.definition.BondProduct
-
Retrieve the Bond Stream
- stream() - Method in class org.drip.product.fra.FRAStandardCapFloor
-
Retrieve the Stream Instance Underlying the Cap
- stream() - Method in class org.drip.product.rates.SingleStreamComponent
-
Retrieve the Stream Instance
- Stream - Class in org.drip.product.rates
-
Stream implements the fixed and the floating streams.
- Stream(List<CompositePeriod>) - Constructor for class org.drip.product.rates.Stream
-
Stream constructor
- StreamBuilder - Class in org.drip.product.creator
-
StreamBuilder contains Utility Functions to construct Fixed, Floating, and Mixed Streams.
- StreamBuilder() - Constructor for class org.drip.product.creator.StreamBuilder
-
- StreamMPoR - Class in org.drip.exposure.generator
-
StreamMPoR estimates the MPoR Variation Margin and the Trade Payments for the generic Stream off of the
Realized Market Path.
- StreamMPoR(Stream, double) - Constructor for class org.drip.exposure.generator.StreamMPoR
-
- StreamQuoteSet - Class in org.drip.product.calib
-
StreamQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the Universal
Stream.
- StreamQuoteSet() - Constructor for class org.drip.product.calib.StreamQuoteSet
-
Empty StreamQuoteSet Constructor
- strengthOrder() - Method in class org.drip.optimization.constrained.RegularityConditions
-
Retrieve the Array of Strength Orders as specified in Eustaquio, Karas, and Ribeiro (2008)
- StretchBestFitResponse - Class in org.drip.spline.params
-
StretchBestFitResponse implements basis per-Stretch Fitness Penalty Parameter Set.
- StretchEstimationTestSequence() - Static method in class org.drip.sample.stretch.KnotInsertionPolynomialEstimator
-
- stretchSpec() - Method in class org.drip.analytics.input.LatentStateShapePreservingCCIS
-
Retrieve the Array of Latent State Stretch Representation Specifications
- strike() - Method in class org.drip.dynamics.sabr.ImpliedBlackVolatility
-
Retrieve the Strike
- strike() - Method in class org.drip.product.fra.FRAStandardComponent
-
Retrieve the FRA Strike
- strike() - Method in class org.drip.product.option.EuropeanCallPut
-
Retrieve the Option Strike
- strike() - Method in class org.drip.product.option.OptionComponent
-
Retrieve the Strike
- STRING_BEGIN - Static variable in class org.drip.json.parser.Yylex
-
- stringArrayAtColumn(int) - Method in class org.drip.feed.loader.CSVGrid
-
Retrieve the Array of String Values corresponding to the specified Column Index
- StringArrayEntry(JSONObject, String) - Static method in class org.drip.json.parser.Converter
-
Convert the JSON Entry to a String Array
- StringArrayToString(String[], String, String) - Static method in class org.drip.quant.common.StringUtil
-
Convert the String Array to a Record Delimited String
- StringEntry(JSONObject, String) - Static method in class org.drip.json.parser.Converter
-
Convert the JSON Entry to a String
- StringGrid(String, boolean) - Static method in class org.drip.feed.loader.CSVParser
-
Parse the Contents of the CSV File into a List of String Arrays
- StringMatch(String, String) - Static method in class org.drip.quant.common.StringUtil
-
Indicate it the pair of Strings Match each other in Value
- StringUtil - Class in org.drip.quant.common
-
StringUtil implements string utility functions.
- StringUtil() - Constructor for class org.drip.quant.common.StringUtil
-
- stripPiecewiseForwardVolatility(ValuationParams, CreditPricerParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double, Map<JulianDate, Double>) - Method in class org.drip.product.fra.FRAStandardCapFloor
-
Strip the Piece-wise Constant Forward Rate Volatility of the Unmarked Segment of the Volatility Term
Structure
- strongCriterion() - Method in class org.drip.function.rdtor1descent.CurvatureEvolutionVerifier
-
Retrieve Whether of not the "Strong" Curvature Criterion needs to be met
- strongCriterion() - Method in class org.drip.function.rdtor1descent.CurvatureEvolutionVerifierMetrics
-
Retrieve Whether of not the "Strong" Curvature Criterion needs to be met
- strongCriterion() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifier
-
Retrieve Whether of not the "Strong" Curvature Criterion needs to be met
- strongCurvatureCriterion() - Method in class org.drip.function.rdtor1descent.WolfeEvolutionVerifierMetrics
-
Retrieve Whether of not the "Strong" Curvature Criterion needs to be met
- StrongCurvatureEvolutionMetrics - Class in org.drip.sample.descentverifier
-
StrongCurvatureEvolutionMetrics demonstrates the Impact of applying the Strong Curvature Criterion on the
Evolution of the R^d Fixed Point of a Constrained Minimization Search.
- StrongCurvatureEvolutionMetrics() - Constructor for class org.drip.sample.descentverifier.StrongCurvatureEvolutionMetrics
-
- StrongWolfeEvolutionMetrics - Class in org.drip.sample.descentverifier
-
StrongWolfeEvolutionMetrics demonstrates the Impact of applying the Strong Wolfe Criterion on the
Evolution of the R^d Fixed Point of a Constrained Minimization Search.
- StrongWolfeEvolutionMetrics() - Constructor for class org.drip.sample.descentverifier.StrongWolfeEvolutionMetrics
-
- structuralLoss(R1ToR1, double[]) - Method in class org.drip.learning.regularization.RegularizerR1CombinatorialToR1Continuous
-
- structuralLoss(R1ToR1, double[]) - Method in class org.drip.learning.regularization.RegularizerR1ContinuousToR1Continuous
-
- structuralLoss(R1ToR1, double[]) - Method in interface org.drip.learning.regularization.RegularizerR1ToR1
-
Compute the Regularization Sample Structural Loss
- structuralLoss(RdToR1, double[][]) - Method in class org.drip.learning.regularization.RegularizerRdCombinatorialToR1Continuous
-
- structuralLoss(RdToR1, double[][]) - Method in class org.drip.learning.regularization.RegularizerRdContinuousToR1Continuous
-
- structuralLoss(RdToR1, double[][]) - Method in interface org.drip.learning.regularization.RegularizerRdToR1
-
Compute the Regularization Sample Structural Loss
- structuralLoss(R1ToR1, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Compute the Structural Sample Loss
- structuralLoss(RdToR1, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Compute the Structural Sample Loss
- structuralLoss(R1ToR1, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
-
- structuralLoss(RdToR1, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
-
- structuralRisk(R1R1, R1ToR1, double[], double[]) - Method in class org.drip.learning.regularization.RegularizerR1CombinatorialToR1Continuous
-
- structuralRisk(R1R1, R1ToR1, double[], double[]) - Method in class org.drip.learning.regularization.RegularizerR1ContinuousToR1Continuous
-
- structuralRisk(R1R1, R1ToR1, double[], double[]) - Method in interface org.drip.learning.regularization.RegularizerR1ToR1
-
Compute the Regularization Sample Structural Loss
- structuralRisk(RdR1, RdToR1, double[][], double[]) - Method in class org.drip.learning.regularization.RegularizerRdCombinatorialToR1Continuous
-
- structuralRisk(RdR1, RdToR1, double[][], double[]) - Method in class org.drip.learning.regularization.RegularizerRdContinuousToR1Continuous
-
- structuralRisk(RdR1, RdToR1, double[][], double[]) - Method in interface org.drip.learning.regularization.RegularizerRdToR1
-
Compute the Regularization Sample Structural Loss
- structuralRisk(R1R1, R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Compute the Structural Sample Risk
- structuralRisk(RdR1, RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Compute the Structural Sample Risk
- structuralRisk(R1R1, R1ToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
-
- structuralRisk(RdR1, RdToR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
-
- SUB_CURVE_LIBOR_12M - Static variable in class org.drip.simm.rates.IRSystemics
-
Sub Curve - LIBOR-12M
- SUB_CURVE_LIBOR_1M - Static variable in class org.drip.simm.rates.IRSystemics
-
Sub Curve LIBOR-1M
- SUB_CURVE_LIBOR_3M - Static variable in class org.drip.simm.rates.IRSystemics
-
Sub Curve LIBOR-3M
- SUB_CURVE_LIBOR_6M - Static variable in class org.drip.simm.rates.IRSystemics
-
Sub Curve LIBOR-6M
- SUB_CURVE_MUNICIPAL - Static variable in class org.drip.simm.rates.IRSystemics
-
Sub Curve - MUNICIPAL
- SUB_CURVE_OIS - Static variable in class org.drip.simm.rates.IRSystemics
-
Sub Curve OIS
- SUB_CURVE_PRIME - Static variable in class org.drip.simm.rates.IRSystemics
-
Sub Curve - PRIME
- SubCurveSupported(String, String) - Static method in class org.drip.simm.rates.IRSettingsContainer20
-
Indicate if the Sub-Curve is supported for the specified Currency
- SubCurveSupported(String, String) - Static method in class org.drip.simm.rates.IRSettingsContainer21
-
Indicate if the Sub-Curve is supported for the specified Currency
- SubMatrixSetExtraction - Class in org.drip.sample.algo
-
SubMatrixSetStringExtraction demonstrates the Extraction and Usage of the Inner Sub-matrices of a given
Master Matrix.
- SubMatrixSetExtraction() - Constructor for class org.drip.sample.algo.SubMatrixSetExtraction
-
- SubMatrixSetExtractor - Class in org.drip.spaces.big
-
SubMatrixSetExtractor contains the Functionality to extract the Set of the Sub-matrices contained inside
of the given Matrix.
- SubMatrixSetExtractor() - Constructor for class org.drip.spaces.big.SubMatrixSetExtractor
-
- Subordinate(String, String) - Static method in class org.drip.state.identifier.EntityFundingLabel
-
Make a Standard SUBORDINATE Entity Funding Label from the Reference Entity
- Subordinate(String, String) - Static method in class org.drip.state.identifier.EntityRecoveryLabel
-
Make a Standard SUBORDINATE Entity Recovery Label from the Reference Entity
- subordinateFundingReplicator() - Method in class org.drip.exposure.universe.MarketVertexEntity
-
Retrieve the Realized Entity Subordinate Funding Replicator Vertex Latent State
- subordinateFundingSpread() - Method in class org.drip.exposure.universe.MarketVertexEntity
-
Retrieve the Realized Entity Subordinate Funding Spread Vertex Latent State
- subordinateNumeraireHoldings() - Method in class org.drip.xva.derivative.ReplicationPortfolioVertexDealer
-
Retrieve the Number of Dealer Subordinate Numeraire Holdings
- subordinateRecoveryRate() - Method in class org.drip.exposure.universe.MarketVertexEntity
-
Retrieve the Realized Entity Subordinate Recovery Rate Vertex Latent State
- subset(GeneralizedVector) - Method in interface org.drip.spaces.tensor.GeneralizedVector
-
Indicate if the "Other" Generalized Vector Space is a Subset of "this"
- subset(GeneralizedVector) - Method in class org.drip.spaces.tensor.R1CombinatorialVector
-
- subset(GeneralizedVector) - Method in class org.drip.spaces.tensor.R1ContinuousVector
-
- subset(GeneralizedVector) - Method in class org.drip.spaces.tensor.RdAggregate
-
- SubStringSetExtraction - Class in org.drip.sample.algo
-
SubStringSetExtraction demonstrates the Extraction of Permuted and Contiguous Sub-string Sets.
- SubStringSetExtraction() - Constructor for class org.drip.sample.algo.SubStringSetExtraction
-
- SubStringSetExtractor - Class in org.drip.spaces.big
-
SubStringSetExtractor contains the Functionality to extract the Full Suite of the Sub-strings contained
inside of the given String.
- SubStringSetExtractor() - Constructor for class org.drip.spaces.big.SubStringSetExtractor
-
- subTenor(List<String>) - Method in class org.drip.measure.stochastic.LabelCorrelation
-
Generate the InterestRateTenorCorrelation Instance that corresponds to the Tenor sub-space
- Subtract(VariateInequalityConstraintMultiplier, VariateInequalityConstraintMultiplier, double, BoundMultivariate[]) - Static method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
-
Subtract the Second VICM Instance from the First
- Subtract(VariateInequalityConstraintMultiplier, VariateInequalityConstraintMultiplier, BoundMultivariate[]) - Static method in class org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier
-
Subtract the Second VICM Instance from the First
- Subtract(ComplexNumber, ComplexNumber) - Static method in class org.drip.quant.fourier.ComplexNumber
-
Subtract the Second Complex Number from the First
- subtractBusDays(int, String) - Method in class org.drip.analytics.date.JulianDate
-
Subtract the given Number of Business Days and return a new JulianDate Instance
- subtractDays(int) - Method in class org.drip.analytics.date.JulianDate
-
Subtract the given Number of Days and return the JulianDate Instance
- subtractTenor(String) - Method in class org.drip.analytics.date.JulianDate
-
Subtract the tenor to the JulianDate to create a new date
- subtractTenorAndAdjust(String, String) - Method in class org.drip.analytics.date.JulianDate
-
Subtract the tenor to the JulianDate to create a new business date
- Suihua - Class in org.drip.sample.bondeos
-
Suihua demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Suihua.
- Suihua() - Constructor for class org.drip.sample.bondeos.Suihua
-
- Sum(double[]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Compute the Sum of the Input Vector
- SUNDAY - Static variable in class org.drip.analytics.date.DateUtil
-
Days of the week - Sunday
- support() - Method in class org.drip.sequence.metrics.BoundedSequenceAgnosticMetrics
-
Retrieve the Random Sequence Support
- support() - Method in class org.drip.spaces.cover.L1R1CoveringBounds
-
Retrieve the Ordinate Support
- supremum(GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
-
Compute the Empirical Penalty Supremum for the specified R^1/R^d Input Space
- Supremum(List<Double>, R1) - Static method in class org.drip.spaces.metric.R1Combinatorial
-
Construct the Supremum (i.e., l^Infinity) R^1 Combinatorial Space Instance
- Supremum(double, double, R1) - Static method in class org.drip.spaces.metric.R1Continuous
-
Construct the Supremum (i.e., l^Infinity) R^1 Continuous Space Instance
- SUPREMUM_PENALTY_EMPIRICAL_LOSS - Static variable in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
-
Supremum Penalty computed off of Empirical Loss
- SUPREMUM_PENALTY_EMPIRICAL_RISK - Static variable in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
-
Supremum Penalty computed off of Empirical Risk
- SUPREMUM_PENALTY_REGULARIZED_LOSS - Static variable in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
-
Supremum Penalty computed off of Regularized Loss
- SUPREMUM_PENALTY_REGULARIZED_RISK - Static variable in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
-
Supremum Penalty computed off of Regularized Risk
- SUPREMUM_PENALTY_STRUCTURAL_LOSS - Static variable in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
-
Supremum Penalty computed off of Structural Loss
- SUPREMUM_PENALTY_STRUCTURAL_RISK - Static variable in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
-
Supremum Penalty computed off of Structural Risk
- SupremumBanach(int, Rd) - Static method in class org.drip.spaces.metric.RdContinuousBanach
-
Construct the Supremum (i.e., l^Infinity) R^d Continuous Banach Space Instance
- supremumDimension() - Method in class org.drip.spaces.cover.MaureyOperatorCoveringBounds
-
Retrieve the Supremum Dimension
- supremumEmpiricalLoss(GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Compute the Supremum Empirical Sample Loss
- supremumEmpiricalLoss(GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
-
- supremumEmpiricalRisk(R1R1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Compute the Supremum Empirical Sample Risk
- supremumEmpiricalRisk(RdR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Compute the Supremum Empirical Sample Risk
- supremumEmpiricalRisk(R1R1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
-
- supremumEmpiricalRisk(RdR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
-
- supremumFunction(double) - Method in class org.drip.function.r1tor1.FunctionClassSupremum
-
Retrieve the Supremum Function corresponding to the specified Variate
- supremumPenaltyLossMode() - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
-
The Supremum Penalty Loss Mode Flag
- supremumR1(GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
-
Compute the Empirical Penalty Supremum for the specified R^1 Input Space
- supremumR1ToR1(double[]) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
-
Retrieve the Supremum R^1 To R^1 Function Instance for the specified Variate Sequence
- supremumRd(GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
-
Compute the Empirical Penalty Supremum for the specified R^d Input Space
- supremumRdToR1(double[][]) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
-
Retrieve the Supremum R^d To R^1 Function Instance for the specified Variate Sequence
- supremumRegularizedLoss(GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Compute the Supremum Regularized Sample Loss
- supremumRegularizedLoss(GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
-
- supremumRegularizedRisk(R1R1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Compute the Supremum Regularized Sample Risk
- supremumRegularizedRisk(RdR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Compute the Supremum Regularized Sample Risk
- supremumRegularizedRisk(R1R1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
-
- supremumRegularizedRisk(RdR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
-
- supremumStructuralLoss(GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Compute the Supremum Structural Sample Loss
- supremumStructuralLoss(GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
-
- supremumStructuralRisk(R1R1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Compute the Supremum Structural Sample Risk
- supremumStructuralRisk(RdR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in interface org.drip.learning.rxtor1.EmpiricalLearningMetricEstimator
-
Compute the Supremum Structural Sample Risk
- supremumStructuralRisk(R1R1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
-
- supremumStructuralRisk(RdR1, GeneralizedValidatedVector, GeneralizedValidatedVector) - Method in class org.drip.learning.rxtor1.GeneralizedLearner
-
- supremumUpperBound() - Method in class org.drip.learning.bound.LipschitzCoveringNumberBound
-
Retrieve the Supremum-based Covering Number Upper Bound
- Surat - Class in org.drip.sample.bondeos
-
Surat demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Surat.
- Surat() - Constructor for class org.drip.sample.bondeos.Surat
-
- survival(CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Coupon Period Survival Probability
- survival() - Method in class org.drip.analytics.output.BulletMetrics
-
Retrieve the Terminal Survival Probability
- Survival(int, String, String, int[], double[], double) - Static method in class org.drip.state.creator.ScenarioCreditCurveBuilder
-
Create a CreditCurve Instance from the Input Array of Survival Probabilities
- Survival(int, String, String, String[], double[], double) - Static method in class org.drip.state.creator.ScenarioCreditCurveBuilder
-
Create a CreditCurve Instance from the Input Array of Survival Probabilities
- survival(int) - Method in class org.drip.state.credit.CreditCurve
-
Calculate the survival to the given date
- survival(JulianDate) - Method in class org.drip.state.credit.CreditCurve
-
Calculate the survival to the given date
- survival(String) - Method in class org.drip.state.credit.CreditCurve
-
Calculate the survival to the given tenor
- survival(int) - Method in class org.drip.state.nonlinear.ForwardHazardCreditCurve
-
- survivalProbability() - Method in class org.drip.exposure.universe.MarketVertexEntity
-
Retrieve the Realized Entity Survival Probability
- survivalProbability(JulianDate) - Method in class org.drip.historical.state.CreditCurveMetrics
-
Retrieve the Survival Probability corresponding to the specified Date
- survivalProbabilityCreditLoading(EntityCDSLabel) - Method in class org.drip.analytics.output.BulletMetrics
-
Retrieve the Terminal Survival Probability Loading Coefficient for the specified Credit Latent State
- SurvivalRecoveryState - Class in org.drip.template.state
-
SurvivalRecoveryState sets up the Calibration and the Construction of the Survival and the Recovery Latent
States and examine the Emitted Metrics.
- SurvivalRecoveryState() - Constructor for class org.drip.template.state.SurvivalRecoveryState
-
- SurvivalRecoveryStateShifted - Class in org.drip.template.statebump
-
SurvivalRecoveryStateShifted demonstrates the Generation of the Tenor Bumped Credit Curves.
- SurvivalRecoveryStateShifted() - Constructor for class org.drip.template.statebump.SurvivalRecoveryStateShifted
-
- survivalToPayDate() - Method in class org.drip.param.pricer.CreditPricerParams
-
Retrieve the flag indicating whether the Survival is to be computed to the Pay Date (TRUE) or not
- Suzhou - Class in org.drip.sample.bondeos
-
Suzhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Suzhou.
- Suzhou() - Constructor for class org.drip.sample.bondeos.Suzhou
-
- SVCHoliday - Class in org.drip.analytics.holset
-
- SVCHoliday() - Constructor for class org.drip.analytics.holset.SVCHoliday
-
- SwapOptionSettlement - Class in org.drip.market.otc
-
SwapOptionSettlement contains the details of the OTC Swap Option Settlements.
- SwapOptionSettlement(int, int) - Constructor for class org.drip.market.otc.SwapOptionSettlement
-
SwapOptionSettlement Constructor
- SwapOptionSettlementContainer - Class in org.drip.market.otc
-
SwapOptionSettlementContainer holds the Settlement Settings of the standard Option on an OTC Fix-Float
Swap Contract.
- SwapOptionSettlementContainer() - Constructor for class org.drip.market.otc.SwapOptionSettlementContainer
-
- swapQuote() - Method in class org.drip.service.api.DiscountCurveInputInstrument
-
Retrieve the Array of Swap Quotes
- swapRate() - Method in class org.drip.product.calib.FixFloatQuoteSet
-
Retrieve the Swap Rate
- swapTenor() - Method in class org.drip.service.api.DiscountCurveInputInstrument
-
Retrieve the Array of Swap Tenors
- SwitchIRCurve(String) - Static method in class org.drip.analytics.support.Helper
-
Switch the given IR curve if necessary
- SWPM - Class in org.drip.sample.bloomberg
-
SWPM contains the sample demonstrating the replication of Bloomberg's SWPM functionality.
- SWPM() - Constructor for class org.drip.sample.bloomberg.SWPM
-
- SWPM_NEW - Class in org.drip.sample.bloomberg
-
SWPM_NEW contains the sample demonstrating the replication of Bloomberg's Latest SWPM Functionality.
- SWPM_NEW() - Constructor for class org.drip.sample.bloomberg.SWPM_NEW
-
- SWPMOIS - Class in org.drip.sample.bloomberg
-
SWPM contains the sample demonstrating the replication of Bloomberg's SWPM OIS functionality.
- SWPMOIS() - Constructor for class org.drip.sample.bloomberg.SWPMOIS
-
- symmetricFundingValueAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
-
- symmetricFundingValueAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
-
- symmetricFundingValueAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
-
Compute Path Symmetric Funding Value Adjustment
- symmetricFundingValueAdjustment() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Path Symmetric Funding Value Adjustment
- symmetricFundingValueSpread01() - Method in class org.drip.xva.netting.CreditDebtGroupPath
-
Compute Path Symmetric Funding Value Spread 01
- symmetricFundingValueSpread01() - Method in class org.drip.xva.netting.FundingGroupPath
-
Compute Path Symmetric Funding Value Spread 01
- SymmetricRdToNormedR1Kernel - Class in org.drip.learning.kernel
-
SymmetricRdToNormedR1Kernel exposes the Functionality behind the Kernel that is Normed R^d X Normed R^d To
Supremum R^1, that is, a Kernel that symmetric in the Input Metric Vector Space in terms of both the
Metric and the Dimensionality.
- SymmetricRdToNormedR1Kernel(RdNormed, R1Normed) - Constructor for class org.drip.learning.kernel.SymmetricRdToNormedR1Kernel
-
SymmetricRdToNormedR1Kernel Constructor
- SymmetricRdToNormedRdKernel - Class in org.drip.learning.kernel
-
SymmetricRdToNormedRdKernel exposes the Functionality behind the Kernel that is Normed R^d X Normed R^d To
Normed R^d, that is, a Kernel that symmetric in the Input Metric Vector Space in terms of both the
Metric and the Dimensionality.
- SymmetricRdToNormedRdKernel(RdNormed, RdNormed) - Constructor for class org.drip.learning.kernel.SymmetricRdToNormedRdKernel
-
SymmetricRdToNormedRdKernel Constructor
- symmetrizedDifferenceSequenceMetrics(SingleSequenceAgnosticMetrics[]) - Method in class org.drip.sequence.functional.EfronSteinMetrics
-
Compute the Function Sequence Agnostic Metrics associated with each Variate using the specified Ghost
Symmetric Variable Copy
- Systemic(DiffusionEvaluatorOrnsteinUhlenbeck, double, double, int) - Static method in class org.drip.execution.latent.OrnsteinUhlenbeckSequence
-
Construct a Standard Systemic Instance of OrnsteinUhlenbeckSequence
- t() - Method in class org.drip.execution.athl.TransactionRealization
-
Retrieve the Transaction Completion Time T in Days
- t1() - Method in class org.drip.measure.bridge.BrokenDateInterpolatorBrownian3P
-
Retrieve T1
- t1() - Method in class org.drip.measure.bridge.BrokenDateInterpolatorLinearT
-
Retrieve T1
- t1() - Method in class org.drip.measure.bridge.BrokenDateInterpolatorSqrtT
-
Retrieve T1
- t2() - Method in class org.drip.measure.bridge.BrokenDateInterpolatorBrownian3P
-
Retrieve T2
- t2() - Method in class org.drip.measure.bridge.BrokenDateInterpolatorLinearT
-
Retrieve T2
- t2() - Method in class org.drip.measure.bridge.BrokenDateInterpolatorSqrtT
-
Retrieve T2
- t3() - Method in class org.drip.measure.bridge.BrokenDateInterpolatorBrownian3P
-
Retrieve T3
- TABHoliday - Class in org.drip.analytics.holset
-
- TABHoliday() - Constructor for class org.drip.analytics.holset.TABHoliday
-
- Table4DetailedBlowout - Class in org.drip.sample.helitterman
-
Table4DetailedBlowout replicates the detailed Steps involved in the Black-Litterman Model Process as
illustrated in Table #4 the Following Paper:
- He.
- Table4DetailedBlowout() - Constructor for class org.drip.sample.helitterman.Table4DetailedBlowout
-
- Table4Reconciler - Class in org.drip.sample.helitterman
-
Table4Reconciler reconciles the First Set of Outputs (Table #4) of the Black-Litterman Model Process as
illustrated in the Following Paper:
- He.
- Table4Reconciler() - Constructor for class org.drip.sample.helitterman.Table4Reconciler
-
- Table5Reconciler - Class in org.drip.sample.helitterman
-
Table5Reconciler reconciles the First Set of Outputs (Table #5) of the Black-Litterman Model Process as
illustrated in the Following Paper:
- He.
- Table5Reconciler() - Constructor for class org.drip.sample.helitterman.Table5Reconciler
-
- Table6Reconciler - Class in org.drip.sample.helitterman
-
Table6Reconciler reconciles the First Set of Outputs (Table #6) of the Black-Litterman Model Process as
illustrated in the Following Paper:
- He.
- Table6Reconciler() - Constructor for class org.drip.sample.helitterman.Table6Reconciler
-
- Table7Reconciler - Class in org.drip.sample.helitterman
-
Table7Reconciler reconciles the First Set of Outputs (Table #7) of the Black-Litterman Model Process as
illustrated in the Following Paper:
- He.
- Table7Reconciler() - Constructor for class org.drip.sample.helitterman.Table7Reconciler
-
- Table8Reconciler - Class in org.drip.sample.helitterman
-
Table8Reconciler reconciles the First Set of Outputs (Table #8) of the Black-Litterman Model Process as
illustrated in the Following Paper:
- He.
- Table8Reconciler() - Constructor for class org.drip.sample.helitterman.Table8Reconciler
-
- Taian - Class in org.drip.sample.bondeos
-
Taian demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for Taian.
- Taian() - Constructor for class org.drip.sample.bondeos.Taian
-
- tail() - Method in class org.drip.spaces.graph.SinglyLinkedNode
-
Retrieve the Tail Node
- tail() - Method in class org.drip.xva.basel.BalanceSheetEdge
-
Retrieve the Balance Sheet Account Vertex Tail Instance
- Taixing - Class in org.drip.sample.bondeos
-
Taixing demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Taixing.
- Taixing() - Constructor for class org.drip.sample.bondeos.Taixing
-
- Taiyuan - Class in org.drip.sample.bondeos
-
Taiyuan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Taiyuan.
- Taiyuan() - Constructor for class org.drip.sample.bondeos.Taiyuan
-
- Taizhou - Class in org.drip.sample.bondeos
-
Taizhou demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Taizhou.
- Taizhou() - Constructor for class org.drip.sample.bondeos.Taizhou
-
- tangencyPortfolioMetrics() - Method in class org.drip.portfolioconstruction.mpt.CapitalAllocationLine
-
Retrieve the Tangency Portfolio Metrics
- Tangshan - Class in org.drip.sample.bondeos
-
Tangshan demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Tangshan.
- Tangshan() - Constructor for class org.drip.sample.bondeos.Tangshan
-
- Tanjin - Class in org.drip.sample.bondeos
-
Tanjin demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Tanjin.
- Tanjin() - Constructor for class org.drip.sample.bondeos.Tanjin
-
- target() - Method in class org.drip.measure.realization.StochasticEdgeJump
-
Retrieve the Jump Target Value
- targetDate() - Method in class org.drip.dynamics.lmm.PathwiseQMRealization
-
Retrieve the Array of the Target Date Nodes
- targetDirection() - Method in class org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics
-
Retrieve the Target Direction Unit Vector
- targetSourceTransitionProbability(TrinomialTreeNodeMetrics, TrinomialTreeNodeMetrics) - Method in class org.drip.dynamics.hullwhite.TrinomialTreeSequenceMetrics
-
Retrieve the Target-From-Source Transition Probability
- targetSourceTransitionProbability() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeSequenceMetrics
-
Retrieve the FULL Target-Source Transition Probability Map
- targetVariateVariance(int) - Method in class org.drip.sequence.custom.GlivenkoCantelliFunctionSupremum
-
- targetVariateVariance(int) - Method in class org.drip.sequence.custom.GlivenkoCantelliUniformDeviation
-
- targetVariateVariance(int) - Method in interface org.drip.sequence.functional.SeparableMultivariateRandom
-
Compute the Variance associated with the Target Variate Function
- targetVariateVarianceBound(int) - Method in class org.drip.learning.rxtor1.EmpiricalPenaltySupremumEstimator
-
- targetVariateVarianceBound(int) - Method in class org.drip.sequence.custom.GlivenkoCantelliUniformDeviation
-
- targetVariateVarianceBound(int) - Method in class org.drip.sequence.custom.KernelDensityEstimationL1
-
- targetVariateVarianceBound(int) - Method in class org.drip.sequence.custom.LongestCommonSubsequence
-
- targetVariateVarianceBound(int) - Method in class org.drip.sequence.custom.OrientedPercolationFirstPassage
-
- targetVariateVarianceBound(int) - Method in class org.drip.sequence.functional.BoundedMultivariateRandom
-
Retrieve the Maximal Agnostic Variance Bound over the Non-target Variate Space for the Target Variate
- tau() - Method in class org.drip.portfolioconstruction.bayesian.PriorControlSpecification
-
Retrieve Tau
- taxAccountingScheme() - Method in class org.drip.portfolioconstruction.core.Account
-
Retrieve the Tax Accounting Scheme
- TaxAccountingScheme - Class in org.drip.portfolioconstruction.core
-
TaxAccountingScheme contains the Attributes for the specified Tax Accounting Scheme.
- TaxAccountingScheme(String, String, String, double, double, int, int) - Constructor for class org.drip.portfolioconstruction.core.TaxAccountingScheme
-
TaxAccountingScheme Constructor
- taxationScheme() - Method in class org.drip.portfolioconstruction.constraint.LimitTaxTerm
-
Retrieve the Taxation Scheme
- TaxationScheme - Interface in org.drip.portfolioconstruction.objective
-
TaxationScheme exposes Taxation related Functionality.
- taxationScheme() - Method in class org.drip.portfolioconstruction.objective.TaxTerm
-
Retrieve the Taxation Scheme
- taxLiability(double[], double[]) - Method in interface org.drip.portfolioconstruction.objective.TaxationScheme
-
Compute the Tax Liability
- TaxLiabilityTerm - Class in org.drip.portfolioconstruction.objective
-
TaxLiabilityTerm holds the Details of the Portfolio Net Tax Liability Objective Term.
- TaxLiabilityTerm(String, double[], TaxationScheme) - Constructor for class org.drip.portfolioconstruction.objective.TaxLiabilityTerm
-
TaxLiabilityTerm Constructor
- TaxTerm - Class in org.drip.portfolioconstruction.objective
-
TaxTerm holds the Details of Abstract Tax Unit Objective Term.
- TaxTerm(String, String, String, double[], TaxationScheme) - Constructor for class org.drip.portfolioconstruction.objective.TaxTerm
-
- TELECOMMUNICATIONS_INDUSTRIALS - Static variable in class org.drip.simm.credit.SectorSystemics
-
The Telecommunications/Industrials Sector
- TemplatedDiscountCurveBuilderSample(JulianDate, String) - Static method in class org.drip.sample.funding.TemplatedFundingCurveBuilder
-
- TemplatedFundingCurveBuilder - Class in org.drip.sample.funding
-
TemplatedFundingCurveBuilder sample demonstrates the usage of the different pre-built Funding Curve
Builders.
- TemplatedFundingCurveBuilder() - Constructor for class org.drip.sample.funding.TemplatedFundingCurveBuilder
-
- TEMPORARY_IMPACT_COEFFICIENT - Static variable in class org.drip.execution.athl.CalibrationEmpirics
-
Universal Temporary Impact Coefficient
- TEMPORARY_IMPACT_COEFFICIENT_ONE_SIGMA - Static variable in class org.drip.execution.athl.CalibrationEmpirics
-
Universal Temporary Impact Coefficient One Sigma
- TEMPORARY_IMPACT_EXPONENT - Static variable in class org.drip.execution.athl.CalibrationEmpirics
-
Universal Temporary Impact Exponent
- TEMPORARY_IMPACT_EXPONENT_ONE_SIGMA - Static variable in class org.drip.execution.athl.CalibrationEmpirics
-
Universal Temporary Impact Exponent One Sigma
- temporaryExpectation() - Method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters
-
Retrieve the Background Participation Temporary Market Impact Expectation Function
- TemporaryImpact - Class in org.drip.execution.athl
-
TemporaryImpact implements the Temporary Market Impact with Exponent/Coefficients that have been
determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren
(2003).
- TemporaryImpact(AssetFlowSettings) - Constructor for class org.drip.execution.athl.TemporaryImpact
-
TemporaryImpact Constructor
- temporaryImpact() - Method in class org.drip.execution.evolution.MarketImpactComponent
-
Retrieve the Temporary Market Impact Contribution
- temporaryImpactDrift() - Method in class org.drip.execution.discrete.EvolutionIncrement
-
Retrieve the Change induced by the Deterministic Asset Price Temporary Market Impact Drivers
- temporaryImpactExpectation(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
-
- temporaryImpactExpectation() - Method in class org.drip.execution.discrete.ShortfallIncrementDistribution
-
Retrieve the Temporary Market Impact Expectation Component
- temporaryImpactExpectation(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
-
- temporaryImpactExpectation(ArithmeticPriceEvolutionParameters) - Method in interface org.drip.execution.sensitivity.ControlNodesGreekGenerator
-
Generate the Temporary Impact Expectation Contribution
- temporaryImpactFactor() - Method in class org.drip.execution.parameters.PriceMarketImpact
-
Retrieve the Fraction of the Daily Volume that triggers One Bid-Ask of Temporary Impact Cost
- temporaryImpactVariance(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
-
- temporaryImpactVariance() - Method in class org.drip.execution.discrete.ShortfallIncrementDistribution
-
Retrieve the Temporary Market Impact Variance Component
- temporaryImpactVariance(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.discrete.Slice
-
- temporaryImpactVariance(ArithmeticPriceEvolutionParameters) - Method in interface org.drip.execution.sensitivity.ControlNodesGreekGenerator
-
Generate the Temporary Impact Variance Contribution
- temporaryImpactWander() - Method in class org.drip.execution.discrete.EvolutionIncrement
-
Retrieve the Change induced by the Stochastic Asset Price Temporary Market Impact Drivers
- temporaryImpactWanderer() - Method in class org.drip.execution.dynamics.WalkSuite
-
Retrieve the Previous Instance of the Temporary Impact Walk Wanderer
- temporaryMarketImpactFunction() - Method in class org.drip.execution.athl.TransactionRealization
-
Retrieve the Temporary Market Impact Transaction Function
- temporaryTransactionFunction() - Method in class org.drip.execution.parameters.PriceMarketImpact
-
Generate the Temporary Impact Transaction Function
- temporaryTransactionFunction() - Method in class org.drip.execution.parameters.PriceMarketImpactLinear
-
Generate the Temporary Impact Transaction Function
- temporaryTransactionFunction() - Method in class org.drip.execution.parameters.PriceMarketImpactPower
-
Generate the Temporary Impact Transaction Function
- temporaryVolatility() - Method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters
-
Retrieve the Background Participation Temporary Market Impact Volatility Function
- Tengzhou - Class in org.drip.sample.bondeos
-
CUSIP_74526QLS9 demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation
for CUSIP 74526QLS9.
- Tengzhou() - Constructor for class org.drip.sample.bondeos.Tengzhou
-
- tenor() - Method in class org.drip.analytics.cashflow.ComposableUnitPeriod
-
Convert the Coupon Frequency into a Tenor
- tenor() - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Convert the Coupon Frequency into a Tenor
- tenor() - Method in class org.drip.feed.loader.TenorQuote
-
Retrieve the Closing Tenor
- tenor() - Method in class org.drip.market.exchange.DeliverableSwapFutures
-
Retrieve the Tenor
- tenor() - Method in class org.drip.market.exchange.TreasuryFuturesContract
-
Retrieve the Contract Tenor
- tenor() - Method in class org.drip.market.otc.CreditIndexConvention
-
Retrieve the Tenor
- tenor() - Method in class org.drip.market.otc.CrossFloatStreamConvention
-
Retrieve the Tenor
- tenor() - Method in class org.drip.param.period.ComposableUnitBuilderSetting
-
Retrieve the Tenor
- tenor() - Method in class org.drip.param.period.CompositePeriodSetting
-
Retrieve the Tenor
- tenor() - Method in class org.drip.product.definition.Component
-
Retrieve the Instrument's Imputed Tenor
- Tenor(String, ValuationParams, CalibratableComponent[], double[], String[], double, boolean, double, MergedDiscountForwardCurve, GovvieCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Static method in class org.drip.state.boot.CreditCurveScenario
-
Create an array of tenor bumped credit curves
- Tenor(ValuationParams, CalibratableComponent[], double[], String[], double, GovvieCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Static method in class org.drip.state.boot.DiscountCurveScenario
-
Calibrate an array of tenor bumped discount curves
- Tenor(String, ValuationParams, LatentStateLabel, FRAStandardCapFloor[], double[], String[], boolean, double, MergedDiscountForwardCurve, ForwardCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Static method in class org.drip.state.boot.VolatilityCurveScenario
-
Create an array of tenor bumped Volatility curves
- tenor() - Method in class org.drip.state.forward.ForwardCurve
-
- tenor() - Method in interface org.drip.state.forward.ForwardRateEstimator
-
Retrieve the Forward Rate Tenor
- tenor() - Method in class org.drip.state.identifier.FloaterLabel
-
Retrieve the Tenor
- tenor() - Method in class org.drip.state.identifier.OvernightLabel
-
Retrieve the Tenor
- tenorBump() - Method in class org.drip.service.scenario.BondReplicator
-
Retrieve the Tenor Quote Bump
- tenorBumpDown() - Method in class org.drip.param.market.CreditCurveScenarioContainer
-
Return the tenor bump Down credit curve map
- tenorBumpDown() - Method in class org.drip.param.market.DiscountCurveScenarioContainer
-
Return the map of the tenor Bump Down Discount Curve
- tenorBumpUp() - Method in class org.drip.param.market.CreditCurveScenarioContainer
-
Return the tenor bump up credit curve map
- tenorBumpUp() - Method in class org.drip.param.market.DiscountCurveScenarioContainer
-
Return the map of the tenor Bump Up Discount Curve
- TenorCompare(String, String) - Static method in class org.drip.analytics.support.Helper
-
Compare the Left and the Right Tenors
- tenorCreditDeltaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
-
Retrieve the Tenor Credit Delta Double Measure Map
- tenorCreditGammaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
-
Retrieve the Tenor Credit Gamma Double Measure Map
- tenorDelta() - Method in class org.drip.simm.rates.IRWeight
-
Retrieve the Tenor Delta Weight Map
- tenorDeltaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsCR
-
Retrieve the Tenor Delta Risk Weight
- TenorDurationNodeMetrics - Class in org.drip.historical.sensitivity
-
TenorDurationNodeMetrics holds the KRD Duration Nodes and associated Metrics.
- TenorDurationNodeMetrics(JulianDate) - Constructor for class org.drip.historical.sensitivity.TenorDurationNodeMetrics
-
TenorDurationNodeMetrics Constructor
- tenorExists(String) - Method in class org.drip.simm.product.RiskFactorTenorSensitivity
-
Indicate of the Sensitivity exists for the specified Tenor
- TenorHorizonExplainComponents(String, String, int, String, String[], int[], String[], int[], String[]) - Static method in class org.drip.feed.metric.FixFloatPnLAttributor
-
Generate the Explain Components for the specified Fix Float Product
- TenorHorizonExplainComponents(String, String[], int[], String, String[], int[], String[], int[], String[]) - Static method in class org.drip.feed.metric.FixFloatPnLAttributor
-
Generate the Tenor Horizon Explain Components
- TenorHorizonExplainComponents(String, String, int, String, String[], int[], String[]) - Static method in class org.drip.feed.metric.TreasuryBondPnLAttributor
-
Generate the Explain Components for the specified Treasury Bond
- TenorHorizonExplainComponents(String[], String, int[], String, String[], int[], String[]) - Static method in class org.drip.feed.metric.TreasuryBondPnLAttributor
-
Generate the Tenor Horizon Explain Components
- tenorIRDeltaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
-
Retrieve the Tenor IR Delta Double Measure Map
- tenorIRGammaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
-
Retrieve the Tenor IR Gamma Double Measure Map
- TenorMap(String, ValuationParams, CalibratableComponent[], double[], String[], double, boolean, double, MergedDiscountForwardCurve, GovvieCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Static method in class org.drip.state.boot.CreditCurveScenario
-
Create an tenor named map of tenor bumped credit curves
- TenorMap(ValuationParams, CalibratableComponent[], double[], String[], double, GovvieCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Static method in class org.drip.state.boot.DiscountCurveScenario
-
Calibrate a tenor map of tenor bumped discount curves
- TenorMap(String, ValuationParams, LatentStateLabel, FRAStandardCapFloor[], double[], String[], boolean, double, MergedDiscountForwardCurve, ForwardCurve, LatentStateFixingsContainer, ValuationCustomizationParams) - Method in class org.drip.state.boot.VolatilityCurveScenario
-
Create an tenor named map of tenor bumped Volatility curves
- TenorQuote - Class in org.drip.feed.loader
-
TenorQuote holds the Instrument Tenor and Closing Quote.
- TenorQuote(String, double) - Constructor for class org.drip.feed.loader.TenorQuote
-
TenorQuote Constructor
- tenorRiskWeight() - Method in class org.drip.simm.parameters.BucketCurvatureSettingsCR
-
- tenorRiskWeight() - Method in class org.drip.simm.parameters.BucketSensitivitySettingsCR
-
Retrieve the Tenor Risk Weight Map
- tenorRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsCR
-
- TenorRiskWeightMap(double) - Static method in class org.drip.simm.parameters.BucketSensitivitySettingsCR
-
- tenorRRDeltaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
-
Retrieve the Tenor RR Delta Double Measure Map
- tenorRRGammaMeasures() - Method in class org.drip.analytics.output.ComponentMeasures
-
Retrieve the Tenor RR Gamma Double Measure Map
- tenors() - Method in class org.drip.simm.rates.IRWeight
-
Retrieve the Tenors
- tenors() - Method in class org.drip.state.sequence.GovvieBuilderSettings
-
Retrieve the Treasury Maturity Tenor Array
- tenorScalingFactor() - Method in class org.drip.simm.parameters.BucketCurvatureSettings
-
Retrieve the Tenor Scaling Factor
- tenorScalingFactorMap() - Method in class org.drip.simm.parameters.BucketCurvatureSettingsCR
-
Retrieve the Tenor Scaling Factor Map
- tenorScalingFactorMap() - Method in class org.drip.simm.parameters.BucketCurvatureSettingsIR
-
Retrieve the Tenor Scaling Factor Map
- tenorSensitivityMap() - Method in class org.drip.simm.product.BucketSensitivityCR
-
Retrieve the Risk Factor Tenor Sensitivity Map
- tenorSensitivityMargin(BucketSensitivitySettingsCR) - Method in class org.drip.simm.product.BucketSensitivityCR
-
Generate the Tenor Sensitivity Margin Map
- TenorSet() - Static method in class org.drip.simm.credit.CRNQSettingsContainer20
-
Retrieve the Standard ISDA Credit Tenor Set
- TenorSet() - Static method in class org.drip.simm.credit.CRNQSettingsContainer21
-
Retrieve the Standard ISDA Credit Tenor Set
- TenorSet() - Static method in class org.drip.simm.credit.CRQSettingsContainer20
-
Retrieve the Standard ISDA Credit Tenor Set
- TenorSet() - Static method in class org.drip.simm.credit.CRQSettingsContainer21
-
Retrieve the Standard ISDA Credit Tenor Set
- tenorSet() - Method in class org.drip.simm.product.RiskFactorTenorSensitivity
-
Retrieve the Set of Tenors
- TenorSet() - Static method in class org.drip.simm.rates.IRSettingsContainer20
-
Retrieve the Standard ISDA Rates Tenor Set
- TenorSet() - Static method in class org.drip.simm.rates.IRSettingsContainer21
-
Retrieve the Standard ISDA Rates Tenor Set
- TenorToDate(JulianDate, String[]) - Static method in class org.drip.analytics.support.Helper
-
Retrieve the Date Array From the Tenor Array
- TenorToDays(String) - Static method in class org.drip.analytics.support.Helper
-
Retrieve the Number of Days from the Tenor
- TenorToFreq(String) - Static method in class org.drip.analytics.support.Helper
-
Retrieve the Annual Frequency from the Tenor
- TenorToMonths(String) - Static method in class org.drip.analytics.support.Helper
-
Retrieve the Number of Months from the Tenor
- TenorToYearFraction(String) - Static method in class org.drip.analytics.support.Helper
-
Retrieve the Year Fraction from the Tenor
- TenorToYearFraction(String[], boolean) - Static method in class org.drip.analytics.support.Helper
-
Retrieve the Year Fraction from the Tenor Array
- TenorToYears(String) - Static method in class org.drip.analytics.support.Helper
-
Retrieve the Number of Years from the Tenor
- tenorVega() - Method in class org.drip.simm.rates.IRWeight
-
Retrieve the Tenor Vega Weight Map
- tenorVegaRiskWeight() - Method in class org.drip.simm.parameters.BucketVegaSettingsCR
-
Retrieve the Tenor Vega Risk Weight
- tenorWeightMap(Set<String>) - Method in class org.drip.simm.credit.CRBucket
-
Retrieve the Credit Tenor Risk Weight Map
- tension() - Method in class org.drip.spline.basis.BSplineSequenceParams
-
Retrieve the Tension
- tension(int) - Method in class org.drip.spline.basis.ExponentialMixtureSetParams
-
Get the Indexed Exponential Tension Entry
- tension() - Method in class org.drip.spline.basis.ExponentialTensionSetParams
-
Get the Segment Tension
- tension() - Method in class org.drip.spline.bspline.SegmentBasisFunctionSet
-
Retrieve the Tension Parameter
- tension() - Method in class org.drip.spline.bspline.TensionBasisHat
-
Retrieve the Tension
- TensionBasisHat - Class in org.drip.spline.bspline
-
TensionBasisHat implements the common basis hat function that form the basis for all B Splines.
- TensionBasisHat(double, double, double) - Constructor for class org.drip.spline.bspline.TensionBasisHat
-
- TensionProcessedBasisHat - Class in org.drip.spline.bspline
-
TensionProcessedBasisHat implements the processed hat basis function of the form laid out in the basic
framework outlined in Koch and Lyche (1989), Koch and Lyche (1993), and Kvasov (2000) Papers.
- TensionProcessedBasisHat(TensionBasisHat, int) - Constructor for class org.drip.spline.bspline.TensionProcessedBasisHat
-
TensionProcessedBasisHat constructor
- TensionStretchEstimationSample() - Static method in class org.drip.sample.stretch.KnotInsertionTensionEstimator
-
- tensorSpaceType() - Method in interface org.drip.spaces.instance.GeneralizedValidatedVector
-
Retrieve the Generalized Tensor Space Type
- tensorSpaceType() - Method in class org.drip.spaces.instance.ValidatedR1
-
- tensorSpaceType() - Method in class org.drip.spaces.instance.ValidatedR1Combinatorial
-
- tensorSpaceType() - Method in class org.drip.spaces.instance.ValidatedR1Continuous
-
- tensorSpaceType() - Method in class org.drip.spaces.instance.ValidatedRd
-
- tensorSpaceType() - Method in class org.drip.spaces.instance.ValidatedRdCombinatorial
-
- tensorSpaceType() - Method in class org.drip.spaces.instance.ValidatedRdContinuous
-
- Term - Class in org.drip.assetbacked.loan
-
Term contains the original Term of the Loan in Months
- Term(double) - Constructor for class org.drip.assetbacked.loan.Term
-
Term Constructor
- term() - Method in class org.drip.portfolioconstruction.optimizer.ObjectiveTermUnit
-
Retrieve the Objective Term
- terminal(LatentStateLabel) - Method in class org.drip.exposure.evolver.LatentStateDynamicsContainer
-
Retrieve the Terminal Latent State corresponding to the Label
- terminalAlpha() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
-
Retrieve the Final/Terminal Alpha
- terminalConvexityAdjustment(int, CurveSurfaceQuoteContainer) - Method in class org.drip.analytics.cashflow.CompositePeriod
-
Compute the Convexity Adjustment for the Composable Periods that use geometric Compounding using the
specified Value Date using the Market Data provided
- terminalDate() - Method in class org.drip.analytics.cashflow.Bullet
-
Retrieve the Terminal Date
- terminalDate() - Method in class org.drip.analytics.output.BulletMetrics
-
Retrieve the Terminal Date
- terminalDate() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
-
Retrieve the Terminal Date
- TerminalLatentState - Class in org.drip.exposure.evolver
-
TerminalLatentState contains the Latent State Label and the corresponding Terminal Diffusion Evolver.
- TerminalLatentState(LatentStateLabel, DiffusionEvolver) - Constructor for class org.drip.exposure.evolver.TerminalLatentState
-
TerminalLatentState Constructor
- terminalLatentStateContainer() - Method in class org.drip.exposure.evolver.DynamicsContainer
-
Retrieve the Terminal Latent State Evolver Dynamics Settings Map
- terminalLatentStateExists(LatentStateLabel) - Method in class org.drip.exposure.evolver.DynamicsContainer
-
Indicate if the Terminal Latent State Exists
- terminalMarketVertex() - Method in class org.drip.exposure.universe.MarketPath
-
Retrieve the Terminal Market Vertex
- TerminalPayout - Class in org.drip.xva.derivative
-
TerminalPayout implements the Pay-out Function on the given Asset, using its Marginal Evolution Process,
at the specified Terminal Time Instance.
- TerminalPayout(JulianDate, R1ToR1) - Constructor for class org.drip.xva.derivative.TerminalPayout
-
TerminalPayout Constructor
- terminalStateIndex() - Method in class org.drip.spaces.iterator.RdSpanningStateSpaceScan
-
Retrieve the Array of the Terminal State Indexes
- terminalVariance() - Method in class org.drip.exposure.csadynamics.NumeraireInducedMeasureShift
-
Return the Terminal Variance of the Underlying
- Terminate() - Static method in class org.drip.service.env.InvocationManager
-
Terminate the Invocation Manager
- TerminateEnv() - Static method in class org.drip.service.env.EnvManager
-
Terminate the Environment Frame Context
- terminationSetting() - Method in class org.drip.product.credit.BondComponent
-
- terminationSetting() - Method in interface org.drip.product.definition.BondProduct
-
Retrieve the bond termination setting
- TerminationSetting - Class in org.drip.product.params
-
TerminationSetting class contains the current "liveness" state of the component, and, if inactive, how it
entered that state.
- TerminationSetting(boolean, boolean, boolean, DateAdjustParams) - Constructor for class org.drip.product.params.TerminationSetting
-
Construct the TerminationSetting object from the perpetual flag, defaulted flag, and the has
been exercised flag.
- Test - Class in org.drip.sample.json
-
Test is an Adaptation of the Test Class from the RFC4627 compliant JSON Simple
(https://code.google.com/p/json-simple/).
- Test() - Constructor for class org.drip.sample.json.Test
-
- testDecode() - Static method in class org.drip.sample.json.Test
-
- testEncode() - Static method in class org.drip.sample.json.Test
-
- TestPayoffScheme(double, int, boolean) - Static method in class org.drip.sample.stochasticvolatility.HestonAMSTPayoffTransform
-
- testYylex() - Static method in class org.drip.sample.json.YylexTest
-
- TGTHoliday - Class in org.drip.analytics.holset
-
- TGTHoliday() - Constructor for class org.drip.analytics.holset.TGTHoliday
-
- Thane - Class in org.drip.sample.bondmetrics
-
Thane generates the Full Suite of Replication Metrics for Bond Thane.
- Thane() - Constructor for class org.drip.sample.bondmetrics.Thane
-
- THB - Class in org.drip.template.irs
-
THB contains a Templated Pricing of the OTC Fix-Float THB IRS Instrument.
- THB() - Constructor for class org.drip.template.irs.THB
-
- THBHoliday - Class in org.drip.analytics.holset
-
- THBHoliday() - Constructor for class org.drip.analytics.holset.THBHoliday
-
- TheilMixedEstimationModel - Class in org.drip.measure.bayesian
-
TheilMixedEstimationModel implements the Theil's Mixed Model for the Estimation of the Distribution
Parameters.
- TheilMixedEstimationModel() - Constructor for class org.drip.measure.bayesian.TheilMixedEstimationModel
-
- theta(int, int) - Method in class org.drip.dynamics.hullwhite.SingleFactorStateEvolver
-
Calculate the Theta
- theta() - Method in class org.drip.param.pricer.HestonOptionPricerParams
-
Retrieve Theta
- theta() - Method in class org.drip.pricer.option.Greeks
-
The Option Theta
- theta() - Method in class org.drip.xva.pde.BurgardKjaerEdge
-
Compute the Gross Theta from Position Value Base
- theta() - Method in class org.drip.xva.pde.BurgardKjaerEdgeAttribution
-
- theta() - Method in class org.drip.xva.pde.BurgardKjaerEdgeRun
-
- theta(EvolutionTrajectoryVertex, double) - Method in class org.drip.xva.pde.ParabolicDifferentialOperator
-
Compute the Theta for the Derivative from the Asset Edge Value
- thetaPositionValueDown() - Method in class org.drip.xva.pde.BurgardKjaerEdge
-
Compute the Gross Theta from Position Value Down
- thetaPositionValueDown() - Method in class org.drip.xva.pde.BurgardKjaerEdgeAttribution
-
- thetaPositionValueDown() - Method in class org.drip.xva.pde.BurgardKjaerEdgeRun
-
- thetaPositionValueUp() - Method in class org.drip.xva.pde.BurgardKjaerEdge
-
Compute the Gross Theta from Position Value Up
- thetaPositionValueUp() - Method in class org.drip.xva.pde.BurgardKjaerEdgeAttribution
-
- thetaPositionValueUp() - Method in class org.drip.xva.pde.BurgardKjaerEdgeRun
-
- thetaUpDown(EvolutionTrajectoryVertex, double, double) - Method in class org.drip.xva.pde.ParabolicDifferentialOperator
-
Compute the Up/Down Thetas
- Thiruvananthapuram - Class in org.drip.sample.bondmetrics
-
Thiruvananthapuram generates the Full Suite of Replication Metrics for Bond Thiruvananthapuram.
- Thiruvananthapuram() - Constructor for class org.drip.sample.bondmetrics.Thiruvananthapuram
-
- THREE_POINT_BROWNIAN_BRIDGE - Static variable in class org.drip.xva.settings.BrokenDateScheme
-
Three Point Brownian Bridge Based Broken Date Interpolation Scheme
- ThreeDSDMapToFlatString(CaseInsensitiveTreeMap<CaseInsensitiveTreeMap<Double>>, String, String, String) - Static method in class org.drip.quant.common.CollectionUtil
-
Flatten a 3D SSD map structure onto a string array
- ThreeFifthsPowerLaw(String, String, String, double) - Static method in class org.drip.portfolioconstruction.cost.TransactionChargeMarketImpact
-
Construction of the Three-Fifth's Power Law TransactionChargeMarketImpact Instance
- Threshold(int) - Static method in class org.drip.simm.commodity.CTRiskThresholdContainer20
-
Retrieve the Threshold indicated by the Bucket Number
- Threshold(int) - Static method in class org.drip.simm.commodity.CTRiskThresholdContainer21
-
Retrieve the Threshold indicated by the Bucket Number
- Threshold(int) - Static method in class org.drip.simm.equity.EQRiskThresholdContainer20
-
Retrieve the Equity Threshold specified by the Bucket Number
- Threshold(int) - Static method in class org.drip.simm.equity.EQRiskThresholdContainer21
-
Retrieve the Equity Threshold specified by the Bucket Number
- Threshold(String) - Static method in class org.drip.simm.rates.IRThresholdContainer20
-
Retrieve the Interest Rate Threshold denoted by the Currency
- Threshold(int) - Static method in class org.drip.simm.rates.IRThresholdContainer20
-
Retrieve the Interest Rate Threshold denoted by the Group Number
- Threshold(String) - Static method in class org.drip.simm.rates.IRThresholdContainer21
-
Retrieve the Interest Rate Threshold denoted by the Currency
- Threshold(int) - Static method in class org.drip.simm.rates.IRThresholdContainer21
-
Retrieve the Interest Rate Threshold denoted by the Group Number
- ThresholdMap() - Static method in class org.drip.simm.rates.IRThresholdContainer20
-
Retrieve the Interest Rate Threshold Map
- ThresholdMap() - Static method in class org.drip.simm.rates.IRThresholdContainer21
-
Retrieve the Interest Rate Threshold Map
- Thrissur - Class in org.drip.sample.loan
-
Thrissur demonstrates the Analytics Calculation/Reconciliation for the Loan Thrissur.
- Thrissur() - Constructor for class org.drip.sample.loan.Thrissur
-
- Thunker(JSONObject) - Static method in class org.drip.service.json.KeyHoleSkeleton
-
JSON Based in/out Generic Thunker
- Thunker(String) - Static method in class org.drip.service.json.KeyHoleSkeleton
-
JSON String Based in/out Generic Thunker
- THURSDAY - Static variable in class org.drip.analytics.date.DateUtil
-
Days of the week - Thursday
- Tianshui - Class in org.drip.sample.bondeos
-
Tianshui demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Tianshui.
- Tianshui() - Constructor for class org.drip.sample.bondeos.Tianshui
-
- ticker() - Method in class org.drip.product.credit.BondComponent
-
- ticker() - Method in class org.drip.product.definition.Bond
-
Return the bond ticker
- ticker() - Method in class org.drip.product.params.IdentifierSet
-
Retrieve the Ticker
- tickValue() - Method in class org.drip.product.govvie.TreasuryFutures
-
Retrieve the Tick Value
- Tieling - Class in org.drip.sample.bondeos
-
Tieling demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Tieling.
- Tieling() - Constructor for class org.drip.sample.bondeos.Tieling
-
- tiltDepartureR1ToR1(double[], int, boolean) - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanCombinationEngine
-
Generate the Squared Tilt Departure R^1 To R^1
- tiltMismatch(double[], int, double) - Method in class org.drip.portfolioconstruction.bayesian.BlackLittermanCombinationEngine
-
Compute the Mismatch between the User Specified Projection and the Custom Confidence Implied Tilts
- TiltTerm - Class in org.drip.portfolioconstruction.objective
-
TiltTerm holds the Details of Abstract Tilt Unit Objective Term.
- TiltTerm(String, String, String, double[], double[], double[]) - Constructor for class org.drip.portfolioconstruction.objective.TiltTerm
-
- time() - Method in class org.drip.analytics.date.DateTime
-
Retrieve the time
- time() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryState
-
Retrieve the Trajectory State Time Node
- time() - Method in class org.drip.execution.bayesian.ConditionalPriceDistribution
-
Retrieve the Distribution Time Horizon
- time() - Method in class org.drip.function.r1tor1solver.ExecutionInitializationOutput
-
Return the time elapsed for the execution initialization operation
- time() - Method in class org.drip.function.r1tor1solver.FixedPointFinderOutput
-
Return the time elapsed for the the full root finding operation
- time() - Method in class org.drip.measure.joint.Vertex
-
Retrieve the Evolution Time Instant
- time() - Method in class org.drip.measure.realization.JumpDiffusionVertex
-
Retrieve the Evolution Time Instant
- time(String) - Method in class org.drip.param.definition.Quote
-
Get the time of the quote
- time(String) - Method in class org.drip.param.quote.MultiSided
-
- time() - Method in class org.drip.xva.derivative.EvolutionTrajectoryVertex
-
Retrieve the Time Instant
- timeIncrement() - Method in class org.drip.measure.realization.JumpDiffusionEdge
-
Retrieve the Edge Time Increment
- timeIncrement() - Method in class org.drip.measure.realization.JumpDiffusionEdgeUnit
-
Retrieve the Edge Time Increment
- timeIndex() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics
-
Retrieve the Tree Node's Time Index
- timeIntegrand() - Method in class org.drip.xva.settings.StandardizedExposureGeneratorScheme
-
Retrieve the Time Integrand
- timeInterval() - Method in class org.drip.execution.discrete.Slice
-
Retrieve the Evolution Time Interval of the Arithmetic Dynamics
- timeRoll1DPnL() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Time Roll PnL
- timeRollSwapRate1D() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Time Roll Swap Rate
- timeScale() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant
-
Retrieve the Time Scale
- timeStamp() - Method in class org.drip.portfolioconstruction.core.Block
-
Retrieve the Creation Time Stamp
- timeStamp() - Method in class org.drip.service.env.BuildRecord
-
Retrieve the Build Time Stamp
- timeWidth() - Method in class org.drip.exposure.universe.MarketVertexGenerator
-
Retrieve the Time Width Array
- Tiruchirapalli - Class in org.drip.sample.bondfixed
-
Tiruchirapalli demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation
for Tiruchirapalli.
- Tiruchirapalli() - Constructor for class org.drip.sample.bondfixed.Tiruchirapalli
-
- Tirunelveli - Class in org.drip.sample.bondmetrics
-
Tirunelveli generates the Full Suite of Replication Metrics for Bond Tirunelveli.
- Tirunelveli() - Constructor for class org.drip.sample.bondmetrics.Tirunelveli
-
- Tirupati - Class in org.drip.sample.securitysuite
-
Tirupati generates the Full Suite of Replication Metrics for Bond Tirupati.
- Tirupati() - Constructor for class org.drip.sample.securitysuite.Tirupati
-
- Tiruppur - Class in org.drip.sample.bondfixed
-
Tiruppur demonstrates EOS Fixed Coupon Multi-flavor Pricing and Relative Value Measure Generation for
Tiruppur.
- Tiruppur() - Constructor for class org.drip.sample.bondfixed.Tiruppur
-
- TMT - Static variable in class org.drip.simm.credit.SectorSystemics
-
The Technology/Media/Telecommunications Sector
- toArray() - Method in class org.drip.portfolioconstruction.composite.Holdings
-
Retrieve the Array Form of the Holdings Quantity
- toArray() - Method in class org.drip.service.api.ForwardRates
-
Convert the List of Forwards to an Array
- toArray() - Method in class org.drip.service.api.InstrMetric
-
Reduce the PnL/forward metrics to an array
- toArray() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the Array of Metrics
- toAU() - Method in class org.drip.spline.stretch.CalibratableMultiSegmentSequence
-
- toAU() - Method in class org.drip.spline.stretch.SingleSegmentLagrangePolynomial
-
- toAU() - Method in interface org.drip.spline.stretch.SingleSegmentSequence
-
Convert the Segment Sequence into an AbstractUnivariate Instance
- ToDate(String) - Static method in class org.drip.feed.loader.CSVGrid
-
Convert the String Element to a JulianDate Instance.
- Today() - Static method in class org.drip.analytics.date.DateUtil
-
Return a Julian Date corresponding to Today
- ToDouble(String) - Static method in class org.drip.feed.loader.CSVGrid
-
Convert the String Element to double.
- ToInteger(String) - Static method in class org.drip.feed.loader.CSVGrid
-
Convert the String Element to int.
- toJSON() - Method in class org.drip.product.creator.BondRefDataBuilder
-
- toJSONString(List) - Static method in class org.drip.json.simple.JSONArray
-
Convert a list to JSON text.
- toJSONString() - Method in class org.drip.json.simple.JSONArray
-
- toJSONString() - Method in interface org.drip.json.simple.JSONAware
-
- toJSONString(Map) - Static method in class org.drip.json.simple.JSONObject
-
Convert a map to JSON text.
- toJSONString() - Method in class org.drip.json.simple.JSONObject
-
- toJSONString(Object) - Static method in class org.drip.json.simple.JSONValue
-
Convert an object to JSON text.
- ToJulian(int, int, int) - Static method in class org.drip.analytics.date.DateUtil
-
Convert YMD to an Integer Julian Date.
- tolerance() - Method in class org.drip.quant.eigen.PowerIterationComponentExtractor
-
Retrieve the Tolerance Level
- tolerance() - Method in class org.drip.quant.eigen.QREigenComponentExtractor
-
Retrieve the Tolerance Level
- toList() - Method in class org.drip.spaces.graph.SinglyLinkedNode
-
Convert the Linked List to an Array List
- toMap(String) - Method in class org.drip.analytics.output.BondCouponMeasures
-
Return the state as a named measure map
- toMap(String) - Method in class org.drip.analytics.output.BondRVMeasures
-
Return the state as a measure map
- toMap(String) - Method in class org.drip.analytics.output.BondWorkoutMeasures
-
Return the state as a measure map
- toNonOverlapping() - Method in class org.drip.spline.grid.OverlappingStretchSpan
-
Convert the Overlapping Stretch Span to a non-overlapping Stretch Span.
- toOracleDate() - Method in class org.drip.analytics.date.JulianDate
-
Return a Trigram Representation of the Date
- topography() - Method in class org.drip.spaces.graph.BellmanFordScheme
-
Retrieve the Topography Map
- topography() - Method in class org.drip.spaces.graph.DijkstraScheme
-
Retrieve the Topography Map
- Topography - Class in org.drip.spaces.graph
-
Topography holds Vertexes and the Edges between them.
- Topography() - Constructor for class org.drip.spaces.graph.Topography
-
Empty Topography Constructor
- topographyEdgeMap() - Method in class org.drip.spaces.graph.Topography
-
Retrieve the Topography Edge Map
- TopographyEdgeMap - Class in org.drip.spaces.graph
-
TopographyEdgeMap maintains a Map of the Topography Connection Edges.
- TopographyEdgeMap() - Constructor for class org.drip.spaces.graph.TopographyEdgeMap
-
Empty TopographyEdgeMap Constructor
- TopographyMap - Class in org.drip.sample.graph
-
TopographyMap illustrates the Construction of Topographical Map.
- TopographyMap() - Constructor for class org.drip.sample.graph.TopographyMap
-
- ToR1Continuous(R1ToR1, R1Normed, R1Continuous, double) - Static method in class org.drip.learning.regularization.RegularizerBuilder
-
Construct an Instance of R^1 Combinatorial/Continuous To R^1 Continuous Regularizer
- ToRdContinuous(RdToR1, RdNormed, R1Continuous, double) - Static method in class org.drip.learning.regularization.RegularizerBuilder
-
Construct an Instance of R^d Combinatorial/Continuous To R^1 Continuous Regularizer
- toString() - Method in class org.drip.analytics.date.JulianDate
-
- toString() - Method in class org.drip.analytics.eventday.DateInMonth
-
- toString() - Method in class org.drip.dynamics.lmm.BGMForwardTenorSnap
-
- toString() - Method in class org.drip.dynamics.lmm.BGMTenorNodeSequence
-
- toString() - Method in class org.drip.feed.loader.TenorQuote
-
- toString() - Method in class org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics
-
- toString() - Method in exception org.drip.json.parser.ParseException
-
- toString() - Method in class org.drip.json.parser.Yytoken
-
- toString() - Method in class org.drip.json.simple.ItemList
-
- toString(String) - Method in class org.drip.json.simple.ItemList
-
- toString() - Method in class org.drip.json.simple.JSONArray
-
- toString() - Method in class org.drip.json.simple.JSONObject
-
- toString(String, Object) - Static method in class org.drip.json.simple.JSONObject
-
- toString() - Method in class org.drip.market.exchange.TreasuryFuturesConvention
-
- toString() - Method in class org.drip.market.exchange.TreasuryFuturesEligibility
-
- toString() - Method in class org.drip.market.exchange.TreasuryFuturesEventDates
-
- toString() - Method in class org.drip.market.exchange.TreasuryFuturesOptionConvention
-
- toString() - Method in class org.drip.market.exchange.TreasuryFuturesSettle
-
- toString() - Method in class org.drip.market.otc.CrossFloatStreamConvention
-
- toString() - Method in class org.drip.market.otc.CrossFloatSwapConvention
-
- toString() - Method in class org.drip.market.otc.FixedFloatSwapConvention
-
- toString() - Method in class org.drip.market.otc.FixedStreamConvention
-
- toString() - Method in class org.drip.market.otc.FloatStreamConvention
-
- toString() - Method in class org.drip.market.otc.SwapOptionSettlement
-
- toString() - Method in class org.drip.product.params.CurrencyPair
-
- toString() - Method in class org.drip.product.params.LastTradingDateSetting
-
- toString() - Method in class org.drip.service.api.ForwardRates
-
- toString() - Method in class org.drip.service.api.InstrMetric
-
- toString() - Method in class org.drip.service.api.ProductDailyPnL
-
- toString() - Method in class org.drip.spline.segment.Monotonocity
-
- total() - Method in class org.drip.execution.evolution.MarketImpactComponent
-
Retrieve the Total Component Impact
- total(Map<String, Double>) - Method in class org.drip.simm.estimator.AdditionalInitialMargin
-
Compute the Total IM Add On
- total(LabelCorrelation) - Method in class org.drip.simm.estimator.ProductClassMargin
-
Compute the Total IM
- total() - Method in class org.drip.xva.gross.ExposureAdjustmentAggregator
-
Retrieve the Total VA
- total1DPnL() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Total PnL
- total1DPnLWithFixing() - Method in class org.drip.service.api.ProductDailyPnL
-
Retrieve the 1D Total PnL With Fixing
- TotalAccounts - Class in org.drip.assetbacked.borrower
-
TotalAccounts contains the Total Current Number of Accounts for the Borrower
- TotalAccounts(int) - Constructor for class org.drip.assetbacked.borrower.TotalAccounts
-
TotalAccounts Constructor
- totalAdjustment() - Method in class org.drip.xva.gross.GroupPathExposureAdjustment
-
- totalAdjustment() - Method in class org.drip.xva.gross.MonoPathExposureAdjustment
-
- totalAdjustment() - Method in interface org.drip.xva.gross.PathExposureAdjustment
-
Compute Path Total Adjustment
- totalCostDistribution() - Method in class org.drip.execution.capture.TrajectoryShortfallAggregate
-
Generate the Total Cost R^1 Normal Distribution
- totalCostDistributionDetail(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
-
Generate the Detailed Total Cost Distribution for the Trading Trajectory
- totalCostDistributionSynopsis(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.LinearImpactBlockTrajectoryEstimator
-
- totalCostDistributionSynopsis(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.LinearImpactTrajectoryEstimator
-
- totalCostDistributionSynopsis(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.LinearImpactUniformTrajectoryEstimator
-
- totalCostDistributionSynopsis(ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
-
Generate the Total Cost Distribution Synopsis Distribution for the Trading Trajectory
- totalCostRealizationDetail(double, WalkSuite[], ArithmeticPriceEvolutionParameters) - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
-
Generate the Detailed Cost Realization Sequence given the Specified Inputs
- totalMarketDynamicDrift() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
-
Generate the Total Market Dynamic Cost Drift
- totalMarketDynamicWander() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
-
Generate the Total Market Dynamic Cost Wander
- totalPermanentDrift() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
-
Generate the Total Permanent Cost Drift
- totalPermanentWander() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
-
Generate the Total Permanent Cost Wander
- totalTemporaryDrift() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
-
Generate the Total Temporary Cost Drift
- totalTemporaryWander() - Method in class org.drip.execution.capture.TrajectoryShortfallRealization
-
Generate the Total Temporary Cost Wander
- totalVA() - Method in class org.drip.xva.gross.ExposureAdjustmentDigest
-
Retrieve the Univariate Thin Statistics for Total VA
- toYYYYMMDD(String) - Method in class org.drip.analytics.date.JulianDate
-
Return a Representation of Date as YYYYMMDD
- tPost() - Method in class org.drip.execution.athl.TransactionRealization
-
Retrieve the Transaction Completion Time in Days Adjusted for the Permanent Lag TPost
- trackingBenchmark() - Method in class org.drip.portfolioconstruction.core.Account
-
Retrieve the Tracking Benchmark Instance
- TRADE_FREQUENCY_LESS_WELL_TRADED - Static variable in class org.drip.simm.rates.IRSystemics
-
Interest Rate Type - Trade Frequency Type Less Well Traded
- TRADE_FREQUENCY_WELL_TRADED - Static variable in class org.drip.simm.rates.IRSystemics
-
Interest Rate Type - Trade Frequency Type Well Traded
- TRADE_RATE_STATIC_INITIALIZATION - Static variable in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
-
Flag Indicating Trade Rate Initialization from Static Trajectory
- TRADE_RATE_ZERO_INITIALIZATION - Static variable in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
-
Flag Indicating Trade Rate Initialization to Zero Initial Value
- tradeable(ValuationParams) - Method in class org.drip.product.credit.BondComponent
-
- tradeable(ValuationParams) - Method in class org.drip.product.definition.Bond
-
Calculate if the bond is tradeable on the given date
- tradeablesContainer() - Method in class org.drip.xva.pde.BurgardKjaerOperator
-
Retrieve the Universe of Trade-able Assets
- tradeablesContainer() - Method in class org.drip.xva.pde.TrajectoryEvolutionScheme
-
Retrieve the Universe of Tradeables
- tradeFinishTime() - Method in class org.drip.execution.cost.ConstrainedLinearTemporaryImpact
-
Retrieve the Trade Finish Time
- tradeFrequencyType() - Method in class org.drip.simm.rates.CurrencyRiskGroup
-
Retrieve the Trade Frequency Type
- tradeList() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectory
-
Retrieve the Trade List, i.e., the Array of the Number of Units executed
- tradeListDriftAdjustment() - Method in class org.drip.execution.optimum.AlmgrenChrissDriftDiscrete
-
Retrieve the Array of the Trade List Drift Adjustment
- tradePayment(int, MarketPath) - Method in class org.drip.exposure.generator.FixedStreamMPoR
-
- tradePayment(int, MarketPath) - Method in class org.drip.exposure.generator.FixFloatMPoR
-
- tradePayment(int, MarketPath) - Method in class org.drip.exposure.generator.FloatStreamMPoR
-
- tradePayment(int, MarketPath) - Method in class org.drip.exposure.generator.NumeraireMPoR
-
- tradePayment(int, MarketPath) - Method in class org.drip.exposure.generator.PortfolioMPoR
-
- tradePayment(int, MarketPath) - Method in class org.drip.exposure.holdings.PositionGroupEstimator
-
- TradePayment - Class in org.drip.exposure.mpor
-
DealerClientTradePayment holds the Dealer (Negative) and Client (Positive) Trade Payments at an Exposure
Date.
- TradePayment(double, double) - Constructor for class org.drip.exposure.mpor.TradePayment
-
TradePayment Constructor
- tradePayment(int, MarketPath) - Method in interface org.drip.exposure.mpor.VariationMarginTradePaymentVertex
-
Estimate the Exposure Vertex Date Trade Payment
- tradePayment() - Method in class org.drip.xva.hypothecation.CollateralGroupVertexExposure
-
Retrieve the Accrued Trade Payment Exposure
- tradePaymentGap() - Method in class org.drip.exposure.mpor.VariationMarginTradeVertexExposure
-
Retrieve the Trade Payment Gap
- tradePaymentTrajectory() - Method in class org.drip.exposure.mpor.PathVariationMarginTrajectoryEstimator
-
Retrieve the Trade Payment Trajectory
- tradePaymentTrajectory(Map<Integer, Double>, Map<Integer, Double>) - Method in class org.drip.exposure.mpor.PathVariationMarginTrajectoryEstimator
-
Generate the Client and the Dealer Trade Payment Trajectories
- tradePaymentTrajectory() - Method in class org.drip.exposure.regressiontrade.AndersenPykhtinSokolTrajectory
-
Retrieve the Dense Trade Payment Array
- tradeRate() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryState
-
Retrieve the Trajectory State Time Node Trade Rate
- tradeRate() - Method in class org.drip.execution.strategy.ContinuousTradingTrajectory
-
Retrieve the Trade Rate Function
- tradeRate() - Method in class org.drip.execution.strategy.MinimumImpactTradingTrajectory
-
Retrieve the Trade Rate
- tradeRate() - Method in class org.drip.execution.tradingtime.VolumeTimeFrame
-
Retrieve the Trade Rate
- tradeRateInitializer() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
-
Retrieve the Trade Rate Initialization Indicator
- tradeRateScale() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryDeterminant
-
Retrieve the Trade Rate Scale
- tradeSize() - Method in class org.drip.execution.strategy.ContinuousTradingTrajectory
-
- tradeSize() - Method in class org.drip.execution.strategy.DiscreteTradingTrajectory
-
- tradeSize() - Method in class org.drip.execution.strategy.MinimumImpactTradingTrajectory
-
Retrieve the Trade Size
- tradeSize() - Method in interface org.drip.execution.strategy.TradingTrajectory
-
Retrieve the Trade Size
- tradeStartTime() - Method in class org.drip.execution.cost.ConstrainedLinearTemporaryImpact
-
Retrieve the Trade Start Time
- tradeTimeInterval() - Method in class org.drip.execution.strategy.MinimumImpactTradingTrajectory
-
Retrieve the Trade Time Interval
- TradingEnhancedDiscrete - Class in org.drip.execution.optimum
-
TradingEnhancedDiscrete contains the Trading Trajectory generated by one of the Methods outlined in the
Almgren (2003) Scheme for Continuous Trading Approximation for Linear Trading Enhanced Temporary Impact
Volatility.
- TradingEnhancedDiscrete(double[], double[], double[], double, double, double, double, double) - Constructor for class org.drip.execution.optimum.TradingEnhancedDiscrete
-
TradingEnhancedDiscrete Constructor
- TradingEnhancedVolatility(double, BackgroundParticipationRateLinear, BackgroundParticipationRateLinear) - Static method in class org.drip.execution.dynamics.ArithmeticPriceEvolutionParametersBuilder
-
Trading Enhanced Volatility ArithmeticPriceEvolutionParameters Instance
- tradingMode() - Method in class org.drip.market.exchange.FuturesOptions
-
Retrieve the Trading Mode
- TradingTrajectory - Interface in org.drip.execution.strategy
-
TradingTrajectory holds the Continuous/Discrete Trajectory of a Trading Block that is to be executed over
a Discrete Time Set.
- trailing() - Method in class org.drip.spline.bspline.SegmentBasisFunction
-
Retrieve the Trailing Predictor Ordinate
- trajectory() - Method in class org.drip.execution.adaptive.CoordinatedVariationStatic
-
Retrieve the Static Continuous Trading Trajectory Instance
- trajectory() - Method in class org.drip.execution.capture.TrajectoryShortfallEstimator
-
Retrieve the Underlying Trading Trajectory Instance
- trajectory() - Method in class org.drip.execution.cost.LinearTemporaryImpact
-
Retrieve the Holdings Trajectory
- trajectory() - Method in class org.drip.exposure.mpor.PathVariationMarginTrajectoryEstimator
-
Retrieve the Variation Margin Trade Payment Exposure Trajectory
- trajectory() - Method in class org.drip.exposure.universe.MarketPath
-
Retrieve the Trajectory of the Market Vertexes
- TrajectoryComparisonNoDrift - Class in org.drip.sample.almgrenchriss
-
TrajectoryComparisonNoDrift compares different Optimal Trading Trajectories computed in accordance with
the Specification of Almgren and Chriss (2000) for a Set of Risk Aversion Parameters, excluding the Asset
Drift.
- TrajectoryComparisonNoDrift() - Constructor for class org.drip.sample.almgrenchriss.TrajectoryComparisonNoDrift
-
- TrajectoryComparisonWithDrift - Class in org.drip.sample.almgrenchriss
-
TrajectoryComparisonWithDrift compares different Optimal Trading Trajectories computed in accordance with
the Specification of Almgren and Chriss (2000) for a Set of Risk Aversion Parameters, inclusive of the
Asset Drift.
- TrajectoryComparisonWithDrift() - Constructor for class org.drip.sample.almgrenchriss.TrajectoryComparisonWithDrift
-
- TrajectoryControlNodesGreek - Class in org.drip.execution.sensitivity
-
TrajectoryControlNodesGreek holds the Point Value, the Jacobian, and the Hessian for a Trajectory to the
Holdings Control Nodes.
- TrajectoryControlNodesGreek(double, double[], double[][], List<ControlNodesGreek>) - Constructor for class org.drip.execution.sensitivity.TrajectoryControlNodesGreek
-
TrajectoryControlNodesGreek Constructor
- trajectoryDeterminant() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectory
-
Retrieve The Coordinated Variation Trajectory Determinant Instance
- trajectoryDeterminant() - Method in class org.drip.execution.adaptive.CoordinatedVariationTrajectoryGenerator
-
Compute The Coordinated Variation Trajectory Determinant Instance
- TrajectoryEvolutionScheme - Class in org.drip.xva.pde
-
TrajectoryEvolutionScheme holds the Evolution Edges of a Trajectory evolved in a Dynamically Adaptive
Manner, as laid out in Burgard and Kjaer (2014).
- TrajectoryEvolutionScheme(PrimarySecurityDynamicsContainer, PDEEvolutionControl) - Constructor for class org.drip.xva.pde.TrajectoryEvolutionScheme
-
TrajectoryEvolutionScheme Constructor
- TrajectoryShortfallAggregate - Class in org.drip.execution.capture
-
TrajectoryShortfallAggregate aggregates the Execution Short-fall Distribution across each Interval in the
Trade.
- TrajectoryShortfallAggregate(List<ShortfallIncrementDistribution>) - Constructor for class org.drip.execution.capture.TrajectoryShortfallAggregate
-
TrajectoryShortfallAggregate Constructor
- TrajectoryShortfallEstimator - Class in org.drip.execution.capture
-
TrajectoryShortfallEstimator estimates the Price/Short Fall Distribution associated with the Trading
Trajectory generated using the specified Evolution Parameters.
- TrajectoryShortfallEstimator(DiscreteTradingTrajectory) - Constructor for class org.drip.execution.capture.TrajectoryShortfallEstimator
-
TrajectoryShortfallEstimator Constructor
- TrajectoryShortfallRealization - Class in org.drip.execution.capture
-
TrajectoryShortfallRealization holds Execution Cost Realization across each Interval in the Trade during a
Single Simulation Run.
- TrajectoryShortfallRealization(List<ShortfallIncrement>) - Constructor for class org.drip.execution.capture.TrajectoryShortfallRealization
-
TrajectoryShortfallRealization Constructor
- transactionCharge() - Method in class org.drip.portfolioconstruction.constraint.LimitBudgetTermTransactionCharge
-
Retrieve the Array of Transaction Charges
- transactionCharge() - Method in class org.drip.portfolioconstruction.constraint.LimitChargeTermIssuer
-
Retrieve the Array of Transaction Charges
- TransactionCharge - Class in org.drip.portfolioconstruction.cost
-
TransactionCharge contains the Parameters for the specified Transaction Charge Scheme.
- TransactionCharge(String, String, String) - Constructor for class org.drip.portfolioconstruction.cost.TransactionCharge
-
- transactionCharge() - Method in class org.drip.portfolioconstruction.objective.TransactionChargeTerm
-
Retrieve the Array of Transaction Charges
- TransactionChargeFixed - Class in org.drip.portfolioconstruction.cost
-
TransactionChargeFixed contains the Parameters for the Fixed Transaction Charge Scheme.
- TransactionChargeFixed(String, String, String, double) - Constructor for class org.drip.portfolioconstruction.cost.TransactionChargeFixed
-
TransactionChargeFixed Constructor
- TransactionChargeGoldmanSachsShortfall - Class in org.drip.portfolioconstruction.cost
-
TransactionChargeGoldmanSachsShortfall contains the Parameters for the Goldman Sachs Shortfall Model.
- TransactionChargeGoldmanSachsShortfall(String, String, String) - Constructor for class org.drip.portfolioconstruction.cost.TransactionChargeGoldmanSachsShortfall
-
- TransactionChargeGroup - Class in org.drip.portfolioconstruction.composite
-
TransactionChargeGroup contains the Transaction Charge Values for the specified Set of Assets.
- TransactionChargeGroup() - Constructor for class org.drip.portfolioconstruction.composite.TransactionChargeGroup
-
- TransactionChargeLinear - Class in org.drip.portfolioconstruction.cost
-
TransactionChargeLinear contains the Parameters for the Linear Transaction Charge Scheme.
- TransactionChargeLinear(String, String, String, double) - Constructor for class org.drip.portfolioconstruction.cost.TransactionChargeLinear
-
TransactionChargeLinear Constructor
- TransactionChargeMarketImpact - Class in org.drip.portfolioconstruction.cost
-
TransactionChargeMarketImpact contains the Parameters for the Power Law Transaction Charge Scheme.
- TransactionChargeMarketImpact(String, String, String, double, double) - Constructor for class org.drip.portfolioconstruction.cost.TransactionChargeMarketImpact
-
TransactionChargeMarketImpact Constructor
- TransactionChargeTerm - Class in org.drip.portfolioconstruction.objective
-
TransactionChargeTerm implements the Objective Term that models the Charge associated with a Portfolio
Transaction.
- TransactionChargeTerm(String, String, String, double[], TransactionCharge[]) - Constructor for class org.drip.portfolioconstruction.objective.TransactionChargeTerm
-
- transactionCost() - Method in class org.drip.execution.principal.GrossProfitExpectation
-
Retrieve the Execution Transaction Cost
- transactionCostExpectation() - Method in interface org.drip.execution.optimum.EfficientTradingTrajectory
-
Retrieve the Expected Transaction Cost
- transactionCostExpectation() - Method in class org.drip.execution.optimum.EfficientTradingTrajectoryContinuous
-
- transactionCostExpectation() - Method in class org.drip.execution.optimum.EfficientTradingTrajectoryDiscrete
-
- transactionCostExpectationFunction() - Method in class org.drip.execution.strategy.ContinuousTradingTrajectory
-
Retrieve the Transaction Cost Expectation Function
- transactionCostGain() - Method in class org.drip.execution.cost.LinearTemporaryImpact
-
Estimate the Transaction Cost Gain available from the Bayesian Drift
- transactionCostGroup() - Method in class org.drip.portfolioconstruction.core.Account
-
Retrieve the Transaction Cost Group Instance
- transactionCostIncrement(CoordinatedVariation) - Method in class org.drip.execution.tradingtime.VolumeTimeFrame
-
Generate the Transaction Cost Increment
- transactionCostVariance() - Method in interface org.drip.execution.optimum.EfficientTradingTrajectory
-
Retrieve the Variance of the Expected Transaction Cost
- transactionCostVariance() - Method in class org.drip.execution.optimum.EfficientTradingTrajectoryContinuous
-
- transactionCostVariance() - Method in class org.drip.execution.optimum.EfficientTradingTrajectoryDiscrete
-
- transactionCostVarianceFunction() - Method in class org.drip.execution.strategy.ContinuousTradingTrajectory
-
Retrieve the Transaction Cost Variance Function
- TransactionFunction - Class in org.drip.execution.impact
-
TransactionFunction exports the Temporary/Permanent Market Impact Displacement/Volatility Functional
Dependence on the Trade Rate.
- TransactionFunction() - Constructor for class org.drip.execution.impact.TransactionFunction
-
- TransactionFunctionLinear - Class in org.drip.execution.impact
-
TransactionFunctionLinear exposes the Linear Impact Function Stubs as defined in Almgren and Chriss (2000)
and Almgren (2003).
- TransactionFunctionLinear() - Constructor for class org.drip.execution.impact.TransactionFunctionLinear
-
- TransactionFunctionPower - Class in org.drip.execution.impact
-
TransactionFunctionPower exposes the Power Law Impact Function Stubs as defined in Almgren and Chriss
(2000) and Almgren (2003).
- TransactionFunctionPower() - Constructor for class org.drip.execution.impact.TransactionFunctionPower
-
- TransactionRealization - Class in org.drip.execution.athl
-
TransactionRealization holds the Suite of Empirical Drift/Wander Signals that have been emitted off of a
Transaction Run using the Scheme by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization
of Almgren (2003).
- TransactionRealization(TransactionFunction, TransactionFunction, double, double, double, double) - Constructor for class org.drip.execution.athl.TransactionRealization
-
TransactionRealization Constructor
- TransactionSignal - Class in org.drip.execution.athl
-
TransactionSignal holds the Realized Empirical Signals that have been emitted off of a Transaction Run,
decomposed using the Scheme by Almgren, Thum, Hauptmann, and Li (2005), based off of the Parameterization
of Almgren (2003).
- TransactionSignal(double, double, double) - Constructor for class org.drip.execution.athl.TransactionSignal
-
TransactionSignal Constructor
- transfer(int, int) - Method in class org.drip.spaces.big.BigR1Array
-
Transfer all Elements from the Pickup Index to the Drop Off Index, and contiguously Shift the
Intermediate Array
- transform(double[]) - Method in class org.drip.measure.discrete.QuadraticResampler
-
Transform the Input R^1 Sequence by applying Quadratic Sampling
- transform(double[][]) - Method in class org.drip.measure.discrete.QuadraticResampler
-
Transform the Input R^d Sequence by applying Quadratic Sampling
- transitionMetrics(long) - Method in class org.drip.dynamics.hullwhite.TrinomialTreeSequenceMetrics
-
Retrieve the Transition Metrics associated with the specified Tree Time Index
- transitionMetrics() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeSequenceMetrics
-
Retrieve the Transition Metrics Map
- translateAtPivot(int, int) - Method in class org.drip.spaces.big.BigC1Array
-
Translate the String at around the Pivot Index using the String Block
- Transpose(double[][]) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Transpose the specified Square Matrix
- Trapezoidal(R1ToR1, double, double) - Static method in class org.drip.quant.calculus.R1ToR1Integrator
-
Compute the function's integral within the specified limits using the Trapezoidal rule.
- Treasury(String, JulianDate, JulianDate, String, double, int, String) - Static method in class org.drip.product.creator.BondBuilder
-
Creates a Treasury Bond from the Parameters
- TreasuryAPI - Class in org.drip.service.product
-
TreasuryAPI demonstrates the Details behind the Pricing and the Scenario Runs behind a Treasury Bond.
- TreasuryAPI() - Constructor for class org.drip.service.product.TreasuryAPI
-
- treasuryBenchmark() - Method in class org.drip.product.credit.BondComponent
-
- treasuryBenchmark() - Method in interface org.drip.product.definition.BondProduct
-
Retrieve the bond treasury benchmark Set
- TreasuryBenchmarks - Class in org.drip.product.params
-
TsyBmkSet contains the treasury benchmark set - the primary treasury benchmark, and an array of secondary
treasury benchmarks.
- TreasuryBenchmarks(String, String[]) - Constructor for class org.drip.product.params.TreasuryBenchmarks
-
Construct the treasury benchmark set from the primary treasury benchmark, and an array of secondary
treasury benchmarks
- TreasuryBondClient - Class in org.drip.sample.service
-
TreasuryBondClient demonstrates the Invocation and Examination of the JSON-based Treasury Bond Service
Client.
- TreasuryBondClient() - Constructor for class org.drip.sample.service.TreasuryBondClient
-
- TreasuryBondExplainProcessor - Class in org.drip.historical.engine
-
TreasuryBondExplainProcessor contains the Functionality associated with the Horizon Analysis of the
Treasury Bond.
- TreasuryBondExplainProcessor(TreasuryComponent, String, double, JulianDate, JulianDate, CurveSurfaceQuoteContainer, CurveSurfaceQuoteContainer, CaseInsensitiveHashMap<CurveSurfaceQuoteContainer>) - Constructor for class org.drip.historical.engine.TreasuryBondExplainProcessor
-
TreasuryBondExplainProcessor Constructor
- TreasuryBondPnLAttributor - Class in org.drip.feed.metric
-
TreasuryBondPnLAttributor generates the Date Valuation and Position Change PnL Explain Attributions for
the Specified Treasury Bond.
- TreasuryBondPnLAttributor() - Constructor for class org.drip.feed.metric.TreasuryBondPnLAttributor
-
- TreasuryBondProcessor - Class in org.drip.service.json
-
TreasuryBondProcessor Sets Up and Executes a JSON Based In/Out Processing Service for Treasury Bonds.
- TreasuryBondProcessor() - Constructor for class org.drip.service.json.TreasuryBondProcessor
-
- TreasuryBondQuoteSet - Class in org.drip.product.calib
-
TreasuryBondQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the
Treasury Bond Component.
- TreasuryBondQuoteSet(LatentStateSpecification[]) - Constructor for class org.drip.product.calib.TreasuryBondQuoteSet
-
TreasuryBondQuoteSet Constructor
- TreasuryBuilder - Class in org.drip.service.template
-
Treasury Builder contains Static Helper API to facilitate Construction of the Sovereign Treasury Bonds.
- TreasuryBuilder() - Constructor for class org.drip.service.template.TreasuryBuilder
-
- treasuryCode() - Method in class org.drip.state.identifier.GovvieLabel
-
Retrieve the Treasury Code
- TreasuryComponent - Class in org.drip.product.govvie
-
TreasuryComponent implements the Functionality behind a Sovereign/Treasury Bond/Bill/Note.
- TreasuryComponent(String) - Constructor for class org.drip.product.govvie.TreasuryComponent
-
TreasuryComponent Constructor
- TreasuryFixedBullet - Class in org.drip.sample.treasury
-
TreasuryFixedBullet demonstrates Non-EOS Fixed Coupon Treasury Bond Pricing and Relative Value Measure
Generation Functionality.
- TreasuryFixedBullet() - Constructor for class org.drip.sample.treasury.TreasuryFixedBullet
-
- TreasuryFutures - Class in org.drip.product.govvie
-
BondFutures implements the Bond Futures Product Contract Details.
- TreasuryFutures(Bond[], double[], CashSettleParams) - Constructor for class org.drip.product.govvie.TreasuryFutures
-
BondFutures Constructor
- TreasuryFutures(JulianDate, String, JulianDate[], JulianDate[], double[], double[], String, String, String) - Static method in class org.drip.service.template.ExchangeInstrumentBuilder
-
Generate an Instance of Treasury Futures given the Inputs
- TreasuryFutures(JulianDate, String, int[], int[], double[], double[], String, String) - Static method in class org.drip.service.template.ExchangeInstrumentBuilder
-
Generate the Treasury Futures Instance
- TreasuryFutures(JulianDate, String, int[], int[], double[], double[]) - Static method in class org.drip.service.template.ExchangeInstrumentBuilder
-
Generate the Treasury Futures Instance
- TreasuryFuturesAPI - Class in org.drip.service.product
-
TreasuryFuturesAPI demonstrates the Details behind the Pricing and the Scenario Runs behind a Treasury
Futures Contract.
- TreasuryFuturesAPI() - Constructor for class org.drip.service.product.TreasuryFuturesAPI
-
- TreasuryFuturesClosesReconstitutor - Class in org.drip.feed.transformer
-
TreasuryFuturesClosesReconstitutor transforms the Treasury Futures Closes- Feed Inputs into Formats
suitable for Valuation Metrics and Sensitivities Generation.
- TreasuryFuturesClosesReconstitutor() - Constructor for class org.drip.feed.transformer.TreasuryFuturesClosesReconstitutor
-
- TreasuryFuturesContract - Class in org.drip.market.exchange
-
TreasuryFuturesContract holds the Parameters/Settings of the Common Treasury Futures Contracts.
- TreasuryFuturesContract(String, String, String, String) - Constructor for class org.drip.market.exchange.TreasuryFuturesContract
-
TreasuryFuturesContract Constructor
- TreasuryFuturesContract(String) - Static method in class org.drip.market.exchange.TreasuryFuturesContractContainer
-
Retrieve the Treasury Futures Contract by Name
- TreasuryFuturesContract(String, String) - Static method in class org.drip.market.exchange.TreasuryFuturesContractContainer
-
Retrieve the Treasury Futures Contract by Code and Tenor
- TreasuryFuturesContractContainer - Class in org.drip.market.exchange
-
TreasuryFuturesContractContainer holds the Details of some of the Common Treasury Futures Contracts.
- TreasuryFuturesContractContainer() - Constructor for class org.drip.market.exchange.TreasuryFuturesContractContainer
-
- TreasuryFuturesConvention - Class in org.drip.market.exchange
-
TreasuryFuturesConvention contains the Details for the Futures Basket of the Exchange-Traded Treasury
Futures Contracts.
- TreasuryFuturesConvention(String, String[], String, String, String, double, double, double, String[], String, String, DateInMonth, TreasuryFuturesEligibility, TreasuryFuturesSettle) - Constructor for class org.drip.market.exchange.TreasuryFuturesConvention
-
TreasuryFuturesConvention Constructor
- TreasuryFuturesConventionContainer - Class in org.drip.market.exchange
-
TreasuryFuturesConventionContainer holds the Details of the Treasury Futures Contracts.
- TreasuryFuturesConventionContainer() - Constructor for class org.drip.market.exchange.TreasuryFuturesConventionContainer
-
- TreasuryFuturesEligibility - Class in org.drip.market.exchange
-
TreasuryFuturesEligibility contains the Eligibility Criterion for a Bond in the Futures Basket of the
Exchange-Traded Treasury Futures Contracts.
- TreasuryFuturesEligibility(String, String, String[], double) - Constructor for class org.drip.market.exchange.TreasuryFuturesEligibility
-
TreasuryFuturesEligibility Constructor
- TreasuryFuturesEventDates - Class in org.drip.market.exchange
-
TreasuryFuturesEventDates contains the actually realized Event Dates related to a Treasury Futures
Contract.
- TreasuryFuturesEventDates(JulianDate, JulianDate, JulianDate, JulianDate, JulianDate) - Constructor for class org.drip.market.exchange.TreasuryFuturesEventDates
-
TreasuryFuturesEventDates Constructor
- TreasuryFuturesMarketSnap - Class in org.drip.historical.attribution
-
TreasuryFuturesMarketSnap contains the Metrics Snapshot associated with the relevant Manifest Measures for
the given Treasury Futures Position.
- TreasuryFuturesMarketSnap(JulianDate, double) - Constructor for class org.drip.historical.attribution.TreasuryFuturesMarketSnap
-
TreasuryFuturesMarketSnap Constructor
- TreasuryFuturesOptionContainer - Class in org.drip.market.exchange
-
TreasuryFuturesOptionContainer holds the Details of the Treasury Futures Options Contracts.
- TreasuryFuturesOptionContainer() - Constructor for class org.drip.market.exchange.TreasuryFuturesOptionContainer
-
- TreasuryFuturesOptionConvention - Class in org.drip.market.exchange
-
TreasuryFuturesOptionConvention contains the Details for the Exchange-Traded Options of the
Exchange-Traded Treasury Futures Contracts.
- TreasuryFuturesOptionConvention(String[], String, double, boolean, LastTradingDateSetting[]) - Constructor for class org.drip.market.exchange.TreasuryFuturesOptionConvention
-
TreasuryFuturesOptionConvention Constructor
- TreasuryFuturesSettle - Class in org.drip.market.exchange
-
TreasuryFuturesSettle contains the Settlement Details for the Futures Basket of the Exchange-Traded
Treasury Futures Contracts.
- TreasuryFuturesSettle(int, int, int, int, int, int, boolean, double, double, int[]) - Constructor for class org.drip.market.exchange.TreasuryFuturesSettle
-
TreasuryFuturesSettle Constructor
- TreasurySetting - Class in org.drip.market.issue
-
TreasurySetting contains the Definitions of the Settings of different Jurisdiction Treasuries.
- TreasurySetting(String, String, int, String, String) - Constructor for class org.drip.market.issue.TreasurySetting
-
TreasurySetting Constructor
- TreasurySetting(String) - Static method in class org.drip.market.issue.TreasurySettingContainer
-
Retrieve the Treasury Settings corresponding to the Code
- TreasurySettingContainer - Class in org.drip.market.issue
-
TreasurySettingContainer contains the Parameters related to the Jurisdiction-specific Treasuries.
- TreasurySettingContainer() - Constructor for class org.drip.market.issue.TreasurySettingContainer
-
- treeStochasticDisplacementIndex() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
-
Retrieve the Tree Stochastic Displacement Index
- treeTimeIndex() - Method in class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
-
Retrieve the Tree Time Index
- TriangularType(double[][], double) - Static method in class org.drip.quant.linearalgebra.Matrix
-
Retrieve the Triangular Type of the Matrix
- TrinomialTreeCalibration - Class in org.drip.sample.hullwhite
-
TrinomialTreeCalibration demonstrates the Construction and Calibration of the Hull-White Trinomial Tree
and the Eventual Evolution of the Short Rate on it.
- TrinomialTreeCalibration() - Constructor for class org.drip.sample.hullwhite.TrinomialTreeCalibration
-
- TrinomialTreeEvolution - Class in org.drip.sample.hullwhite
-
TrinomialTreeEvolution demonstrates the Construction and Usage of the Hull-White Trinomial Tree and the
Eventual Evolution of the Short Rate on it.
- TrinomialTreeEvolution() - Constructor for class org.drip.sample.hullwhite.TrinomialTreeEvolution
-
- TrinomialTreeNodeMetrics - Class in org.drip.dynamics.hullwhite
-
TrinomialTreeNodeMetrics records the Metrics associated with each Node in the Trinomial Tree Evolution of
the Instantaneous Short Rate using the Hull-White Model.
- TrinomialTreeNodeMetrics(long, long, double, double) - Constructor for class org.drip.dynamics.hullwhite.TrinomialTreeNodeMetrics
-
TrinomialTreeNodeMetrics Constructor
- TrinomialTreeSequenceMetrics - Class in org.drip.dynamics.hullwhite
-
TrinomialTreeSequenceMetrics records the Evolution Metrics of the Hull-White Model Trinomial Tree
Sequence.
- TrinomialTreeSequenceMetrics() - Constructor for class org.drip.dynamics.hullwhite.TrinomialTreeSequenceMetrics
-
Empty TrinomialTreeSequenceMetrics Constructor
- TrinomialTreeTransitionMetrics - Class in org.drip.dynamics.hullwhite
-
TrinomialTreeTransitionMetrics records the Transition Metrics associated with Node-to-Node Evolution of
the Instantaneous Short Rate using the Hull-White Model Trinomial Tree.
- TrinomialTreeTransitionMetrics(int, int, long, long, double, double, double) - Constructor for class org.drip.dynamics.hullwhite.TrinomialTreeTransitionMetrics
-
TrinomialTreeTransitionMetrics Constructor
- TRLHoliday - Class in org.drip.analytics.holset
-
- TRLHoliday() - Constructor for class org.drip.analytics.holset.TRLHoliday
-
- TRYHoliday - Class in org.drip.analytics.holset
-
- TRYHoliday() - Constructor for class org.drip.analytics.holset.TRYHoliday
-
- TRYIRSAttribution - Class in org.drip.sample.fixfloatpnl
-
TRYIRSAttribution generates the Historical PnL Attribution for TRY IRS.
- TRYIRSAttribution() - Constructor for class org.drip.sample.fixfloatpnl.TRYIRSAttribution
-
- TRYShapePreserving1YStart - Class in org.drip.sample.fundinghistorical
-
TRYShapePreserving1YStart Generates the Historical TRY Shape Preserving Funding Curve Native Compounded
Forward Rate starting at 1Y Tenor.
- TRYShapePreserving1YStart() - Constructor for class org.drip.sample.fundinghistorical.TRYShapePreserving1YStart
-
- TRYShapePreservingReconstitutor - Class in org.drip.sample.fundingfeed
-
TRYShapePreservingReconstitutor Demonstrates the Cleansing and the Shape Preserving Re-constitution of the
TRY Input Marks.
- TRYShapePreservingReconstitutor() - Constructor for class org.drip.sample.fundingfeed.TRYShapePreservingReconstitutor
-
- tsyQuote(String) - Method in class org.drip.param.definition.ScenarioMarketParams
-
Get the named Treasury Quote Map corresponding to the desired benchmark
- tsyQuote(String) - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- tsyQuotes() - Method in class org.drip.param.definition.ScenarioMarketParams
-
Get the full set of named Treasury Quote Map
- tsyQuotes() - Method in class org.drip.param.market.CurveSurfaceScenarioContainer
-
- tsySpread() - Method in class org.drip.analytics.output.BondRVMeasures
-
Retrieve the TSY Spread
- tsySpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from ASW to Work-out
- tsySpreadFromASW(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from ASW to Maturity
- tsySpreadFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromASWToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from ASW to Optimal Exercise
- tsySpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from Bond Basis to Work-out
- tsySpreadFromBondBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from Bond Basis to Maturity
- tsySpreadFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromBondBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from Bond Basis to Optimal Exercise
- tsySpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from Credit Basis to Work-out
- tsySpreadFromCreditBasis(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from Credit Basis to Maturity
- tsySpreadFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromCreditBasisToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from Credit Basis to Optimal Exercise
- tsySpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from Discount Margin to Work-out
- tsySpreadFromDiscountMargin(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from Discount Margin to Maturity
- tsySpreadFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromDiscountMarginToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from Discount Margin to Optimal Exercise
- tsySpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from E Spread to Work-out
- tsySpreadFromESpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from E Spread to Maturity
- tsySpreadFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromESpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from E Spread to Optimal Exercise
- tsySpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from G Spread to Work-out
- tsySpreadFromGSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from G Spread to Maturity
- tsySpreadFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromGSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from G Spread to Optimal Exercise
- tsySpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from I Spread to Work-out
- tsySpreadFromISpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from I Spread to Maturity
- tsySpreadFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromISpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from I Spread to Optimal Exercise
- tsySpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from J Spread to Work-out
- tsySpreadFromJSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from J Spread to Maturity
- tsySpreadFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromJSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from J Spread to Optimal Exercise
- tsySpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from N Spread to Work-out
- tsySpreadFromNSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from N Spread to Maturity
- tsySpreadFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromNSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from N Spread to Optimal Exercise
- tsySpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from OAS to Work-out
- tsySpreadFromOAS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from OAS to Maturity
- tsySpreadFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromOASToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from OAS to Optimal Exercise
- tsySpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from PECS to Work-out
- tsySpreadFromPECS(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from PECS to Maturity
- tsySpreadFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromPECSToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from PECS to Optimal Exercise
- tsySpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from Price to Work-out
- tsySpreadFromPrice(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from Price to Maturity
- tsySpreadFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromPriceToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from Price to Optimal Exercise
- tsySpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from Yield to Work-out
- tsySpreadFromYield(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from Yield to Maturity
- tsySpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from Yield Spread to Work-out
- tsySpreadFromYieldSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from Yield Spread to Maturity
- tsySpreadFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromYieldSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from Yield Spread to Optimal Exercise
- tsySpreadFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromYieldToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from Yield to Optimal Exercise
- tsySpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, int, double, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from Z Spread to Work-out
- tsySpreadFromZSpread(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from Z Spread to Maturity
- tsySpreadFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.credit.BondComponent
-
- tsySpreadFromZSpreadToOptimalExercise(ValuationParams, CurveSurfaceQuoteContainer, ValuationCustomizationParams, double) - Method in class org.drip.product.definition.Bond
-
Calculate TSY Spread from Z Spread to Optimal Exercise
- tte() - Method in class org.drip.dynamics.sabr.ImpliedBlackVolatility
-
Retrieve TTE
- TU1 - Class in org.drip.sample.treasuryfuturesapi
-
TU1 demonstrates the Invocation and Examination of the TU1 2Y UST Treasury Futures.
- TU1() - Constructor for class org.drip.sample.treasuryfuturesapi.TU1
-
- TU1_02Y - Class in org.drip.template.ust
-
TU1_02Y demonstrates the Details behind the Implementation and the Pricing of the 2Y TU1 UST Futures
Contract.
- TU1_02Y() - Constructor for class org.drip.template.ust.TU1_02Y
-
- TU1Attribution - Class in org.drip.sample.treasuryfuturespnl
-
TU1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
TU1 Series.
- TU1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.TU1Attribution
-
- TU1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
-
TU1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated TU1 Closes Feed.
- TU1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.TU1ClosesReconstitutor
-
- TU1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
-
TU1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the TU1 Treasury Futures.
- TU1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.TU1KeyRateDuration
-
- TUESDAY - Static variable in class org.drip.analytics.date.DateUtil
-
Days of the week - Tuesday
- Tumkur - Class in org.drip.sample.bondmetrics
-
Tumkur generates the Full Suite of Replication Metrics for Bond Tumkur.
- Tumkur() - Constructor for class org.drip.sample.bondmetrics.Tumkur
-
- Turn - Class in org.drip.analytics.definition
-
Turn implements rate spread at discrete time spans.
- Turn(int, int, double) - Constructor for class org.drip.analytics.definition.Turn
-
Turn Constructor
- turnAdjust(int, int) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
Apply the Turns' DF Adjustment
- turnAdjust(int) - Method in class org.drip.state.discount.MergedDiscountForwardCurve
-
Apply the Turns' DF Adjustment
- turnAdjust(int, int) - Method in class org.drip.state.discount.TurnListDiscountFactor
-
Apply the Turns' DF Adjustment
- TurnListDiscountFactor - Class in org.drip.state.discount
-
TurnListDiscountFactor implements the discounting based off of the turns list.
- TurnListDiscountFactor() - Constructor for class org.drip.state.discount.TurnListDiscountFactor
-
Empty TurnListDiscountFactor constructor
- turnover() - Method in class org.drip.execution.parameters.AssetFlowSettings
-
Retrieve the Daily Turnover
- TWD - Class in org.drip.template.irs
-
TWD contains a Templated Pricing of the OTC Fix-Float TWD IRS Instrument.
- TWD() - Constructor for class org.drip.template.irs.TWD
-
- TWDHoliday - Class in org.drip.analytics.holset
-
- TWDHoliday() - Constructor for class org.drip.analytics.holset.TWDHoliday
-
- TweakManifestMeasure(double[], ManifestMeasureTweak) - Static method in class org.drip.analytics.support.Helper
-
Tweak the Manifest Measures (gor the given set of nodes) in accordance with the specified tweak
parameters
- TwoDSDMapToFlatString(CaseInsensitiveTreeMap<Double>, String, String) - Static method in class org.drip.quant.common.CollectionUtil
-
Flatten an input 2D string/double map into a delimited string array
- TwoFactorLIBORVolatility - Class in org.drip.sample.lmm
-
TwoFactorLIBORVolatility demonstrates the Construction and Usage of the 2 Factor LIBOR Forward Rate
Volatility.
- TwoFactorLIBORVolatility() - Constructor for class org.drip.sample.lmm.TwoFactorLIBORVolatility
-
- TwoThirdsPowerLaw(String, String, String, double) - Static method in class org.drip.portfolioconstruction.cost.TransactionChargeMarketImpact
-
Construction of the Two-Third's Power Law TransactionChargeMarketImpact Instance
- TwoVariateConstrainedVariance - Class in org.drip.sample.semidefinite
-
TwoVariateConstrainedVariance demonstrates the Application of the Interior Point Method for minimizing
the Variance Across Two Variates under the Normalization Constraint.
- TwoVariateConstrainedVariance() - Constructor for class org.drip.sample.semidefinite.TwoVariateConstrainedVariance
-
- TY1 - Class in org.drip.sample.treasuryfuturesapi
-
TY1 demonstrates the Invocation and Examination of the TY1 10Y UST Treasury Futures.
- TY1() - Constructor for class org.drip.sample.treasuryfuturesapi.TY1
-
- TY1_10Y - Class in org.drip.template.ust
-
TY1_10Y demonstrates the Details behind the Implementation and the Pricing of the 10Y TY1 UST Futures
Contract.
- TY1_10Y() - Constructor for class org.drip.template.ust.TY1_10Y
-
- TY1Attribution - Class in org.drip.sample.treasuryfuturespnl
-
TY1Attribution demonstrates the Invocation of the Historical PnL Horizon PnL Attribution analysis for the
TY1 Series.
- TY1Attribution() - Constructor for class org.drip.sample.treasuryfuturespnl.TY1Attribution
-
- TY1ClosesReconstitutor - Class in org.drip.sample.treasuryfuturesfeed
-
TY1ClosesReconstitutor Cleanses, Transforms, and Re-constitutes the Formated TY1 Closes Feed.
- TY1ClosesReconstitutor() - Constructor for class org.drip.sample.treasuryfuturesfeed.TY1ClosesReconstitutor
-
- TY1KeyRateDuration - Class in org.drip.sample.treasuryfuturesrisk
-
TY1KeyRateDuration demonstrates the Computation of the Key Rate Duration for the TY1 Treasury Futures.
- TY1KeyRateDuration() - Constructor for class org.drip.sample.treasuryfuturesrisk.TY1KeyRateDuration
-
- type - Variable in class org.drip.json.parser.Yytoken
-
- type() - Method in class org.drip.market.exchange.TreasuryFuturesContract
-
Retrieve the Underlying Treasury Type
- type() - Method in class org.drip.param.definition.CalibrationParams
-
Retrieve the Calibration Type
- type() - Method in class org.drip.param.period.FixingSetting
-
Retrieve the Fixing Type
- type() - Method in class org.drip.param.valuation.WorkoutInfo
-
Retrieve the Work-out Type
- type() - Method in class org.drip.portfolioconstruction.composite.Benchmark
-
Retrieve the Benchmark Type
- type() - Method in class org.drip.product.govvie.TreasuryFutures
-
Retrieve the Futures Type
- type() - Method in class org.drip.spaces.tensor.Cardinality
-
Retrieve the Cardinality Type
- type() - Method in class org.drip.spline.segment.Monotonocity
-
Retrieve the Monotone Type
- TYPE_COLON - Static variable in class org.drip.json.parser.Yytoken
-
- TYPE_COMMA - Static variable in class org.drip.json.parser.Yytoken
-
- TYPE_EOF - Static variable in class org.drip.json.parser.Yytoken
-
- TYPE_LEFT_BRACE - Static variable in class org.drip.json.parser.Yytoken
-
- TYPE_LEFT_SQUARE - Static variable in class org.drip.json.parser.Yytoken
-
- TYPE_RIGHT_BRACE - Static variable in class org.drip.json.parser.Yytoken
-
- TYPE_RIGHT_SQUARE - Static variable in class org.drip.json.parser.Yytoken
-
- TYPE_VALUE - Static variable in class org.drip.json.parser.Yytoken
-